Mathematical Sciences Seminars
When:
—
Venue:
Birkbeck Main Building, Malet Street
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Speaker: Matteo Burzoni (University of Oxford)
Title: Viability, Arbitrage and (approximate) martingale measures under Knightian Uncertainty
Abstract: We reconsider the microeconomic foundations of financial economics under model uncertainty. We remove the (implicit) assumption that a common prior determines the null sets, the topology of the model, and the preferences of market participants. We base our analysis on a common order instead. We show that a proper definition of economic viability of asset prices is equivalent to the absence of arbitrage. We discuss how the different versions of the Efficient Market Hypothesis are related to the assumptions one is willing to impose on the common order. We also obtain a version of the Fundamental Theorem of Asset Pricing using the notion of sublinear pricing measures. Finally, we discuss the mathematical challenges that a framework addressing Knightian Uncertainty poses.
This is based on a joint work with Frank Riedel and Mete Soner and a joint work with Marco Maggis.
Contact name:
Swati Chandna