Local market viability and superhedging under proportional transaction costs
Speaker: Huy Chau
Affiliation: The University of Manchester
Abstract
In this talk, we present a new approach to study market viability under proportional transaction costs. We assume a Local No Free Lunch with Vanishing Risk condition, instead of the global one as in most of previous studies, and prove that it is equivalent to the existence of new consistent price systems. Superhedging duality and the existence of superhedging strategies are obtained even when wealth processes are negative. The new approach is compatible with the uncertainty modelling framework developed in [1] and hence, we provide a unify treatment for the two different settings. This is joint with Claudio Fontana (Padova University), and Masaaki Fukasawa (Osaka Univeristy)
[1] Chau, H. N., Fukasawa, M., Rásonyi, M. (2022). Super‐replication with transaction costs under model uncertainty for continuous processes. Mathematical Finance, 32(4), 1066-1085.
About Statistics, modelling and operations research seminars
Students, staff and visitors to UQ are welcome to attend our regular seminars.
The events are jointly run by our Operations research and Statistics and probability research groups.
The Statistics, modelling and operations research (SMOR) Seminar series seeks to celebrate and disseminate research and developments across the broad spectrum of quantitative sciences. The SMOR series provides a platform for communication of both theoretical and practical developments, as well as interdisciplinary topics relating to applied mathematics and statistics.
