Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

In his recent paper, Cheridito considered a market that consists of a money market account and a risky asset whose price follows a fractional Brownian motion (fBm) and showed that arbitrage possibilities in such markets can be excluded by suitably restricting the class of allowable trading strategies. In this note, we show an analogous result in a multi-asset market. In our framework, investors are allowed to trade between a risk-free asset and multiple risky assets by following simple trading strategies that require a minimal deterministic waiting time between any two trading dates. We present a condition on the discounted risky asset prices and show that it guarantees absence of arbitrage in our framework. We give examples that satisfy our condition and study its invariance under certain transformations.

Speaker: Hasanjan Sayit, Worcester Polytechnic Institute

Slide: (TBA)