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

In his recent paper, Paolo Guasoni introduced the notion of sticky processes and showed that stickiness implies absence of arbitrage in a market with friction. This work investigates the sticky property further. We show that stickiness is invariant under composition with continuous functions. We show a time change result on stickiness and provide sufficient conditions for the sticky property of continuous semimartinagles. As a result, our work provides an extended class of stochastic processes that are consistent with the no arbitrage property in this market. ( Slides)

Speaker: Hasanjan Sayit, Worcester Polytechnic Institute