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

An equity market admits relative arbitrage if there exist two portfolios of equal initial value, one of which is guaranteed not to underperform the other at some specified time, while having a positive probability of outperforming the other at that time. Relative arbitrage cannot exist if the underlying market possesses an equivalent martingale measure; however, the situation is reversed under one of a number of surprisingly weak properties of the volatility structure of the market. This talk will provide a survey of these properties as well as the methodologies used to establish the existence of relative arbitrage. ( Slides)

Speaker: Adrian Banner, INTECH