Date: 24 November 2021, Wednesday
Time: 8:00pm to 9:00pm
(Singapore Time Zone, GMT +8)

This webinar is jointly organised by Risk Management Institute, Centre for Quantitative Finance and NUS Chongqing Research Institute.

Title: What Is Absence of Arbitrage in a General Setting?

Prof. Martin Schweizer  (ETH Zurich)

Abstract: In recent years, there have been several criticisms concerning classical arbitrage theory in the spirit of Delbaen and Schachermayer, and some new approaches with different goals and ideas have emerged. We re-examine the classical theory with a particular focus on making it as robust to changes of numeraire as possible in as general a setting as possible. This requires to develop a new (and more general) concept of absence of arbitrage, which we then characterise in a dual manner by martingale properties of the given financial market. As a teaser, we invite you to think about the following question: When exactly is the Black-Scholes model, consisting of a stock given by a geometric Brownian motion and a bank account with a deterministic interest rate, arbitrage-free on an infinite horizon?

The talk is based on joint work with Daniel Balint. 

Martin Schweizer is professor of mathematics at ETH Zurich. His research interests include mathematical finance and its connections to probability theory and stochastic processes. He has worked on many different topics including hedging in incomplete markets, stochastic control, insider information, arbitrage theory etc. He is also Editor of the Springer journal "Finance and Stochastics".

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Kindly note that recordings and presentation materials will not be made available after the webinar.

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