Summary: For giant monetary markets as launched in Kramkov and Kabanov 94, there are a number of current absence-of-arbitrage circumstances within the literature. All of them have in widespread that they rely in a vital method on the discounting issue. We introduce a brand new idea, generalizing NAA1 (Ok&Ok 94) and NAA (Rokhlin 08), which is invariant with respect to discounting. We derive a twin characterization by a contiguity property (FTAP).We examine connections to the in finite time horizon framework (as for instance in Karatzas and Kardaras 07) and illustrate unfavorable consequence by counterexamples. Primarily based on joint work with M. Schweizer.
Recording throughout the assembly “Progressive Analysis in Mathematical Finance” the September 4, 2018 on the Centre Worldwide de Rencontres Mathématiques (Marseille, France)
Filmmaker: Guillaume Hennenfent
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