Seminario Dottorato: Market models with optimal arbitrage

Wednesday 12 March 2014 h. 14:30, room 2BC30
Chau Ngoc Huy (Padova, Dip. Mat.)
"Market models with optimal arbitrage"

In this talk, we will introduce basic notions on financial mathematics, classical no arbitrage theory and some results on markets with arbitrage. We present a systematic method to construct market models where the optimal arbitrage strategy exists and is known explicitly.