大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Topics in Mathematical Finance I

Kostas Kardaras (Boston) and Yuri Kabanov (U.F.R. des Sciences et Technologie)

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4. Topics in Mathematical Finance I

One Day Seminar

Topics in Mathematical Finance I

Kostas Kardaras (Boston) and Yuri Kabanov (U.F.R. des Sciences et Technologie)

14:40--16:10, Kostas Kardaras (Boston)
(http://people.bu.edu/kardaras/index.html)
title: "Forward-convex convergence of sequences in $\mathbb{L}^0_+$"
(和訳：Ｌ０空間の正の値をとる列に関する前進凸収束）
Abstract: For a sequence in $\mathbb{L}^0_+$, we provide simple necessary and sufficient conditions to ensure that each sequence of its forward convex combinations converges to the same limit. These conditions correspond to a
measure-free version of the notion of uniform integrability and are related to the numeraire problem of mathematical finance. (this is joint work with Gordan Zitkovic)

16:20--17:50, Yuri Kabanov(U.F.R. des Sciences et Technologie)
title: "No-arbitrage criteria under small transaction costs."