Arbitrage in Multiperiod Models

In course

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Description

This lecture covers the concept of arbitrage in multiperiod models, focusing on dynamic trading, absence of arbitrage, and the use of filtrations to represent information availability. It discusses trading strategies, discounted prices, value processes, martingales, and the Fundamental Theorem of Asset Pricing. Examples illustrate the application of these concepts in financial modeling.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_ojwj4791

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