Bloomberg Quant (BBQ) Seminar Series

Check-in

Keynote: Ioannis Karatzas, Columbia University

Arbitrage and Portfolio Theory Via Numeraires

We develop a mathematical theory for finance based on the following “viability’’ principle: that it should not be possible to fund a nontrivial liability, starting with arbitrarily small initial capital. In the context of continuous semimartingale asset prices, we show that proscribing such egregious forms of what is commonly called “arbitrage” (but allowing for the possibility that one portfolio might outperform another), turns out to be equivalent to each of the following conditions:

(i) a portfolio with the local martingale numeraire property exists,
(ii) a growth-optimal portfolio exists,
(iii) a portfolio with the log-optimality property exists,
(iv) a strictly positive local martingale deflator exists,
(v) the market has locally finite maximal growth, and
(vi) there is no possibility for making “unbounded profits with bounded risk”.

(Joint work — book of the same title — with Constantinos Kardaras at LSE.)

Lightning talks

A lightning talk is a very short presentation lasting only 5 minutes.  Several ones will be delivered in a single session by different speakers in quick succession.

• Francesco Tonin (Bloomberg L.P) – Stochastic gamma
• Anna Bogolubova ( Juilliard/Bomaa Studio) – Musical revolution: 12 tone system
• Revant Nayar (FMI Technologies) – Group theory, chaos and financial time series
• Anna-Sofia Kircher (Lendable) – A Bayesian approach to investing in Frontier Markets
• Keith Lewis (Kalx) – The stigma of sigma-algebras
• Achintya Gopal (Bloomberg L.P.) – Quantum computing for finance

Cocktail Reception