XVII Workshop on Quantitative Finance -- Session on MATHEMATICAL FINANCE III (Sala Azzurra)
timetable:
Fri 29 Jan, 14:00 - 15:30, Sala Azzurra
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communication: Polynomial processes in stochastic portfolio theory
speaker: Cuchiero Christaabstract: Inspired by volatility stabilized market models introduced by Robert Fernholz and Ioannis Karatzas 4, we characterize the class of polynomial diffusion models for the asset price process whose market weights process is again a polynomial diffusion process on the unit simplex. Explicit parameter conditions assuring the existence of relative arbitrages with respect to the market portfolio are given and the connection to non-attainment of the boundary is discussed. We also consider extensions to models with jumps and the computation of optimal relative arbitrage strategies.
timetable:
Fri 29 Jan, 14:00 - 15:30, Sala Azzurra
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