Il giorno mercoledi' 10 giugno alle ore 17.30, presso
la aula seminari del Dipartimento di Statistica e Metodi Quantitativi
della Universitą di Milano-Bicocca, al IV piano dell'edificio U7, il
prof. Teemu Pennanen del King's College di Londra terrą un seminario su

Optimal investment and contingent claim valuation in illiquid markets

Abstract

This paper extends basic results on arbitrage bounds and 
attainable claims to illiquid markets and general swap 
contracts where both claims and premiums may have multiple 
payout dates. Explicit consideration of swap contracts is 
essential in illiquid markets where the valuation of swaps 
cannot be reduced to the valuation of cumulative claims at 
maturity. We establish the existence of optimal trading 
strategies and the lower semicontinuity of the optimal 
value of optimal investment under conditions that extend 
the no-arbitrage condition in the classical linear market 
model. All results are derived with the "direct method" 
without resorting to duality arguments.

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