IMA Complex Systems Seminar

1:30, Thursday, April 22, 2004            

 

 

Consistency among trading desks

 

David Heath

Department of Mathematical Sciences

Carnegie Mellon University

Pittsburgh, PA  15213-3890

 

 

Banks typically have trading desks, each of which uses its own models and trades a linear subspace of claims.  Under what conditions can the bank be sure it doesn’t permit arbitrage?