Paolo Guasoni( Boston University)
No Arbitrage and Consistent Prices under Transaction Costs
(Joint work with M. Rasonyi and W. Schachermayer)

Abstract: Consistent Price Systems are the counterparts of martingale measures for models with transaction costs, as they guarantee the absence of arbitrage, and allow to characterize the superreplication prices of contingent claims.
We first establish the existence of CPS for price processes from a
condition on their topological support, which can often be easily
verified. We then exploit this result to characterize superreplication prices of European contingent claims as concave envelopes (face-lifting) of their payoff.
We will also discuss a new version of the Fundamental Theorem of Asset Pricing under Transaction Costs.