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Probability and Computational Finance Seminar
Dmitry Kramkov
Mathematical Sciences, Carnegie Mellon University
Title: A model for a large investor trading at market indifference prices. I: single-period case.

Abstract: We develop a single-period model for a large economic agent who trades with market makers at their utility indifference prices. A key role is played by a pair of conjugate saddle functions associated with the description of Pareto optimal allocations in terms of the utility function of a representative market maker. The talk is based on a joint paper with Peter Bank. The preprint is available at


Date: Monday, October 25, 2010
Time: 5:00 pm
Location: Wean Hall 8220
Submitted by:  Kramkov