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