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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. II: continuous-time case. Abstract: In this second part, we develop a continuous-time model for a large investor trading at market indifference prices. In analogy to the construction of stochastic integrals, we investigate the transition from simple to general predictable strategies. A key role is played by a stochastic differential equation for the market makers utility process. The analysis of this equation relies on conjugacy relationships between the stochastic processes with values in the spaces of saddle functions associated with the representative agent s utility. The talk is based on a joint paper with Peter Bank. The preprint is available atPreprint Date: Monday, November 1, 2010 Time: 5:00 pm Location: Wean Hall 8220 Submitted by: Kramkov |