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Probability and Computational Finance Seminar
Gordan Zitkovic
University of Texas at Austin
Title: An overview of some recent progress in incomplete-market equilibria

Abstract: In addition to existence, the excess-demand approach allows us to establish uniqueness and provide efficient computational algorithms for various complete- and incomplete-market stochastic financial equilibria. A particular attention will be paid to the case when the agents exhibit constant absolute risk aversion. An overview of recent results (including those jointly obtained with M. Anthropelos and with Y. Zhao) will be given.

Date: Monday, April 5, 2010
Time: 12:00 pm
Location: Wean Hall 6423