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Probability and Computational Finance Seminar
Jin Choi
Carnegie Melllon University
Title: Insider trading in the rational equilibrium setup

Abstract: In the rational equilibrium model proposed by Kyle [Econometrica, 85'], there are three types of market participants: an insider with private information, market makers described by pricing rule, and noise traders. We will discuss the result of Kyle [Econometrica, 85'] in discrete time model, and the result of Back [The Review of Financial Studies 92'] in continuous time model. I will also comment on the ongoing research (with Kasper Larsen and Duane Seppi) on optimal liquidation in the rational equilibrium framework.

Date: Monday, April 21, 2014
Time: 5:00 pm
Location: Wean Hall 8427
Submitted by:  Kasper Larsen