Wednesday, December 9, 2020 - 17:00 in ZOOM - Video Conference
Asset Pricing with Frictions
A talk in the Bielefeld Stochastic Afternoon - Math Finance Session series by
Johannes Muhle-Karbe from Imperial College London
| Abstract: |
We study how equilibrium asset prices depend on “liquidity”, that is, the ease with which the assets can be traded. This leads to fully-coupled systems of coupled forward-backward SDEs. This talk outlines some first wellposedness results, connections to homogenization that lead to the tractable approximations in the large-liquidity limit, and a wide range of challenging open problems in this context.
Based on joint works (in progress) with Agostino Capponi, Lukas Gonon, Martin Herdegen, Dylan Possamai, Xiaofei Shi and Chen Yang.
Meeting ID: 969 1886 0711
Passcode: 897411
$\href{https://uni-bielefeld.zoom.us/j/96918860711?pwd=N0I1b0dpTmRwUHk0ZDBNOE1MbkU2QT09}{\textbf{Join Zoom Meeting}}$
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