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CATEGORIES:Lecture / Talk / Workshop
DESCRIPTION:Ibrahim Ekren\, Florida State University\n\nAbstract: In this t
alk\, we present a flexible technique to solve the continuous-time multi-as
set/multi-option Kyle model under general assumptions on the distribution o
f the noise\, and the distribution of the prior. The main insight is to pos
tulate the pricing rule of the market maker at maturity as an optimal trans
port map. If the informed agent is risk averse\, we show that our methodolo
gy yields to the existence of equilibrium by considering a system of backwa
rd quasilinear parabolic equation and a forward Fokker-Planck equation coup
led via a transport type constraint at final time. Based on joint works wit
h F. Cocquemas\, A. Lioui and S. Bose.
DTEND:20210125T230000Z
DTSTAMP:20210514T004444Z
DTSTART:20210125T220000Z
LOCATION:
SEQUENCE:0
SUMMARY:Mathematical Finance Colloquium: Information Asymmetry and Optimal
Transport
UID:tag:localist.com\,2008:EventInstance_35722693004261
URL:https://calendar.usc.edu/event/mathematical_finance_colloquium_informat
ion_asymmetry_and_optimal_transport
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