Mathematical Finance Colloquium: Modelling Anticipations on Financial Markets

Monday, October 14 at 2:00pm to 3:00pm

This is a past event.

Kaprielian Hall (KAP), 414
3620 South Vermont Avenue, Los Angeles, CA 90089

Fabrice Baudoin, University of Connecticut

Abstract: Financial markets obviously have asymmetry of information. That is, there are different type of traders whose behavior is induced by different types of information that they possess. Let us consider a "small" investor who trades in a arbitrage free financial market so as to maximize the expected utility of his wealth at a given time horizon. We assume that he possesses extra information about the future price of a stock. The basic question we will try to address is: What is the value of this information?

Event Type

Lecture / Talk / Workshop

Campus

University Park Campus

Department
Mathematics
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