Equilibrium asset pricing with frictions
- Date: Thursday 13 February 2020, 15:10 – 16:10
- Location: Roger Stevens LT 05 (7.05)
- Type: Probability and Financial Mathematics, Seminars, Statistics
- Cost: Free
Professor Johannes Muhle-Karbe (Imperial College London)
We study how the prices of assets depend on their “liquidity”, that is, the ease with which they can be traded. We show that equilibrium prices and the corresponding optimal trading strategies can be characterised by systems of coupled forward-backward SDEs. We outline some first wellposedness results and discuss explicit formulas that arise in the limit of large liquidity. The talk is based on joints works with Agostino Capponi, Lukas Gonon, Martin Herdegen, Dylan Possamai, and Xiaofei Shi.