XVII Workshop on Quantitative Finance -- Session on MATHEMATICAL FINANCE I (Sala Stemmi)
speaker: Panagiotis Souganidis (University of Chicago)
speaker: Josef Teichmann (ETH Zürich)
speaker: Marie-Therese Wolfram (University of Warwick)
timetable:
Thu 28 Jan, 9:00 - 10:30, Sala Stemmi
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communication: MATHEMATICAL FINANCE I: Parabolic free boundary price formation models under market size fluctuations
speaker: Peter Markowichspeaker: Panagiotis Souganidis (University of Chicago)
speaker: Josef Teichmann (ETH Zürich)
speaker: Marie-Therese Wolfram (University of Warwick)
abstract: In this paper we propose an extension of the Lasry & Lions price formation which includes fluctuations of the numbers of buyers and vendors. We analyze the model in the case of deterministic and stochastic market size fluctuations and present results on the long time asymptotic behavior. Numerical simulations support and extend the theoretical statements and give further insights into price formation dynamics.
timetable:
Thu 28 Jan, 9:00 - 10:30, Sala Stemmi
<< Go back