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Financial/Actuarial Mathematics Seminar

An example of continuous-time Radner equilibrium
Wednesday, March 14, 2018
4:00-5:00 PM
1360 East Hall Map
We consider a production economy where dividend of the asset is not fully spanned. In a Markovian setting, we establish the existence of a continuous-time Radner equilibrium which is endogenously incomplete. When the unhedgable component in the asset dividend is small, we analyze the first order difference between complete and incomplete equilibrium.

This is a joint work with Daniel Schwarz. Speaker(s): Hao Xing (LSE)
Building: East Hall
Event Type: Workshop / Seminar
Tags: Mathematics
Source: Happening @ Michigan from Department of Mathematics