Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, January 13, 2016
Location:  1360 East Hall (4:00 PM to 5:00 PM)

Title:  Equilibrium Models with Small Frictions

Abstract:   How would the introduction of a small trading friction such as a transaction tax affect financial markets? To answer questions of this kind, one needs to consider equilibrium models, where prices are determined endogenously. Indeed, taxes change agents' individual decision making, which in turn affects the market prices determined by their interactions. The new market environment then again alters the agents' behavior, leading to a notoriously intractable fixed point problem.
In this talk we report on recent progress using asymptotic techniques for small trading frictions. In this practically relevant limiting regime, explicit solutions become available for many of the arising singular control problems, bringing analytical results for the equilibrium problem within reach.

(The talk is based on joint works with Martin Herdegen and Jan Killeen)

Files: 3398_talk_muhlekarbe.pdf

Speaker:  Johannes Muhle-Karbe
Institution:  UM

Event Organizer:   Erhan Bayraktar


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