|Date: Wednesday, November 13, 2019
Location: 1360 East Hall (4:00 PM to 5:00 PM)
Title: Optimal Bookmaking
Abstract: We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of bets placed by gamblers. The bookmaker seeks a price process that maximizes his expected (utility of) terminal wealth. We obtain explicit solutions or characterizations to the bookmaker's optimal bookmaking problem in various interesting models.
Joint work with Matthew Lorig and Zhou Zhou.
Speaker: Bin Zou
Institution: University of Connecticut