SEMINARIO MATEMATICA APPLICATA

[Giacomo Aletti <giacomo.aletti@unimi.it>]

Apologies for cross-posting,
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Dipartimento di Matematica - Università degli Studi di Milano
Via Saldini, 50 - 20100 Milano



SEMINARIO DI MATEMATICA APPLICATA


Giovedi' 23 Maggio 2002, ore 10.30

Aula DOTTORATO MACRO (2062, II piano)
Dipartimento di Matematica (Via Saldini 50, Milano)


David Bakstein (University of Oxford)


A parameterised nonlinear liquidity model for financial derivatives

Abstract: In this talk the standard Black-Scholes theory of hedging and
valuing contingent claims is appended by a liquidity factor. The latter is a
proxy for transaction costs and market manipulation effects, which are often
neglected in standard financial modelling. It is modelled in form of a
controlled
process on top of geometric Brownian Motion, which under simplifying
conditions yields a series of nonlinear PDEs for option values. Furthermore
empirical data confirming the modelling approach will be presented.




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Giacomo Aletti, Ph.D.
Dept. of Mathematics
University of Milan
V. Saldini, 50
20131 Milano (MI)
ITALY
Tel. +39(02)-503-16158
Fax +39(02)-503-16092
giacomo.aletti@unimi.it