On May 15 Mostafa Seyyed Mousavi has successfully defended his thesis!
Title: Financial Markets with Delay
Prof Jean-Pierre Fouque
Prof Tomoyuki Ichiba (chair)
Prof Michael Ludkovski
We propose two models to study diﬀerent aspects of delay in ﬁnancial markets. In the ﬁrst model, we discuss option pricing with delayed information. We study super replication with delayed information in a discrete model and derive its continuous limit. In the second model, we discuss systemic risk using a ﬁnite-player linear quadratic stochastic diﬀerential game with delay, where the evolution of log-monetary reserves of banks is described by coupled diﬀusions driven by controls with delay in their drifts, and banks are minimizing their ﬁnite-horizon objective functions.