PhD Defense: Mostafa Mousavi

Event Date: 

Monday, May 15, 2017 - 3:00pm

Event Location: 

  • Sobel Seminar Room
  • PhD Defense

Title: Financial Markets with Delay 

 

Committee members:

Prof Tomoyuki Ichiba (chair)

Prof Jean-Pierre Fouque

Prof Michael Ludkovski

 

Abstract:

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.