Event Date Details:
Refreshments served at 3:15 PM
- South Hall 5607F
Andrey Sarantsev (Ph.D student at dept of Mathematics University of Washington, Seattle)
Title: Market Models with Splits and Mergers
Abstract: We study models of regulatory breakup but with a fluctuating number of companies. If at some moment the share of the total market capitalization of a company reaches a certain threshold, then the company is split into two random parts. This can be viewed as a consequence of antitrust legislation. Companies are also allowed to merge when an exponential clock rings. Under certain condition, the quantity of stocks does not go to infinity in finite time, and the model does not admit arbitrage.
Joint work with Ioannis Karatzas.