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Principle Seminar of the Department of Probability Theory, Moscow State University
March 9, 2016 16:45, Moscow, MSU, auditorium 12-24
 


A system of quadratic BSDEs arising in a price impact model

D. O. Kramkov

Carnegie Mellon University

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Abstract: We consider a financial model where the prices of risky assets are quoted by a representative market maker who takes into account an exogenous demand. We characterize these prices in terms of a system of BSDEs with quadratic growth. We show that this system admits a unique solution for every bounded demand if and only if the market maker's risk-aversion is sufficiently small. The presentation is based on a joint paper with Sergio Pulido; see arXiv: 1408.0916.

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