A Nash Equilibrium with Several...

Faculty of Engineering and Natural Sciences

Seminar Announcement

A Nash Equilibrium with Several Large Traders

Tankut Doğrul

Sabancı University

Abstract:  

Motivated by the problem of pricing financial assets in incomplete markets due to the presence of price impact, an equilibrium model with a representative market maker and a finite number of large traders is considered. Prices for (illiquid) European contingent claims with payoffs at maturity as well as optimal trading strategies for the large traders are characterized as a result of various equilibrium concepts such as Nash, Subgame Perfect Nash and Arrow-Debreu. In this talk, we will focus on an example with Brownian Asset structure and exponential utilities to obtain explicit results.

Bio:  -Date of birth/place: 09.04.1981, Istanbul  

        -Istanbul Alman Lisesi (2000)

        -Koc University (2004) BS Business + Mathematics

        -Carnegie Mellon University, PhD Mathematical Finance (expected 2011/2012)

Wednesday,  October  19, 2011, 14:30,  FENS G032