Behavioural scenarios for derivative pricing in incomplete markets: A dynamical systems approach

Anfiteatro 0.03 - Edifício das Matemáticas
Wednesday, 9 May, 2007 - 17:00

Part of the cycle "Price formation in incomplete markets".

We study the problem of determination of asset prices in an incomplete market proposing three different but related scenaria. One scenario uses a market game approach whereas the other two are based on risk sharing or regret minimizing considerations. Dynamical schemes modeling the convergence of the buyer’s and of the seller’s prices to a unique price are proposed.

Speaker: 

Diogo Pinheiro (CMUP)