Option pricing with market impact and liquidity costs
Prof Gregoire Loeper ,
Date:
02 Oct 2018
Time:
3pm – 4pm
Venue:
Seminar Room 4 (S17-05-12)
Open to all students. Interested, please register via https://mysurvey.nus.edu.sg/EFM/se/543BE5C209B59EB6
About the Speaker
Gregoire Loeper is a Professor of Mathematics at Monash University, Australia, since September 2015. He is the director of the Master of Financial Mathematics, and the director of the Centre for Quantitative Finance and Investment Strategies.
Abstract
In this talk, I will presents some recent results obtained joint work with Chao Zhou (NUS), Bruno Bouchard, Yiyi Zou (Paris Dauphine) Mete Soner (ETH). I will introduce a general model of market impact and liquidity costs and address several problems relating to option pricing within this framework: exact replication, super-replication, and asymptotic analysis for small market impact.
