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Optimal investment and contingent claim valuation under temporary price impacts and margin requirements

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If you have a question about this talk, please contact Mustapha Amrani.

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We explore how certain fundamental results in financial mathematics are affected when moving from the classical model of perfectly liquid financial markets towards nonlinear models that incorporate portfolio constraints and nonlinear trading costs that arise in limit order markets. We extend basic results on arbitrage bounds, attainable claims and duality to general convex market models and general swap contracts where both claims and premiums may have multiple payout dates.

This talk is part of the Isaac Newton Institute Seminar Series series.

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Scisoc DPMMS Pure Maths Seminar Centre for Scientific Computing School of Technology CISA Talks - Cambridge International Studies Association Interesting talks- 1st try

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