Graduiertenkolleg Angewandte Algorithmische Mathematik
Graduiertenseminar
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Graduiertenkolleg Angewandte Algorithmische Mathematik Graduiertenseminar |
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| Financial markets obviously have asymmetry of information.
That is,
there
are different types of traders whose behavior is induced by different
types
of information that they possess.
In this talk, we consider a ''small'' investor who trades in an
arbitrage
free financial market so as to maximize the expected utility of
his wealth at a given time horizon. We assume that he is in the
following position : He possesses extra information about some
functional $Y$ of the future prices of a stock (e.g. value of the
price at a given date, hitting times of given values, ...). Our
basic question shall be: What is the value of this information ? |
| Tina
Marquardt (marquard |
ma.tum.de)