Internal Seminar
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Thu, 23/05 13:00 |
Mathematical Finance Internal Seminar  |
DH 1st floor SR | |
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Thu, 30/05 13:00 |
Peng Hu |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| The aim of this lecture is to give a general introduction to the interacting particle system and applications in finance, especially in the pricing of American options. We survey the main techniques and results on Snell envelope, and provide a general framework to analyse these numerical methods. New algorithms are introduced and analysed theoretically and numerically. | |||
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Thu, 06/06 13:00 |
Mathematical Finance Internal Seminar |
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Thu, 13/06 13:00 |
Martin Gould |
Mathematical Finance Internal Seminar |
DH 1st floor SR |
| More than half of the world's financial markets use a limit order book mechanism to facilitate trade. For markets where trade is conducted through a central counterparty, trading platforms disseminate the same information about the limit order book to all market participants in real time, and all market participants are able to trade with all others. By contrast, in markets that operate under bilateral trade agreements, market participants are only able to view the limit order book activity from their bilateral trading partners, and are unable to trade with the market participants with whom they do not possess a bilateral trade agreement. In this talk, I discuss the implications of such a market structure for price formation. I then introduce a simple model of such a market, which is able to reproduce several important empirical properties of traded price series. By identifying and matching several robust moment conditions to the empirical data, I make model-based inference about the network of bilateral trade partnerships in the market. I discuss the implications of these findings for market stability and suggest how the regulator might improve market conditions by implementing simple restrictions on how market participants form their bilateral trade agreements. | |||