Mathematical Sciences - Colloquium- Ibrahim Ekren, (Florida State University) "Information Asymmetry and Optimal Transport"

Speaker:  Ibrahim Ekren, (Florida State University)
Title: Information Asymmetry and Optimal Transport

Abstract: In this talk, we present a flexible technique to solve the continuous-time
multi-asset/multi-option Kyle model under general assumptions on the distribution of the
noise, and the distribution of the prior. The main insight is to postulate the pricing rule of
the market maker at maturity as an optimal transport map. If the informed agent is risk
averse, we show that our methodology yields to the existence of equilibrium by
considering a system of backward quasilinear parabolic equation and a forward
Fokker-Planck equation coupled via a transport type constraint at final time. Based on
joint works with F. Cocquemas, A. Lioui and S. Bose.

please contact Qingshuo Song (qsong@wpi.edu) for Zoom meeting information