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Claudio FONTANA (Université Paris-Diderot) – “The Value of Informational Arbitrage”

December 4, 3:30 pm - 4:30 pm

1st Monday of each month

Time: 3:30 pm – 4:30 pm
Date: 04th of December 2017
Place: Room 3105

Claudio FONTANA (Université Paris-Diderot) – “The Value of Informational Arbitrage”

Abstract: In the context of a general complete semimartingale financial model, we aim at answering the following question: How much are you willing to pay for learning some private information that will allow you to achieve arbitrage profits? In particular, we are interested in the case where the private information can yield arbitrage opportunities but not arbitrages of the first kind. In the spirit of Amendinger, Becherer & Schweizer (2003, Financ. Stoch.), we shall give an answer to this question by relying on an indifference pricing approach for general preferences over consumption and terminal wealth, relying on recent results on initial enlargement of filtrations.

This is based on joint work H.N. Chau and A. Cosso

Details

Date:
December 4
Time:
3:30 pm - 4:30 pm
Event Categories:
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Organizers

Caroline HILLAIRET
Peter TANKOV