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Revisiting the Obizhaeva and Wang Model

When: 

Sep 17, 2019 - 11:25am to 12:30pm

Where: 

TBD

Speaker: 

Kevin Webster
Citadel LLC

Description: 

We study two new applications of the Obizhaeva and Wang model using a new, simplified proof method. The first application covers the delta hedging of options in the presence of transient price impact. The second application solves the mean field game arising from the model. 

Event Type: 

Department of Applied Mathematics - Mathematical Finance and Stochastic Analysis Seminar