June 28, 2018

Seminar on “Stochastic Control Problems for Markets with Finite Liquidity”

Dates: 27th to 29th August, 2018

Venue: AIMS Ghana

Name of Guest Speaker: Prof. Dr. Dirk Becherer

Brief Bio

Dirk Becherer is Chair of Stochastic Analysis and Stochastic Finance at Humboldt University Berlin. He completed his PhD in mathematics at Technische Universität of Berlin, after studying at the University of Goettingen. Dirk held Postdoc fellowships and has been lecturer until 2007 in Imperial College London, when he taught courses in the MSc Mathematical Finance at the Mathematical Institute. Dirk then returned to Berlin as Matheon Research Center Professor. He is member of the Berlin Mathematical School and serves as Associate Editor for Bernoulli Journal and for Finance and Stochastics.

Title of Talk
Stochastic control problems for markets with finite liquidity: Optimal trading strategies, super-hedging and modeling of transient price impact.

Abstract for Talk

In these lectures, I gave a survey of recent results for stochastic optimal control in models of financial markets where liquidity is finite, so that trading has a multiplicative and transient impact on prices. This is in contrast to the classical friction-less classical Black-Scholes theory in mathematical finance, which assumes liquidity to be unlimited or traders being small (i.e. having no price impact). We discussed transient inter-temporal price impact, optimal liquidation and super-hedging strategies, stochastic liquidity and modeling questions. My presentations were based on papers with Todor Bilarev and Peter Frentrup, preprints available on arXiv.

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