- Date: 27 Jun. (Thu.)
- Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
- Time: 16:30 – 18:30
- Speaker 1: Anna Aksamit（Usydney) 16:30-17:30
- Title: Introduction to robust finance I
- Abstract:
In this short course we present robust approach to pricing and hedging. The aim is to find bounds on the prices of exotic derivatives in terms of the (market) prices of call options. We do not make any explicit assumptions about the dynamics of the price process of the underlying asset. We deduct information about the distribution of asset prices from the call prices. The obtained bounds are robust with respect to model assumptions. We will present pricing and hedging of some specific payoffs, as well as, duality for more general class of payoffs.
- Speaker 2: Hoang Vu (UC Santa Barbara) 17:30-18:30
- Title : Heterogenous Macro-Finance Model: A Mean-field Game Approach
- Abstract:
We investigate the capital allocation and wealth distribution of heterogeneous agents in the economy during booms and busts using tools from mean-field games. Two groups in our models, namely the expert and the household, are interconnected within and between their classes through the law of capital processes and are bound by financial constraints. Such mean-field interaction explains why experts accumulate lots of capital in the good times and reverse their behavior quickly in the bad times even in the absence of aggregate macro shocks.
When the common noises from the market get involved, the financial friction amplifies the mean-field effect and leads to experts’ capital fire sales. Moreover, the implicit interlink between and within heterogeneous groups demonstrates the slow economic recovery and characterizes the deviating and FOMO behaviors of the households in comparison to their counterparts. Our model also gives a fairly explicit representation of the equilibrium solution without exploiting complicated numerical approaches.
Keywords: Macro-Finance Model, Mean-field Games, Heterogeneity, Financial Friction
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