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Title	Existence and uniqueness results for multi-dimensional quadratic BSDEs arising from a price impact model with exponential utility
Creator	Pulido Nino, Sergio
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2014-05-13
Description	In this work we study multi-dimensional systems of quadratic BSDEs arising from a price impact model where an influential investor trades illiquid assets with a representative market maker with exponential preferences. The impact of the strategy of the investor on the prices of the illiquid assets is derived endogenously through an equilibrium mechanism. We show that a relationship exists between this equilibrium mechanism and a multi-dimensional system of quadratic BSDEs. We also specify conditions on the parameters of the model that guarantee that the system of BSDEs has a unique solution, which corresponds to a family of unique equilibrium prices for the illiquid assets. The proof relies on estimates that exploit the structure of the equilibrium problem. Finally, we provide examples of parameters for which the corresponding system of BSDEs in not well-posed. This is joint work with Dmitry Kramkov.
Extent	42 minutes
Subject	Mathematics Game theory, economics, social and behavioral sciences Probability theory and stochastic processes Mathematical finance
Type	Moving Image
FileFormat	video/mp4
Language	eng
Notes	Author affiliation: Swiss Finance Institute @ EPFL
Series	BIRS Workshop Lecture Videos (Banff, Alta)
Date Available	2014-10-29
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivs 2.5 Canada
DOI	10.14288/1.0044151
URI	http://hdl.handle.net/2429/50931
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Postdoctoral
Rights URI	http://creativecommons.org/licenses/by-nc-nd/2.5/ca/
AggregatedSourceRepository	DSpace

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