Title	Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Creator	Pulido, Sergio
Publisher	Banff International Research Station for Mathematical Innovation and Discovery
Date Issued	2016-05-25T16:14
Description	We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs. We apply these results to a financial model where the prices of risky assets are quoted by a representative dealer in such a way that it is optimal to meet an exogenous demand. We show that the prices are stable under the demand process and derive their analytic expansions for small risk aversion coefficients of the dealer. (This is joint work with Dmitry Kramkov.)
Extent	32 minutes
Subject	Mathematics; Game theory, economics, social and behavioral sciences; Probability theory and stochastic processes
Type	Moving Image
File Format	video/mp4
Language	eng
Notes	Author affiliation: ENSIIE ÉVRY
Series	BIRS Workshop Lecture Videos (Oaxaca de Juárez (Mexico))
Date Available	2016-11-24
Provider	Vancouver : University of British Columbia Library
Rights	Attribution-NonCommercial-NoDerivatives 4.0 International
DOI	10.14288/1.0339927
URI	http://hdl.handle.net/2429/59800
Affiliation	Non UBC
Peer Review Status	Unreviewed
Scholarly Level	Faculty
Rights URI	http://creativecommons.org/licenses/by-nc-nd/4.0/
Aggregated Source Repository	DSpace

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