Stochastic Analysis Common-Pietro Siorpaes (University of Oxford)-Optimal Investment and Price Dependence in a Semi-static Market

Mathematics - Colloquium

Monday, September 8, 2014
4:00 PM-5:00 PM

Stratton Hall
308

ABSTRACT: We study the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modeled as locallybounded semi-martingales. Using a general utility function defined on the positive real line, we first study existence and uniqueness of the solution, and then we consider the dependence of the outputs of the utility maximization problem on the price of the derivatives, investigating not only stability but also differentiability, monotonicity, convexity and limiting properties.

Suggested Audiences: Adult, College

E-mail: ma-chair@wpi.edu

Last Modified: August 20, 2014 at 8:32 AM

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