Abstract:
A general discrete-time framework for deriving equilibrium prices of financial assets is
proposed. It allows for heterogenous agents, unspanned random endowments and convex
trading…

CAM Colloquium: Mason Porter (Oxford) - Cascades and Social Influence on Networks
Friday, February 1, 2013 at 3:30pm
Frank H. T. Rhodes Hall, 655
Cascades and Social Influence on NetworksI discuss…

CAM Colloquium: Mason Porter (Oxford) - Cascades and Social Influence on Networks
Friday, February 1, 2013 at 3:30pm
Frank H. T. Rhodes Hall, 655
Cascades and Social Influence on NetworksI discuss…

Most classical models for derivatives prices focus on prescribing the time evolution of the underlying stochastic factors. The prices of derivatives are then computed, for example, via the…

Jim Dai (Cornell ORIE) - Queues in Service Systems: Customer Abandonment and Diffusion Approximations
Tuesday, September 11, 2012 at 4:15pm
Frank H. T. Rhodes Hall, 253
Parallel-server queues with…

Hans Föllmer
Institute for Mathematics
Humboldt Universität zu Berlin
Some Martingale Aspects of Financial Bubbles
We discuss some recent developments in the probabilistic analysis…