統計数学セミナー

過去の記録 ~05/28次回の予定今後の予定 05/29~

担当者 吉田朋広、荻原哲平、小池祐太
セミナーURL http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/
目的 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う.

2018年11月09日(金)

11:00-12:00   数理科学研究科棟(駒場) 123号室
Frédéric Abergel 氏 (CentraleSupélec)
Market impact and option hedging in the presence of liquidity costs

[ 講演概要 ]
The phenomenon of market (or: price) impact is well-known among practicioners, and it has long been recognized as a key feature of trading in electronic markets. In the first part of this talk, I will present some new, recent results on market impact, especially for limit orders. I will then propose a theory for option hedging in the presence of liquidity costs.(Based on joint works with E. Saïd, G. Loeper).