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                Department of Systems Engineering and Engineering Management
                             The Chinese University of Hong Kong
 

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Date: Friday, 5:00pm – 6:00pm, 23 October, 2015

Title: Existence of a risk neutral pricing measure for market insiders

Speaker: Leo Neufcourt, Columbia University

Abstract:

In this talk I will model insider information in a financial market with an enlarged filtration and analyze the existence of a risk neutral measure on the new filtered probability space. Enlargement with a random variable has been well described, and I will focus on enlargement with a Markov stochastic process. I will present the description of a simple example from finance industry and current results towards a general theorem. This is joint work with Philip Protter.

Biography:

Leo Neufcourt is a PhD student in statistics at Columbia University studying mathematical modeling of insider information with Philip Protter, and also an alumni from Ecole Polytechnique in Paris. He conducted previous research around the SVI model for volatility surfaces and central limit theorems for correlated sequences of random variables, and interned in several financial companies and academic institutions.

Everyone is welcome to attend the talk!
 

Venue: Room 513,
      William M.W. Mong Engineering Building (ERB),
      (Engineering Building Complex Phase 2)
      The Chinese University of Hong Kong.
 

The talk will be hosted by:
Prof. Lingfei Li,
Department of Systems Engineering and Engineering Management,
The Chinese University of Hong Kong,
E-mail: lfli@se.cuhk.edu.hk
Homepage: http://www1.se.cuhk.edu.hk/~lfli/
 

SEEM-5201 Website: http://seminar.se.cuhk.edu.hk
Email: seem5201@se.cuhk.edu.hk