Congratulations to Mostafa Mousavi for successfully defending his PhD thesis

On May 15 Mostafa Seyyed Mousavi has successfully defended his thesis!

Title: Financial Markets with Delay 

Committee members:

Prof Jean-Pierre Fouque 

Prof Tomoyuki Ichiba (chair)

Prof Michael Ludkovski

Abstract:

We propose two models to study di?erent aspects of delay in ?nancial markets. In the ?rst model, we discuss option pricing with delayed information. We study super replication with delayed information in a discrete model and derive its continuous limit. In the second model, we discuss systemic risk using a ?nite-player linear quadratic stochastic di?erential game with delay, where the evolution of log-monetary reserves of banks is described by coupled di?usions driven by controls with delay in their drifts, and banks are minimizing their ?nite-horizon objective functions.