PhD Defense: Mostafa Mousavi

Event Date: 

Monday, May 15, 2017 - 3:00pm

Event Location: 

  • Sobel Seminar Room
  • PhD Defense

Title: Financial Markets with Delay 


Committee members:

Prof Tomoyuki Ichiba (chair)

Prof Jean-Pierre Fouque

Prof Michael Ludkovski



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.