Back to the calendar

Feb

4

UCLouvain Economics Seminar - Bernard Cornet, Université de Paris I

By UCLouvain Economics Seminar

will give a presentation on

Abstract

This paper considers financial markets with bid-ask spreads and studies the class of markets with hedging complements, a property formalized by the complementarity of its hedging price, in the same way as strategic complements is defined on agents’ payoff functions in game theory. The class of markets with hedging complements contains both markets with frictionless securities and the larger class markets with independent marketed securities together with the frictionless bond, assuming both to be arbitrage-free. Moreover, the hedging prices of the latter markets are proved to satisfy a tractable explicit formula, as the sum of a “generalized” convex Choquet integral and of a modular term. Finally this class of markets also satisfyg the put-call parity of Cerreia-Vioglio, Maccheroni, Marinacci, and Montrucchio (2015). (joint with Alain Chateauneuf)

**The seminar will take place online on Teams** (accessible via this link

Date

04 February

Time

12:45 - 14:00

Location

Tags

Categories

Organizer

Starts: Thursday, February 4 12:45 +01:00 CET
Ends: Thursday, February 4 14:00 +01:00 CET