Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading - SIAM FME Virtual Talk
Save Big on Coursera Plus. 7,000+ courses at $160 off. Limited Time Only! Grab it Attend a virtual talk in the SIAM Activity Group on Financial Mathematics and Engineering series exploring optimal transport theory and risk aversion in Kyle's model of informed trading. Delve into connections between optimal transport and the dynamic Kyle model, including new characterizations of informed trading profits. Examine extensions to multiple assets, general distributions, and risk-averse market makers. Learn how risk-averse market makers impact liquidity, asset behavior, and risk premia. Discover insights on implied volatilities predicting stock returns in the context of informed trading and risk-averse market makers. Engage with speaker Ibrahim Ekren from Florida State University as he presents findings from joint research, moderated by Sebastian Jaimungal from the University of Toronto.