Illiquidity in Financial Markets - Models for Pricing and Hedging Derivatives

June 1, 2011, Dublin City University,
Speaker(s) Peter Bank (TU Berlin & Quantitative Product Laboratory)

Standard asset price models used in Mathematical Finance are built on the assumption that the devised strategies do not affect the price of these assets. While this assumption is valid in many cases, it becomes dubious in situation where trade sizes become so large that they are no longer easily covered by market liquidity or when market liquidity is low. We will describe and discuss a number of models put forward in the literature. For the analysis of these models we will develop and apply some mathematical results from Stochastic Analysis as well as a bit of economics, most notably General Equilibrium Theory.

The aim of this workshop is to provide a crash course on models of liquidity and price impact to PhDs, postdocs, academics and practitioners with a strong academic background. Peter Bank is a Professor of Mathematical Finance at TU Berlin and is also Scientific Director of the Quantitative Products Laboratory. His research interests include Mathematical Finance, Stochastic Analysis, Optimization and Probability and further details can be found on his homepage. A list of related publications can be found here. Papers related to the course can be downloaded here - Large Investor I and Large Investor II.

This workshop will be run jointly with the Edgeworth Centre for Financial Mathematics.

Arrangements:

Participation:

This event is free and open to PhD students, postdocs, academics and industry participants. To book a place complete this

Student Bursaries

A limited number of bursaries will be available to cover local expenses for junior researchers. To apply please e-mail Irene Ward with a curriculum vitae and a letter of support from your advisor. The closing date for applications will be 16 May 2011.

Contributed Talks

A workshop will take place on Wednesday afternoon. If you wish to submit a contributed talk for consideration please include a talk title and abstract when you register.

Venue Details

This Summer School will take place at Dublin City University. For directions on how to get to DCU by car or public transport please visit this website. A DCU campus map can be found here. The Summer School will take place in Building H to the left of the main entrance.

Lecture Theatre Facilities

Data projector and screen.

Accommodation

DCU is located around 4kms north of the city and is served by numerous buses running through the city centre. Accommodation of various prices can be found at this website. Willow House, Griffith House and Cashel Lodge are all located in Drumcondra and are a short walk from the campus. Alternatively, numerous hotels and guesthouses are available in the city centre, which is a 15 minute bus journey from Dublin City University. Please contact Irene Ward is you require any further information.

Registration

Registration will take place at 9.30am on Wednesday 1 June.

Programme
Click Here To Download Programme
Wednesday 1 June 2011
Time Event
09.30-10.00 Registration (tea/coffee)
10.00-12.00 Lecture 1 – Peter Bank (Room HG19)
12.00-14.00 Lunch (DCU Restaurant)
14.00-15.30 Workshop with contributed talks from Roman Muraviev Lena Golubovskaja Xin Geng
Thursday 2 June 2011
Time Event
09.30-10.00 Tea/Coffee
10.00-12.00 Lecture 2 – Peter Bank (Room HG22)
12.00-14.00 Lunch (DCU Restaurant)
Friday 3 June 2011
Time Event
09.30-10.00 Tea/Coffee
10.00-12.00 Lecture 3 – Peter Bank (Room HG22)
12.00-14.00 Lunch (DCU Restaurant)