Campuses:

binomial model

Monday, June 11, 2018 - 9:00am - 9:50am
Thaleia Zariphopoulou (The University of Texas at Austin)
In this talk, I will introduce a new class of forward performance processes that are endogenous and predictable with regards to an underlying market information set and, furthermore, they are updated at discrete times. I will discuss in detail a binomial model whose parameters are random and updated dynamically as the market evolves.
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