Title

:

Insider models and equilibrium

Speaker

:

Prof. Arturo Kohatsu Higa

Date

:

March 5th, 2008 (Wednesday)

Time

:

4:30 p.m. - 5:30 p.m.

Venue

:

Room 513

William M.W. Mong Engineering Building

(Engineering Building Complex Phase 2)

CUHK

We give a brief introduction to recent results in insider trading models. In particular we discuss issues of finite and infinite utility. At the end we will introduce recent results on equilibrium using Kyle-Back type models.

Arturo Kohatsu-Higa, obtained his M.S. degree in the Department of Mathematics at Osaka University in 1989 and his Ph-D in the Department of Statistics at Purdue University under the direction of Philip Protter in 1992. Now he is an Associate Professor in the Graduate School of Engineering Sciences at Osaka University. In the first years of his professional career he has worked in Malliavin Calculus. In particular, stochastic partial differential equations and numerical analysis around the Euler-Maruyama scheme. Lately, he is involved in insider modelling problems. In particular, devising ways to model stable markets that admit insider trading.

Host

:

Prof. Chen Nan

Tel

:

(852) 2609-8237

Email

:

nchen@se.cuhk.edu.hk

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

:

Department of Systems Engineering and Engineering Management

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seg5810

Email

:

seg5810@se.cuhk.edu.hk