Dear all,
Please note that, because of the strike of public transports, the talk of
Peter Tankov here below will take place
*On March 8, 2023 at 15.00,** Aula Dottorato, First Floor,* Dipart.
Matematica, Università di Milano, Via Saldini 50, Milano.
Best regards,
Emanuela
---------- Forwarded message ---------
Da: Emanuela Rosazza Gianin <emanuela.rosazza1(a)unimib.it>
Date: ven 3 mar 2023 alle ore 16:55
Subject: De Finetti Risk Seminar - March 8, 2023
To: random <random(a)fields.dm.unipi.it>
On behalf of the Scientific Committee of the "B. de Finetti Risk
Seminars, Milano Lectures on the Mathematical Theory of Economics and
Finance”, we are glad to invite you to participate at the following Lecture:
Peter Tankov
ENSAE Paris, France
Title: Decarbonization dynamics of a large financial market: a mean-field
game approach
Abstract:
We build a model of a financial market where a large number of firms
determine their emission strategies under climate transition risk in the
presence of both green-minded and neutral investors. The firms maximize a
criterion depending on their financial performance (determined by the
equilibrium share price), and their environmental performance. The
interaction between the firms takes place through the stochastic discount
factor, determined in equilibrium by the investors' preferences. We
formalize the problem in the setting of mean-field games and prove the
existence and uniqueness of a Nash equilibrium for firms. We then present a
convergent numerical algorithm for computing this equilibrium and
illustrate the impact of climate transition risk and the presence of
green-minded investors on the market decarbonization dynamics and share
prices in a variety of settings.
LOCATION:
The seminar will be held on *March 8, *2023 at *18.00,* Aula Di
Rappresentanza, Dipart. Matematica, Università di Milano, Via Saldini 50,
Milano.
Scientific Committee
Prof. Simone Cerreia-Voglio (Univ. Bocconi)
Prof. Marco Frittelli (Univ. degli Studi di Milano)
Prof. Fabio Maccheroni (Univ. Bocconi)
Prof. Marco Maggis (Univ. degli Studi di Milano)
Prof. Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ. Milano-Bicocca)
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Emanuela Rosazza Gianin
Dipartimento di Statistica e Metodi Quantitativi
Università di Milano-Bicocca
Edificio U7 – 4° Piano
Via Bicocca degli Arcimboldi, 8
20126 Milano
Tel. 02 64483208
e-mail: emanuela.rosazza1(a)unimib.it
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