On behalf
of the Scientific Committee of The de Finetti Risk Seminars - on the
Mathematical Theory of Economics and Finance in Milano, we are glad to invite
you to participate at the "de Finetti Risk Seminar" on
March 19, 2014
at 18.00 with the Lecture
A continuous auction model with insiders
GIULIA DI NUNNO
University of Oslo
ABSTRACT
In a unified framework we study equilibrium in the presence of an insider
having information on the signal of a firm value, which is naturally connected
to the fundamental price of the firm related asset. The fundamental value itself
is announced at some future random stopping time. We consider the two cases in
which this release time of information is known and not known to the insider. We
study the structure of the optimal insider’s strategies in equilibrium and we
discuss market efficiency in the two cases of insider’s information. Some
examples of explicit insider’s strategy will be provided.
This is joint work
with Jose Manuel Corcuera, Gergely Farkas, and Bernt Øksendal.
LOCATION: The seminar
will be held on Wedsnesday, March
19, at 18.00 at Aula Chisini, Department of Mathematics,
Milano University, Via Saldini 50, Milano.
A refreshment
will be offered at 17.30.
Scientific Committee:
Prof. Marco Frittelli (Univ. degli Studi di
Milano)
Prof. Fabio Maccheroni (Univ.
Bocconi)
Prof. Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ.
Milano-Bicocca)
Dott. Simone Cerreia-Voglio (Univ.
Bocconi)
Dott. Marco Maggis (Univ. degli Studi di
Milano)
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Emanuela
Rosazza Gianin
Dipartimento di Metodi Quantitativi per le Scienze Economiche
ed Aziendali
Università di Milano Bicocca
Edificio U7 – 4° Piano
Via
Bicocca degli Arcimboldi, 8
20126 Milano
Tel. 02
64483208
Fax. 02 64483105
e-mail: emanuela.rosazza1@unimib.it
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