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:

Umut Cetin London School of Economics

Title: *Insider trading with penalties and BSDEs*

Abstract: We study equilibrium in a continuous time Kyle-Back model with a risk neutral informed trader whose trades are subject to costs, which can also be viewed as legal penalties for illegal insider trading if caught by the authorities. Existence of equilibrium is established under certain assumptions on the asset’s terminal payoff. Informed trader’s value function is related to a BSDE whose terminal condition is determined in equilibrium, which turns out to be the fixed point of a nonlinear operator. Equilibrium also reveals an interesting connection between h-transforms and quadratic BSDEs.

LOCATION: The seminar will be held on *November 8, *2023 at *16.30,* Aula Di Rappresentanza, Dipart. Matematica, Università di Milano, Via Saldini 50, Milano.

Scientific Committee: Prof. Simone Cerreia-Vioglio (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)