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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Insider models and equilibrium

　

　

　

Speaker

:

Prof. Arturo Kohatsu Higa

　

　

Graduate School of Engineering Sciences

　

　

Osaka University

　

　

　

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

　

　

　

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Abstract:
　

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.


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Biography:
　

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.


************************* ALL ARE WELCOME ************************

　

　

　

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

　

　

　

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