ASMF seminar: Umut Cetin (London School of Economics)

19Oct2018 13:00 - 14:00


'Financial equilibrium with asymmetric information and random horizon'


I will describe and solve a version of the Kyle model with random horizon first introduced in a specific case by Back and Baruch, where the trading horizon is given by an independent exponential random variable. I will discuss the characterisation of the equilibrium value function and the pricing rule in terms of the potential theory of one-dimensional diffusions. I will also discuss how the random horizon can be endogenised by including a manager optimally choosing the announcement date of the dividend.



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    Roetersstraat 11 | 1018 WB Amsterdam
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Published by  Economics and Business