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SIAM Activity Group on FME Virtual Talk Series
Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering.

Date: Thursday, October 7, 2021, 1PM-2PM

Speaker: Ibrahim Ekren, Florida State University

Title: Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading

Abstract: We establish connections between optimal transport theory and the dynamic version of the Kyle model, including new characterizations of informed trading profits via conjugate duality and Monge-Kantorovich duality. We use these connections to extend the model to multiple assets, general distributions, and risk-averse market makers. With risk-averse market makers, liquidity is lower, assets exhibit short-term reversals, and risk premia depend on market maker inventories, which are mean reverting. We illustrate the model by showing that implied volatilities predict stock returns when there is informed trading in stocks and options and market makers are risk averse. Based on joint work with Kerry Back, Francois Cocquemas and Abraham Lioui.

Moderator: Sebastian Jaimungal, University of Toronto
Nov 4, 2021 01:00 PM
Dec 2, 2021 01:00 PM
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Ibrahim Ekren
Assistant Professor @Florida State University
Ibrahim is an Assistant Professor in the Department of Mathematics at Florida State University. Prior to his arrival at FSU, he was a Byrne Research Post-Doctoral Assistant Professor in the Department of Mathematics at the University of Michigan, and a postdoctoral researcher and member of the Stochastic Finance Group in the Department of Mathematics at ETH Zurich. Ibrahim obtained his PhD in mathematics from the Department of Mathematics at the University of Southern California, where he worked under the supervision of Prof. Jianfeng Zhang. He received his master's degree from Université Pierre et-Marie-Curie, Paris, France and his Diplome d'ingenieur from Ecole Polytechnique.