Multidimensional Kyle–Back Model with a Risk Averse Informed Trader

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2024-03-14 DOI:10.1137/21m1457059

Shreya Bose, Ibrahim Ekren

引用次数: 0

Abstract

SIAM Journal on Financial Mathematics, Volume 15, Issue 1, Page 93-120, March 2024.
Abstract. We study the continuous time Kyle–Back model with a risk averse informed trader. We show that in a market with multiple assets and non-Gaussian prices an equilibrium exists. The equilibrium is constructed by considering a Fokker–Planck equation and a system of partial differential equations that are coupled with an optimal transport type constraint at maturity.

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具有风险厌恶型知情交易者的多维凯尔-巴克模型

SIAM 金融数学期刊》，第 15 卷第 1 期，第 93-120 页，2024 年 3 月。摘要。我们研究了具有风险厌恶型知情交易者的连续时间 Kyle-Back 模型。我们证明，在一个具有多种资产和非高斯价格的市场中，均衡是存在的。该均衡是通过考虑一个福克-普朗克方程和一个偏微分方程系构建的，该方程系与到期时的最优运输类型约束相耦合。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.