Seminar

Optimal trade execution (and backward stochastic differential equation)

Alexandre Popier (Université du Maine)

December 1, 2016, 11:00–12:15

Toulouse

Room MS 001

MAD-Stat. Seminar

Abstract

In this talk we present in details an optimal stochastic control problem related to portfolio liquidation problems. Then we explain how it can be solved using backward stochastic differential equation. We generalize the existing results in three directions: firstly there is no assumption on the underlying filtration (in other words on the noise), secondly we relax the terminal liquidation constraint and finally the time horizon can be random (joint work with T. Kruse (Essen, Germany)). At the end we will briefly detail two works in progress: one with S. Ankirchner (Jena, Germany), A. Fromm (Jena, Germany) and T. Kruse, the second with C. Zhou (NUS, Singapore).