This information is indicative and can be subject to change.
Information, finance and game theory
Teacher: Bernard dDe Meyer
E-mail: [email protected]
ECTS: 2.5
Evaluation: Written and/or Oral exam
Previsional Place and time: Wednesdays from 9:00 to 12:30
Prerequisites: Probability theory. Conditional expectation. In this course, we mainly focus on discrete time models. Stochastic calculus is not a prerequisit of the course.
Aim of the course:This course analyses the effect of the information asymmetries on the market.
Game theory tools are used to model the behaviour of the agents facing such asymmetries.
The first part is devoted to the model of repeated zero sum games of incomplete information à la Aumann Maschler.
In the second part, we will see that the market can be seen as repeated exchange between the informed agents and the remaining part of the market.
The asymmetries of information are in fact driving the prices on the market. Due to the optimal behaviour of the informed agents, the price dynamics in the repeated exchange games results to be quite particular: I should be a continuous martingales of maximal variation (CMMV).
This observation leads to the CMMV pricing model that will be presented in the last part of the course.
Syllabus:
Lecture 1 1: Zero sum games, value of matrix game, Proof of von Neumann Theorem
Lecture 2: Extensive form game, Perfect recall,repeated sero sum game of incomplete information
References:
Information, finance and game theory
Teacher: Bernard dDe Meyer
E-mail: [email protected]
ECTS: 2.5
Evaluation: Written and/or Oral exam
Previsional Place and time: Wednesdays from 9:00 to 12:30
Prerequisites: Probability theory. Conditional expectation. In this course, we mainly focus on discrete time models. Stochastic calculus is not a prerequisit of the course.
Aim of the course:This course analyses the effect of the information asymmetries on the market.
Game theory tools are used to model the behaviour of the agents facing such asymmetries.
The first part is devoted to the model of repeated zero sum games of incomplete information à la Aumann Maschler.
In the second part, we will see that the market can be seen as repeated exchange between the informed agents and the remaining part of the market.
The asymmetries of information are in fact driving the prices on the market. Due to the optimal behaviour of the informed agents, the price dynamics in the repeated exchange games results to be quite particular: I should be a continuous martingales of maximal variation (CMMV).
This observation leads to the CMMV pricing model that will be presented in the last part of the course.
Syllabus:
Lecture 1 1: Zero sum games, value of matrix game, Proof of von Neumann Theorem
Lecture 2: Extensive form game, Perfect recall,repeated sero sum game of incomplete information
References:
