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SUMMARY:Optimal investment and contingent claim valuation under temporary 
 price impacts and margin requirements - Pennanen\, T (King's College Londo
 n)
DTSTART:20131119T110000Z
DTEND:20131119T115000Z
UID:TALK48893@talks.cam.ac.uk
CONTACT:Mustapha Amrani
DESCRIPTION:We explore how certain fundamental results in financial mathem
 atics are affected when moving from the classical model of perfectly liqui
 d financial markets towards nonlinear models that incorporate portfolio co
 nstraints and nonlinear trading costs that arise in limit order markets. W
 e extend basic results on arbitrage bounds\, attainable claims and duality
  to general convex market models and general swap contracts where both cla
 ims and premiums may have multiple payout dates. \n
LOCATION:Seminar Room 2\, Newton Institute Gatehouse
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