Optimal Transport and Risk Aversion in Kyle's Model of Informed Trading - SIAM FME Virtual Talk

Attend a virtual talk in the SIAM Activity Group on Financial Mathematics and Engineering series exploring optimal transport theory and risk aversion in Kyle's model of informed trading. Delve into connections between optimal transport and the dynamic Kyle model, including new characterizations of informed trading profits. Examine extensions to multiple assets, general distributions, and risk-averse market makers. Learn how risk-averse market makers impact liquidity, asset behavior, and risk premia. Discover insights on implied volatilities predicting stock returns in the context of informed trading and risk-averse market makers. Engage with speaker Ibrahim Ekren from Florida State University as he presents findings from joint research, moderated by Sebastian Jaimungal from the University of Toronto.

Introduction
Welcome
Model
Contribution
Asymmetric Information
Kais Model
Literature Review
Challenges
Equilibrium
Risk Materials
Equilibrium Properties
Natural Measure
Constructing the Equilibrium
Recipe to Construct the Equilibrium
Qualitative Properties
Summary
Questions Comments