Mathematical Finance & Financial Data Science Seminar

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Time Scales in Finance & Event-Driven Modeling

Speaker: Mike Lipkin

Location: Warren Weaver Hall 1302

Date: Tuesday, November 6, 2018, 5:30 p.m.

Synopsis:

Traditional mathematical finance has treated the event space as a noisy stochastic heat bath and the pricing of options a direct application of "Mertonian equilibrium methods" to such a model. But traders are interested in singular behavior around "events", and the readjustment of the "system" after an event. Quasi-equilibrium approaches are important. Time scales are essential ingredients.

Bio: Mike Lipkin

Mike Lipkin has taught event-driven finance for more than a decade at Columbia University. He has original contributions in the field via the pricing of hard-to-borrows, pinning, take-over analysis and turbulence. For 23 years he traded options as a market maker on the AMEX and NYSE.