{"id":959,"date":"2016-10-07T15:43:00","date_gmt":"2016-10-07T14:43:00","guid":{"rendered":"http:\/\/mathfinance.sns.it\/?p=959"},"modified":"2016-10-12T15:44:55","modified_gmt":"2016-10-12T14:44:55","slug":"paolo-guasoni-stochastics-and-market-frictions-an-overview","status":"publish","type":"post","link":"http:\/\/mathfinance.sns.it\/index.php\/paolo-guasoni-stochastics-and-market-frictions-an-overview\/","title":{"rendered":"Paolo Guasoni, \u201cStochastics and market frictions: An overview\u201d"},"content":{"rendered":"<p style=\"text-align: center;\">Wednesday\u00a0October 19\u00a02016<br \/>\n15:00<br \/>\nScuola Normale Superiore<br \/>\nAula\u00a0Mancini<\/p>\n<p style=\"text-align: center;\"><b>Paolo Guasoni<\/b><br \/>\nDublin City University<\/p>\n<p style=\"text-align: center;\"><strong>Abstract<br \/>\n<\/strong><\/p>\n<p style=\"text-align: center;\">In the last decades Finance theory has benefited from its affinity with the theory of Stochastic Processes, in particular martingales and stochastic control. These theories have subtly influenced the development of Finance along the path in which they were most successful, thereby disregarding market frictions such as trading costs, incomplete information, and incentives. This talk outlines recent developments in stochastic methods for models with frictions, how they undermine several tenets of portfolio theory, and how they stimulate new approaches to stochastic control. The talk concludes with a mention of frictions arising from mortality and operational risk.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Wednesday\u00a0October 19\u00a02016 15:00 Scuola Normale Superiore Aula\u00a0Mancini Paolo Guasoni Dublin City University Abstract In the last decades Finance theory has benefited from its affinity with the theory of Stochastic Processes, in particular martingales and stochastic control. These theories have subtly influenced the development of Finance along the path in which they were most successful, thereby [&hellip;]<\/p>\n","protected":false},"author":7,"featured_media":0,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":[],"categories":[13],"tags":[],"_links":{"self":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/959"}],"collection":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/users\/7"}],"replies":[{"embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/comments?post=959"}],"version-history":[{"count":1,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/959\/revisions"}],"predecessor-version":[{"id":960,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/posts\/959\/revisions\/960"}],"wp:attachment":[{"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/media?parent=959"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/categories?post=959"},{"taxonomy":"post_tag","embeddable":true,"href":"http:\/\/mathfinance.sns.it\/index.php\/wp-json\/wp\/v2\/tags?post=959"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}