Speaker: Traian Pirvu
Title: Pricing in Complete and Incomplete Markets
Affiliation: University of British Columbia
Date: Friday, February 17, 2006.
Place and Time: Room 101 - Love Building, 3:35-4:30 pm.
Refreshments: Room 204 - Love Building, 3:00 pm.

Abstract. We begin by reviewing the binomial asset pricing model which is a complete market model. In the limit, the binomial model converges to an exponential Brownian motion model, a setup where Black-Scholes-Merton equation was derived. In reality markets are incomplete for many reasons (eg. jumps, market closures, illiquidity) and perfect risk transfer is not possible. We introduce a novel approach of pricing in incomplete markets "via" risk measures.