Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Optimal Bookmaking

Tuesday, September 24, 2019 at 11:50am - 12:50pm

Bin Zou - University of Connecticut

We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of bets placed by gamblers.  The bookmaker seeks a price process that maximizes his expected (utility of) terminal wealth. We obtain explicit solutions or characterizations to the bookmaker's optimal bookmaking problem in various interesting models.
Location   Hill 425