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

We solve in closed-form a Nash equilibrium model in which a finite number of exponential investors trade continuously with price-impact over a finite time horizon. By comparing our continuous-time Nash equilibrium model to the otherwise identical  competitive Radner equilibrium model, we show that our Nash equilibrium model with price-impact can simultaneously help resolve the interest rate puzzle, the equity premium puzzle, and the stock volatility puzzle. Joint work with Jin Hyuk Choi, Kasper Larsen, and Duane J. Seppi.