Thursday, January 14, 2010
With the exception of Damir Filipovic and Nizar Touzi, everybody spoke about equilibrium on the third day of the workshop. What is surprising is that speakers were selected before they had to submit their talks, with the general guideline that this was going to be a workshop on foundations of mathematical finance. The fact that general equilibirum ended up being the dominat theme of the workshop shows that as a community we have moved from the arbitrage pricing to risk preferences for individual agents (risk measures, utility, indifference price etc) and are finally arriving at the task of understanding how prices are formed in markets with multiples agents, which is of course the starting point of economic theory. I for one welcome this new phase in research.