Sunday, October 24, 2010

Games and options at Paris Nord

So there is irrefutable evidence that the number of reader of this blog is strictly larger than zero: Jean-Michel Courtault told me he got wind that I was spending time in Paris through a colleague who follows the blog and invited yours truly to give a talk at Universite Paris Nord.

I use the opportunity to brush up on some old work I did on real options and game theory. The intersection between the two approaches is actually quite tricky, especially in incomplete markets. But I'm getting close to completing two papers on the topic - one in discrete, the other in continuous time - and will post them when they are ready. In the mean time, the slides for the talk can be found here.

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