Optimal debt management with bankruptcy risk

Probability and Financial Mathematics Seminar

Meeting Details

For more information about this meeting, contact Anna Mazzucato, Manfred Denker, Alexei Novikov.

Speaker: Alberto Bressan, Penn State

Abstract: A problem of optimal debt management in infinite time horizon is modeled as a noncooperative game between a borrower and a pool of risk-neutral lenders. Because of the presence of a bankruptcy risk, lenders charge a higher interest rate to offset the possible loss of part of their investment. Optimal solutions are found in open-loop and in feedback form.

Room Reservation Information

Room Number: 106 McAllister

Date: 10/14/2016

Time: 3:30pm - 4:30pm