Research Seminar
Venue: Shabolovka st. 26, Room 3211
On Thursday, November 28 at 4.40pm International College of Economics and Finance and International Laboratory of Financial Economics held a research seminar in Finance.
Speaker: Marek Weretka (University of Wisconsin-Madison)
Theme: «Pricing Large Financial Products» joint work with Andres Carvajal
Venue: Shabolovka st., 26, room 3211
Abstract: This paper develops a method to price risky assets that are in non-negligible supply. The introduction of large financial products affects consumption; hence, Arrow prices and the original pricing kernel become obsolete in the counterfactual experiment. Thus, the standard Arrow pricing approach cannot be applied in this context. This paper contributes to the literature on the differentiated product markets. Contrary to the commonly used discrete choice approach, our model gives predictions in settings in which agents are allowed to simultaneously trade arbitrary quantities of many financial products.