Event Details
Optimal Bookmaking
- Event Date: September 24, 2019
- Event End Date: September 24, 2019
- Event Start Time: 11:50 AM
- Event End Time: 12:50 PM
- Event Location: Hill 425
- Event Type: Mathematical Finance and Probability Seminars
- Extra Info: Bin Zou - University of Connecticut
We introduce a general framework for continuous-time betting markets, in which a bookmaker can dynamically control the prices of bets on outcomes of random events. In turn, the prices set by the bookmaker affect the rate or intensity of bets placed by gamblers. The bookmaker seeks a price process that maximizes his expected (utility of) terminal wealth. We obtain explicit solutions or characterizations to the bookmaker's optimal bookmaking problem in various interesting models.