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SEQUENCE:1
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UID:224216
DTSTAMP:20250918T091017Z
DTSTART;TZID=America/New_York:20250926T110000
DTEND;TZID=America/New_York:20250926T115000
URL;TYPE=URI:https://wpiedudev.wpi.edu/news/calendar/events/department-math
 ematical-sciences-colloquium-xiaofei-shi-university-toronto
SUMMARY:Department of Mathematical Sciences Colloquium: Xiaofei Shi, Univer
 sity of Toronto
DESCRIPTION:\n\n\n      \n\n\n\nDepartment of Mathematical Sciences\nColloq
 uium\nFriday, September 26th, 2025\n11:00AM-11:50AM\nStratton Hall 202\nSp
 eaker: Xiaofei Shi, University of Toronto\nTitle: Illiquidity, Interest Ra
 tes, and Asset Prices\nAbstract: In this talk we present how the interest 
 rates and the price dynamics of a risky asset depend on the market illiqui
 dity. In particular, with the presence of even small trading costs, the in
 terest rates determined in equilibrium will become stochastic. An equilibr
 ium is achieved through a system of coupled forward-backward SDEs, whose s
 olution turns out to be amenable to an asymptotic analysis for the practic
 ally relevant regime of large liquidity. These tractable approximation for
 mulas match with stylized facts observed in reality. (Joint work in progre
 ss with Paolo Guasoni and Johannes Muhle-Karbe.)\n
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