Skip to main content

Ambiguity and Knightian Uncertainty in Financial Markets

Frontiers of Finance is being sponsored by BH-DG- Systematic Trading

 Speakers

David Kelsey, University Exeter

Paper Title: "Ambiguity and Accident Law"

David Kelsey graduated from Oxford University with degrees in mathematics and economics. He has taught at a number of Universities including Cambridge, California, Iowa and the Australian National University. His current position is Professor of Economic Theory at the University of Exeter. He is currently working on choice under uncertainty and its applications in economics and finance. In particular on how factors such as ambiguity and overconfidence influence behaviour. The research focuses on the impact of ambiguity in finance, game theory and economics. Applications of this research have included, private provision of public goods, partnerships and asset pricing. At present he is researching into the impact of ambiguity on corporate finance and herding in financial markets. He is also interested in decision-making within firms and how it influences corporate governance.

Kelsey

Sujoy Mukerji, University of Oxford

Paper Title: "Ambiguity and the historical equity premium"

His research has primarily been on decision making under ambiguity, its foundations, and its relevance in economic contexts. Recently, in collaborative work with Peter Klibanoff and Massimo Marinacci, he formulated a new model of decision making under ambiguity, dubbed the "Smooth Ambiguity Model" which is more comprehensive than the "first-generation" models on Knightian Uncertainty and allows the modeller to address a far greater range of relevant comparative static questions. The framework has, more recently, been extended to dynamic decision making set ups and applied to the analyses of a wide range of behavior in financial markets, e.g., re-exploring the famous equity premium puzzle. He also serves as an Associate Editor of Econometrica.

Mukerji

Frank Riedel, University of Bielefeld


Paper Title: "Optimal Stopping under Multiple Priors"

Frank Riedel studied Mathematics at Freiburg University. He completed a Ph.D. with Hans Föllmer at Humboldt University in Berlin. After postdoc positions in Berkeley and Stanford, he became Professor for Economics at Bonn University.

Since 2009, he is Director of the Institute of Mathematical Economics at Bielefeld. Frank Riedel's research focuses recently on applications of model and Knightian uncertainty to financial problems. In particular, he has addresses the issue of pricing American Options under Knightian uncertainty in recent Econometrica paper.

Riedel

Jayant Vivek Ganguli, University of Cambridge

Paper Title: "The pricing effects of ambiguous private information"

Jayant V Ganguli is a University Lecturer in the Faculty of Economics at the University of Cambridge. His research interests include economic theory and financial economics, particularly the effect of ambiguity on informational efficiency in financial markets. His work has been published in the Journal of the European Economic Association, the Review of Economic Studies, and Economic Theory.

Ganguli

 

wbs LOGO 

 

 

 

Sponsor Logo 

To register for Ambiguity and Knightian Uncertainty in Financial Markets Workshop on 5th July 2011, Please click HERE

Please note accommodation booking has now closed, contact conferences@warwick.ac.uk directly.