Peter Carr Seminar Series: Arash Fahim and Igor Cialenco
RSVP
Arash Fahim
Associate Professor of Mathematics at Florida State University
Title
Information Cost and Monitoring in the Agency Problem
Abstract
Formulating relationships between the ownership and management as a principal-agent problem sheds light on how the agency problem shapes the internal structure of the assets and liabilities of a firm. In this talk, we model the effect of monitoring in the agency problem. More precisely, we present monitoring as a way for the principal to obtain more accurate information about the actions of the management, which are usually assumed unobservable. We showed that the corresponding optimal control problem has a regular solution from which we will describe the optimal contract. We also study the effect of optimal monitoring policy on the stock price, volatility, and the credit risk of the firm.
Bio
Arash Fahim has been an Associate Professor of Mathematics at Florida State University (FSU) since 2013. Prior to his tenure at FSU, he held postdoc positions at the University of Michigan and the Fields Institute for Research in Mathematical Sciences.
Igor Cialenco
Full Professor in the Department of Applied Mathematics at Illinois Institute of Technology
Title
Dynamic Groundwater Markets
Abstract
We introduce the groundwater trading model, capturing the emergent groundwater market among stakeholders in a given groundwater basin. Each agent, such as farmers, municipalities, and water districts, optimizes their production decisions while accounting for their allocated water rights, the water required for their operations, and the ability to trade water with one another. The goal is to build a tractable, dynamic, stochastic model for this market, and study the resulting Nash equilibria of a nonzero-sum noncooperative game between agents. After a brief overview of the single-period model and its key properties, we turn to the multi-period stochastic framework, which incorporates the additional feature of allowing agents to bank water. We present several approaches to price formation, each based on choosing a particular Nash equilibrium from the set of many feasible equilibria, followed by computational algorithms and numerical results. (Joint work with M. Lludkovski, UCSB)
Bio
Igor Cialenco is a Full Professor in the Department of Applied Mathematics at Illinois Institute of Technology. His primary research interests are in mathematical finance, stochastic control, and statistical analysis of SPDEs, with emphasis on environmental finance, risk and performance measures, time consistency in decision making, optimal investment and robo-advising, counterparty risk, and reinforcement learning. His research is continuously supported by the National Science Foundation.
He is a member of the editorial boards of numerous scientific journals, including as Managing Editor for the International Journal of Theoretical and Applied Finance (IJTAF). He served as elected Chair and Program Director for the Society for Industrial and Applied Mathematics (SIAM) Activity Group on Financial Mathematics and Engineering.