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X-WR-CALDESC:Events for Mathematical Finance
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DTSTART:20260308T080000
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DTSTART:20261101T070000
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DTSTART;TZID=America/Chicago:20260206T140000
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CREATED:20251203T183845Z
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UID:2502-1770386400-1770390000@www.math.ttu.edu
SUMMARY:Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
DESCRIPTION:Speaker: Prof. Andrey Itkin\, Department of Finance and Risk Engineering\, Tandon School of Engineering\, NYU \nAbstract: The Marketron model\, introduced by [Halperin\, Itkin\, 2025]\, describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multidimensional space comprising the log-price x\, a memory variable y encoding past money flows\, and unobservable return predictors z. While the original work calibrated the model to S&P 500 time series data\, this paper extends the framework to option markets – a fundamentally distinct challenge due to market incompleteness stemming from non-tradable state variables. We develop a utility-based pricing approach that constructs a risk-adjusted measure via the dual solution of an optimal investment problem. The resulting Hamilton-Jacobi-Bellman (HJB) equation\, though computationally formidable\, is solved using a novel methodology enabling efficient calibration even on standard laptop hardware. Having done that\, we look at the additional question to answer: whether the Marketron model\, calibrated to market option prices\, can simultaneously reproduce the statistical properties of the underlying asset’s log-returns. We discuss our results in view of the long-standing challenge in quantitative finance of developing an unified framework capable of jointly capturing equity returns\, option smile dynamics\, and potentially volatility index behavior.
URL:https://www.math.ttu.edu/mathematicalfinance/event/marketron-through-the-looking-glass-from-equity-dynamics-to-option-pricing-in-incomplete-markets/
LOCATION:via Zoom
CATEGORIES:Spring 2026
ATTACH;FMTTYPE=image/png:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2025/12/Itkin-e1764786999404.png
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