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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZOFFSETFROM:-0600
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DTSTART:20260308T080000
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DTSTART:20261101T070000
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DTSTART;TZID=America/Chicago:20260828T140000
DTEND;TZID=America/Chicago:20260828T153000
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UID:3371-1787925600-1787931000@www.math.ttu.edu
SUMMARY:Seminar: Propagation of carbon price shocks through the value chain: a mean-field game of defaults
DESCRIPTION:Speaker: Peter Tankov\, ENSAE ParisTech \nAbstract: We develop a mean-field game framework to study carbon pricing in a multi-sector economy with defaultable firms. In each sector\, firms produce a homogeneous good and choose inputs—labor\, emissions\, and intermediate goods—while taking endogenous prices as given and optimally deciding default timing. The economy is modeled as a system of coupled optimal stopping mean-field games\, which admits a linear programming formulation characterizing Nash equilibria via population measure flows. We prove existence and uniqueness of the equilibrium price system. Numerical experiments with CES technologies highlight substitution effects and significant cross-sector spillovers driven by carbon price shocks. \nhttps://texastech.zoom.us/j/3067000354?pwd=S0nCdfz1Ue6kOR9aBFgx67IEXPuNZd.1&omn=92497120807 \nMeeting ID: 306 700 0354\nPasscode: TTUMF \n–
URL:https://www.math.ttu.edu/mathematicalfinance/event/seminar-propagation-of-carbon-price-shocks-through-the-value-chain-a-mean-field-game-of-defaults/
CATEGORIES:Fall 2026
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