16 citations · 18 across the 3 of their papers we have counts for
3 papers
Option Pricing with Delayed Information
Tomoyuki Ichiba, Seyyed Mostafa Mousavi
We propose a model to study the effects of delayed information on option pricing. We first talk about the absence of arbitrage in our model, and then discuss super replication with…
Systemic Risk and Stochastic Games with Delay
Rene Carmona, Jean-Pierre Fouque, Seyyed Mostafa Mousavi +1
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of banks is described by coupl…
Contagion and Stability in Financial Networks
Seyyed Mostafa Mousavi, Robert Mackay, Alistair Tucker
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of ba…