Financial Engineering Workshop -Daniele Marazzina (Politecnico Milano)

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Workshop

Wed, Mar 22, 2023

6 PM – 7 PM (GMT+0)

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REGISTRATION: 17:30 - 18:00

Bayes Business School, 106 Bunhill Row
Room 2005 (second floor)

106 Bunhill Row, London EC1Y 8TZ, UK

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Details

Daniele Marazzina is Associate Professor of Quantitative Finance at the Politecnico di Milano. He will be giving a seminar titled "Dynamic adoption of CBDC in a stochastic game" on Wednesday 22nd March 2023 from 18:00 - 19:00.

Abstract
We study the dynamic adoption of a Central Bank Digital Currency (CBDC) in a stochastic environment, comparing the effect of different remuneration schemes. The CBDC is issued by the Central Bank (CB) on a platform with stochastic productivity. We consider a continuum of symmetric agents, who are differentiated according to their transaction needs. They aim to maximize the instantaneous payoff, which depends on three terms: the gained utility, the participation cost and the opportunity cost. The platform providers are represented by a financial intermediary, who is risk neutral and controls the platform productivity, selecting the work effort to maximize the expected value of future revenues coming from transaction costs, net of development costs. The CB can provide a subsidy to agents in order to incentivize participation, reducing the participation fee de facto. Our main goal is to characterize the equilibrium of the three types of agents, namely platform participants, financial intermediary and CB. We perform a numerical analysis to study the adoption level, the role of the Central Bank and the impact of the remuneration scheme. Investigating the equilibrium strategies, we find that the CB plays a key role in the participation rate.

Bio
Daniele Marazzina is Associate Professor of Quantitative Finance at the Politecnico di Milano. Graduated in mathematics, his research interests are option pricing, asset allocation problems with application of stochastic calculus, as well as fintech and insurtech, with particular attention to the world of Machine Learning and applications of Blockchain technology.

Please register the day before the workshop to receive the link to the seminar if attending online, otherwise you may not be given access.
Food Provided (Light refreshments. )

Where

Bayes Business School, 106 Bunhill Row
Room 2005 (second floor)

106 Bunhill Row, London EC1Y 8TZ, UK