I am an Assistant Professor in the Department of Economics at the University of Wisconsin in Madison. My research interests include game theory and its applications to finance; in particular, games on networks, games with asymmetric information, and continuous-time games. I received my PhD degree in Mathematical Finance from the University of Alberta in 2016.
Continuous-Time Repeated Games with Imperfect Information: Folk Theorems and Explicit Results.
I have studied repeated interactions in continuous time models under the guidance of Prof. Christoph Frei in the Department of Mathematical and Statistical Sciences. Please see the section on my research for more information and find my thesis here.
I wrote my thesis on the connection of affine processes and Lévy processes under the supervision of Prof. Josef Teichmann. The main focus of my courses was stochastic analysis and mathematical finance.
Relevant coursework during my degree included probability theory, statistics, risk theory, quantitative risk management, economic theory of financial markets and extreme value theory.
Whether you are applying for a job, launching a start-up, running for office, or playing poker, the outcome in many situations depends not only on your own decisions but also on those made by others. Game theory examines how to model such interactions formally and which outcomes to expect when everybody takes into account the objectives and decisions of others.
The second quarter of the microeconomics core sequence introduces the core concepts of game theory needed to model and solve games with complete and incomplete information, both in static and in dynamic settings. We study the main solution concepts and understand the underlying assumptions they impose on the rationality and knowledge of the players. Applications range from job applications, procrastination, and politics to social encounters and board games.
Climate agreements, research collaborations, and market competition are examples of long-lasting interactions between strategic decision makers. In addition to maximizing their short-term objective, people in long-run relationships have to take into account how their actions will affect the future of their relationship. Repeated and stochastic games provide the fundamental tools to study intertemporal incentives that support cooperation in such relationships.
This paper characterizes the set of perfect public equilibrium payoffs, the set of stationary Markov perfect equilibrium payoffs, and a simple class of semi-stationary equilibrium payoffs in continuous-time stochastic games with finitely many states and a publicly observable Brownian signal about past actions. Contrary to many discrete-time methods, the characterization does not rely on a convergence to the stationary distribution ... Download
This paper studies two-player games in continuous time with imperfect public monitoring, where information may arrive both continuously, governed by a Brownian motion, and discontinuously, according to Poisson processes. For this general class of two-player games, we characterize the equilibrium payoff set via a convergent sequence of differential equations whose solutions ... Download
We develop a framework for analyzing how banks can be incentivized to make contributions to a voluntary bail-in and ascertaining the kinds of interbank linkages that are most conducive to a bail-in. A bail-in is possible only when the regulator’s threat to not bail out insolvent banks is credible. Incentives to join a rescue consortium are stronger for banks with a high exposure ... Link, Online Appendix
We develop a model of Cournot competition between capacity-constrained firms that sell a single good to multiple regions. We characterize the unique equilibrium allocation of the good across regions and provide an algorithm to compute it. We show that a reduction in transportation costs by a firm may negatively impact the profit of all firms and reduce consumer surplus if such a firm is capacity constrained... Link
A game theory package that places emphasis on user-friendly input and coloring each player's name, actions, and payoffs in a dedicated color for ease of distinction. Information about the game entered within one environment is stored after it is parsed and can be re-used in another environment. Currently still in development. Bug reports are very welcome. Documentation
Package for creating problem sets, exams, and question banks with emphasis on ease of use. Single compilation generates three pdfs: the problem set, the solutions, and the grading scheme. Points assigned in the grading scheme are totaled up and displayed on the exam automatically. Problems can be filtered based on labels and/or difficulty. Documentation
This is a minimally intrusive package that changes the default overlay behavior of the tikz commands within the beamer document class from the \only to to the `\onslide` behavior. As a consequence, the bounding box of any `tikzpicture` environment is fixed for the entire frame - hence the portmanteau fikz - which prevents images from "jumping around" from slide to slide. Documentation