Speaker: Alejandro Rivera
Title: On the number of nodal components of cut-off fractional gaussian fields
Location: Room S4.36 Strand Building
Time: 15:00-16:00
For updates and more information see: https://nms.kcl.ac.uk/probability/events.php
Speaker: Giuseppe Cannizzaro
Title: The parabolic Anderson model in 2 d, mass and eigenvalue asymptotics
Location: Huxley Building, Room 308
Time: 12:00 - 14:00
Abstract: In this talk I present work in progress with Wolfgang König and Nicolas Perkowski on the parabolic Anderson model (PAM) with white noise potential in 2d. We show the behaviour of the total mass as the time tends to infinity. By using partial Girsanov transform and singular heat kernel estimates we can obtain the mass-asymptotics by using the eigenvalue asymptotics that have been showed in another work in progress with Khalil Chouk.
For updates and more information see: http://www3.imperial.ac.uk/newsandeventspggrp/imperialcollege/naturalsciences/mathematics/stochasticanalysisseminars/eventssummary/event_7-12-2018-11-12-46
Speaker: Pedro Gurrola-Perez (Bank of England)
Location: Harrie Massey LT, 25 Gordon Street
Time: 16:00-17:00
For updates and more information see: https://www.ucl.ac.uk/maths/events/seminars/financial-mathematics-practitioners-seminar
Speaker: Marc Henrard (muRisQ Advisory and UCL)
Title: LIBOR Fallback: A Quantitative Perspective
Location: Room 2005, 106 Bunhill Row London, EC1Y 8TZ
Time: 18:10-19:15
For updates and more information see: https://www.cass.city.ac.uk/faculties-and-research/finance/education-and-events/financial-engineering-workshops
First Speaker: Idris Kharroubi (LPSM Sorbonne Université)
Title: Quenched mass transport of particles towards a target
Location: Imperial College London, Blackett Building / Room 630
Time: 17:00-18:00
Abstract: We consider the stochastic target problem of finding the collection of initial laws of a mean-field stochastic differential equation such that we can control its evolution to ensure that it reaches a prescribed set of terminal probability distributions, at a fixed time horizon. Here, laws are considered conditionally to the path of the Brownian motion that drives the system. We establish a version of the geometric dynamic programming principle for the associated reachability sets and prove that the corresponding value function is a viscosity solution of a geo- metric partial differential equation. This provides a characterization of the initial masses that can be almost-surely transported towards a given target, along the paths of a stochastic differential equation. This talk is based on a joint work with B. Bouchard (Paris Dauphine University) and B. Djehiche (KTH Stockholm).
Second Speaker: John Armstrong (King's College London)
Title: Symmetries of Markets
Location: Imperial College London, Blackett Building / Room 630
Time: 18:00-19:00
Abstract: We will ask what it means for two markets to be isomorphic and discuss the classification of markets. It turns out classical markets such as Markowitz’s market, the Black-Scholes-Merton market and complete one period markets all have interesting classification theorems. A consequence is that all these markets have large symmetry groups: a symmetry of a market is an automorphism of the market. We’ll see that these market symmetries give rise to “mutual fund theorems” that generalize the classical two mutual fund theorem in the Markowitz model.
For updates and more information see: https://www.londonmathfinance.org.uk/new-page
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Speaker: Elena Issoglio (University of Leeds)
Title: A numerical scheme for a multidimensional SDEs with distributional drift
Location: Room S4.36 Strand Building
Time: 15:00-16:00
Abstract: This talk focuses on a multidimensional SDE where the drift is an element of a fractional Sobolev space with negative order, hence a distribution. This SDE admits a unique weak solution in a suitable sense - this was proven in [Flandoli, Issoglio, Russo (2017)]. The aim here is to construct a numerical scheme to approximate this solution. One of the key problems is that the drift cannot be evaluated pointwise, hence we approximate it with suitable functions using Haar wavelets, and then apply (an extended version of) Euler-Maruyama scheme. We then show that the algorithm converges in law, and in the special 1-dimensional case we also get a rate of convergence (and in fact convergence in L^1). This talk is based on a joint work with T. De Angelis and M. Germain.
For updates and more information see: https://nms.kcl.ac.uk/probability/events.php
Speaker: Martin Keller-Ressel (University of Dresden)
Title: A comparison principle between rough and non-rough Heston volatility models
Location: Huxley Building 139
Time: 17:30-18:30
Abstract: We show that a comparison principle between the moment generating functions (mgfs) of the rough and the non-rough Heston model holds true. Essentially, the deterministically time-changed mgf of the non-rough Heston model provides a lower bound for the mgf of the rough Heston model outside of the interval [0,1]. Our results improve on the lower bound of Gerhold et al. (2018) for most parameter values of the Heston model. The results can be directly transferred to a comparison principle for the asymptotic slope of implied volatility between rough and non-rough Heston models. All results are easily extended from rough models defined through power-law convolution kernels to other kernels. The talk is based on joint work with Assad Majid.
For updates and more information see: http://www3.imperial.ac.uk/newsandeventspggrp/imperialcollege/naturalsciences/mathematics/mathfin/eventssummary/event_8-1-2019-12-36-43
Speaker: Roberto Daluiso (Banca IMI)
Title: Fast Price Sensitivities with an Application to Margin Valuation Adjustment
Location: Room 2005, 106 Bunhill Row London, EC1Y 8TZ
Time: 18:10-19:15
For updates and more information see: https://www.cass.city.ac.uk/faculties-and-research/finance/education-and-events/financial-engineering-workshops
Speaker: Sara Svaluto-Ferro (University of Vienna)
Title:
Location: CLM.7.02 Clement House, LSE
Time: 12:00-13:00
Abstract:
For updates and more information see: http://www.lse.ac.uk/Mathematics/Events-and-Seminars/Joint-Risk-Stochastics-and-Financial-Mathematics-Seminar
Speaker: Hans Buehler (JPMorgan)
Title:
Location: City and Guilds CAGB Lecture Theatre 200, South Kensington Campus
Time: 18:00 - 19:00
For updates and more information see: http://www3.imperial.ac.uk/newsandeventspggrp/imperialcollege/naturalsciences/mathematics/lqfseminars/eventssummary/event_17-12-2018-10-15-32
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Speaker: Jan van Neerven (Delft)
Title: Backward stochastic evolution equations in UMD Banach spaces
Location: Room S4.36 Strand Building
Time: 15:00-16:00
Abstract: Extending results of Pardoux and Peng and Hu and Peng, we prove well-posedness results for backward stochastic evolution equations in UMD Banach spaces. This is joint work with Qi Lü.
For updates and more information see: https://nms.kcl.ac.uk/probability/events.php
Speaker:
Title:
Location: Harrie Massey LT, 25 Gordon Street
Time: 16:00-17:00
Abstract:
About the speaker:
For updates and more information see: https://www.ucl.ac.uk/maths/events/seminars/financial-mathematics-practitioners-seminar
First Speaker: Sebastian Jaimungal (University of Toronto)
Location: Imperial College London, Blackett Building / Room 630
Time: 17:00-18:00
Abstract:
Second Speaker: Niushan GAO (Ryerson University)
Title: Risk measures on Orlicz spaces
Location: Imperial College London, Blackett Building / Room 630
Time: 18:00-19:00
Abstract: For a coherent risk measure rho: L^infty to R, Delbaen (2002) proved that rho can be represented as the worst expectation over a class of probability measures whenever it has the Fatou property. Later, it has been asked whether Delbaen's representation theorem holds on more general model spaces containing unbounded positions. In this talk, we will present a comprehensive investigation on this problem for risk measures on Orlicz spaces. We first characterize the Orlicz spaces over which the representation holds. We also show that the representation holds on general Orlicz spaces if the risk measures possess additional properties, e.g., law-invariance or surplus-invariance.
For updates and more information see: https://www.londonmathfinance.org.uk/new-page
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Speaker: Matteo Bissiri (Università di Roma Tor Vergata)
Title: Behaviour risk modelling and the valuation of prepayment options
Location: Huxley Building 139
Time: 17:30-18:30
Abstract: Assets and liabilities with embedded prepayment/extension options can be subject to behavioural risk. This is due to the unpredictable exercise strategy followed by the option holder not acting purely on the strength of financial convenience. We introduce a more precise definition of behavioural risk and develop an alternative way to calibrate a behavioural risk premium. In addition, we propose a general framework to model behavioural risk by taking advantage of a full parallel with credit risk modelling. As a result, we derive a formula for the pricing of contracts with embedded options by introducing the concept of behavioural risk adjustment (bVA). The valuation of a basket of mortgages is discussed in more details, as an example.
For updates and more information see: https://www.imperial.ac.uk/mathematical-finance/events/finance-and-stochastics/
Speaker: Pierre-Olivier Goffard (ISFA)
Title: Fraud risk assessment within blockchain transactions
Location: CLM.7.02 Clement House, LSE
Time: 12:00-13:00
Abstract: The probability of successfully spending twice the same bitcoins is considered. A double-spending attack consists in issuing two transactions transferring the same bitcoins. The first transaction, from the fraudster to a merchant, is included in a block of the public chain. The second transaction, from the fraudster to himself, is recorded in a block that integrates a private chain, exact copy of the public chain up to substituting the fraudster-to-merchant transaction by the fraudster-to-fraudster transaction. The double-spending hack is completed once the private chain reaches the length of the public chain, in which case it replaces it. The growth of both chains are modeled by two independent counting processes. The probability distribution of the time at which the malicious chain catches up with the honest chain, or equivalently the time at which the two counting processes meet each other, is studied. The merchant is supposed to await the discovery of a given number of blocks after the one containing the transaction before delivering the goods. This grants a head start to the honest chain in the race against the dishonest chain.
A preprint is available on http://pierre-olivier.goffard.me/Publications/FraudRiskAssessmentWithinBlockChainTransaction_Goffard0218.pdf
For updates and more information see: http://www.lse.ac.uk/Mathematics/Events-and-Seminars/Joint-Risk-Stochastics-and-Financial-Mathematics-Seminar
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First Speaker: Oleksii Mostovyi (University of Connecticut)
Location: Imperial College London, Blackett Building / Room 630
Time: 17:00-18:00
Abstract: We study the sensitivity of the expected utility maximization problem in a continuous semimartingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled with a general utility function, we obtain a second-order expansion of the value function, a first-order approximation of the terminal wealth, and construct trading strategies that match the indirect utility function up to the second order. If a risk-tolerance wealth process exists, using it as a numeraire and under an appropriate change of measure, we reduce the approximation problem to a Kunita-Watanabe decomposition. This talk is based on the joint work with Mihai Sirbu.
Second Speaker: Charles-Albert Lehalle (Capital Fund Management)
Location: Imperial College London, Blackett Building / Room 630
Time: 18:00-19:00
Abstract: Optimal liquidation mainly focused on risk control, providing tools and frameworks to make the balance between trading fast (to obtain a price as close as possible to the decision price) and trading slow (to avoid market impact). Usually the control of such problems is the trading speed. Nevertheless it is needed to interact in real-time with liquidity (for instance via limit order books) to really buy or sells shares and contracts. For few years academic papers started to document "execution predictors", like the order book imbalance, and practitioners try to use such predictors to drive their trading speed. In recent papers with Eyal Neuman, Othmane Mounjid, Hadrien De March and Mathieu Rosenbaum, I explored different ways to exploit such signals without giving up risk control. In this talk I will give some empirical evidence of the use of such signals by market participants and I will explain the main mechanisms allowing to safely use signals for optimal trading.
For updates and more information see: https://www.londonmathfinance.org.uk/new-page
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Speaker: Diane Holcomb
Title: Random matrices through differential operators
Venue: Strand Building, room S4.36
Time: 15:00-16:00
Abstract: In 1984 Trotter described a tridiagonal random matrix model that has the same eigenvalues as the Gaussian Orthogonal Ensemble. This model and a later generalization share many structural properties with discrete Schrödinger operators. This led to the conjecture that the largest eigenvalues of the ensemble converged to the the eigenvalues a certain random differential operator. We will give an overview of where the conjecture comes from and a bit of the proof. We will then look at a process that appears when looking at eigenvalues of submatrices of the tridiagonal model. This process is notably different than the one that appears when considering submatrices of the full matrix model. This talk will survey work by Dumitriu-Edelman, Edelman-Sutton, and Ramirez-Rider-Virag. It finishes up with work that is joint A. Gonzalez.
For updates and more information see: https://nms.kcl.ac.uk/probability/calendar.php
Speaker: Adriano Koshiyama (UCL)
Title: Conditional Generative Adversarial Networks for Trading Strategies
Venue: Room 4.05, 66-72 Gower Street
Time: 12:00 - 13:00
Abstract: Systematic trading strategies are algorithmic procedures that allocate assets aiming to optimize a certain performance criterion. To obtain an edge in a highly competitive environment, the analyst needs to proper fine-tune its strategy, or discover how to combine weak signals in novel alpha creating manners. Both aspects, namely fine-tuning and combination, have been extensively researched using several methods, but emerging techniques such as Generative Adversarial Networks can have an impact into such aspects. Therefore, our work proposes the use of Conditional Generative Adversarial Networks (cGANs) for trading strategies calibration and aggregation. To this purpose, we provide a full methodology on: (i) the training and selection of a cGAN for time series data; (ii) how each sample is used for strategies calibration; and (iii) how all generated samples can be used for ensemble modelling. To provide evidence that our approach is well grounded, we have designed an experiment with multiple trading strategies, encompassing 579 assets. We compared cGAN with an ensemble scheme and model validation methods, both suited for time series. Our results suggest that cGANs are a suitable alternative for strategies calibration and combination, providing outperformance when the traditional techniques fail to generate any alpha. arXiv:1901.01751v2
Speaker: Leonidas Rompolis (Athens University of Economics and Business)
Title: Recovering the Market Risk Premium from Stock and Option Prices
Location: Room 2005, 106 Bunhill Row London, EC1Y 8TZ
Time: 18:10-19:15
For updates and more information see: https://www.cass.city.ac.uk/faculties-and-research/finance/education-and-events/financial-engineering-workshops
First Speaker: Antonis Papapantoleon
Title: Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance
Location: Huxley Building 139
Time: 17:30-18:30
Abstract: This talk considers model-free bounds for multi-asset option prices in a setting where the marginals are known and the dependence structure is partially known. We will first present methods to sharpen the classical Fréchet-Hoeffding bounds on copulas using additional information on the dependence structure, and discuss their application in option pricing, portfolio Value-at-Risk and the detection of arbitrage. Then, we will consider model-free hedging of multi-asset option prices in the presence of additional information on the dependence structure. An extension of the classical optimal transport superhedging duality will allow us to provide new insights in model-free hedging, and show (non) sharpness of the improved Fréchet-Hoeffding bounds.
Second Speaker: Andrea Pallavicini
Title: Modelling Commodity Futures with Different Delivery Periods
Location: Huxley Building 139
Time: 18:30-19:30
Abstract: Futures on flow commodities, such as natural gas, are usually quoted in the market with different, and possibly overlapping, delivery periods. On the other hand, options on futures are usually quoted only on underlying assets with a specific delivery period. In this presentation we wish to extend the commodity smile model of Nastasi et al. (2018) to deal with different delivery periods. We present numerical examples in a simplified version of the model to understand calibration and pricing issues. Then, we conclude by inspecting further extensions of the dynamics.
For updates and more information see: https://www.imperial.ac.uk/mathematical-finance/events/finance-and-stochastics/
Speaker: Lukas Gonon (University of St.Gallen)
Title: Reservoir Computing with Stochastic Inputs: Universality, Error Bounds and Financial Applications
Location: CLM.7.02 Clement House, LSE
Time: 12:00-13:00
Abstract: We study dynamic machine learning for discrete-time stochastic processes based on reservoir computing. Putting particular emphasis on echo state networks, we present results on universal approximation properties as well as error bounds for learning tasks based on these systems. Finally, we apply them to the problem of predicting realized covariances of financial time series. The talk is based on joint works with Juan-Pablo Ortega and Lyudmila Grigoryeva.
For updates and more information see: http://www.lse.ac.uk/Mathematics/Events-and-Seminars/Joint-Risk-Stochastics-and-Financial-Mathematics-Seminar
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Speaker: Hyeng Keun Koo (Ajou University)
Title: Duesenberry, Long-term Wealth Management, and Asset Pricing
Location: CLM.7.02 Clement House, LSE
Time: 12:00-13:00
Abstract: I will talk about Duesenberry's theory of consumption and propose a formal model of the theory. I will show how the model can be used for long-term investors' risk management. I will also discuss asset pricing implications of the model.
For updates and more information see: http://www.lse.ac.uk/Mathematics/Events-and-Seminars/Joint-Risk-Stochastics-and-Financial-Mathematics-Seminar
First Speaker: Christoph Kuhn (Johann Wolfgang Goethe-Universität)
Title: Prospective strict no-arbitrage and the fundamental theorem of asset pricing under transaction costs
Location: Imperial College London, Blackett Building / Room 630
Time: 17:00-18:00
Abstract: In this talk, we discuss the arbitrage theory for finite discrete time market models with proportional transaction costs. In contrast to frictionless markets, the no-arbitrage property does not imply the existence of a separating probability measure since there can still exist an approximate arbitrage. To overcome this problem, Schachermayer (2004) introduced the robust no-arbitrage condition and showed that it is equivalent to the existence of a strictly consistent price system.
We introduce a slightly weaker condition called prospective strict no-arbitrage that is a variant of the strict no-arbitrage property from Kabanov, Rasonyi, and Stricker (2002). Like robust no-arbitrage, it implies that the set of attainable portfolios is closed in probability. This allows us to establish a version of the fundamental theorem of asset pricing with consistent price systems which are not necessarily strict, i.e., consistent frictionless prices may lie on the relative boundary of the bid-ask spread. Finally, we discuss some puzzling phenomena occurring in similar models with capital gains taxes and show how the prospective strict no-arbitrage property can be applied here. The talk is based on joint work with Alexander Molitor.
Second Speaker: Laurence Carassus (ESILV)
Title: Pricing without martingale measure
Location: Imperial College London, Blackett Building / Room 630
Time: 18:00-19:00
Abstract: Abstract:For several decades, the no-arbitrage (NA) condition and the martingale measures have played a major role in the financial asset's pricing theory. Here, we propose a new approach based on convex duality instead of martingale measures duality: our prices will be expressed using Fenchel conjugate and bi-conjugate. This naturally leads to a weak condition of (NA) called Absence of Immediate Profit (AIP). It asserts that the price of the zero claim should be zero or equivalently that the super-hedging cost of some call option should be non-negative. We propose several characterizations of the (AIP) condition and also study the relation with (NA) and a stronger notion of (AIP) linked to the no-free lunch condition. We show in a one step model that under (AIP) the super-hedging cost is just the payoff's concave envelop. In the multiple-period case, for a particular, but still general setup, we propose a recursive scheme for the computation of a the super-hedging cost of a convex option.We also give some promising numerical illustrations. (Joint work with Julien Baptiste and Emmanuel Lépinette).
For updates and more information see: https://www.londonmathfinance.org.uk/new-page
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Speaker: Blanka Horvarth (Kings College London)
Title: Deep Learning Volatility: Fast Calibration of Stochastic Volatility Models
Location: Room 2005, 106 Bunhill Row London, EC1Y 8TZ
Time: 18:10-19:15
For updates and more information see: https://www.cass.city.ac.uk/faculties-and-research/finance/education-and-events/financial-engineering-workshops
Speaker: Flavia Barsotti (University of Bologna)
Title:
Location: CLM.7.02 Clement House, LSE
Time: 12:00-13:00
Abstract:
For updates and more information see: http://www.lse.ac.uk/Mathematics/Events-and-Seminars/Joint-Risk-Stochastics-and-Financial-Mathematics-Seminar
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First Speaker: Michael Kupper (University of Konstanz)
Location: Imperial College London, Blackett Building / Room 630
Time: 17:00-18:00
Second Speaker: Scott Robertson (Boston University)
Location: Imperial College London, Blackett Building / Room 630
Time: 18:00-19:00
For updates and more information see: https://www.londonmathfinance.org.uk/new-page