Dutch Math Finance afternoons

The first meeting will take place at TU Delft on Friday 31 March 2023.

Location: EEMCS-Lecture Hall Pi, Mekelweg 4, 2628 Delft (map)

Schedule: 

• 13:30-13:45: Welcome

• 13:45-14:15: Jori Hoencamp

• 14:15-14:45: Chenguang Liu

• 14:45-15:15: Kristoffer Andersson

• 15:15-15:45: Coffee Break

• 15:45-16:15: Luis Souto Arias

• 16:15-16:45: Fenghui Yu

• 16:45-17:15: Matteo Michielon

• 17:15-20:00: Closing and dinner

Titles and Abstracts:

• Kristoffer Andersson (Utrecht): "A robust deep FBSDE method for stochastic control"

• Luis Souto Arias (Utrecht): "Option pricing with self-exciting jump processes"

• Jori Hoencamp (Amsterdam): "The  impact of stochastic volatility on initial margin and MVA in a post LIBOR world"

• Chenguang Liu (Delft): "Convergence rates for BSDEs driven by Lévy processses"

• Matteo Michielon (Amsterdam): "Implied risk-neutral default probabilities via conic finance"

• Fenghui Yu (Delft): "Dynamic Optimal Statistical Arbitrage Strategies"

Abstract: Statistical arbitrage is a class of market-neutral investment strategies that exploits temporal price differences between similar assets by employing mean reversion models, and has been widely used by traders and hedge funds. Pairs trading is one of the most popular example of statistical arbitrage strategies. In this talk, I will first discuss the dynamic optimal pairs trading strategies which involve holding a long position and a short position simultaneously to take advantage of inefficient pricing in correlated securities. Explicit analytical trading strategies are obtained under a dynamic mean-variance framework. More general cases of statistical arbitrage will also be presented in the end.