Prof.
Marco Frittelli
(Università degli Studi di Milano)
9/1/15, 9:00 AM
In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class S of significant sets, which we call Arbitrage de la classe S. The choice of S reflects into the intrinsic properties of the class of polar sets of martingale measures. In particular: for S = {Ω}, absence of...
Prof.
Wolfgang Runggaldier
(University of Padova, Dipartimento di Matematica)
9/1/15, 9:50 AM
The context of the talk is the multi-curve modelling of the term structure of interest rates as it arose after the big financial crisis. In particular, we discuss possible extensions of the no-arbitrage drift condition in an HJM framework.
(Based on joint work with Zorana Grbac)
Dr
Michael Tehranchi
(University of Cambridge)
9/1/15, 10:50 AM
This talk will discuss a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise, in a natural way, to an interest rate term structure model, in the same spirit as the Heath-Jarrow-Morton framework. Furthermore, such a measure-valued process gives rise to a market model of the dynamics of...
Dr
Tahir Choulli
(UNiversity of Alberta)
9/1/15, 11:20 AM
In this talk, I will present our contributions in two topics that complement each other. The first topic deals with risk minimization when the mortality is taken into consideration. For this theme, we adopt the popular risk-minimization framework of Follmer and Sonderman. In this line of research, we quantify the impact of the mortality uncertainty, as well as the intrinsic risk of its...
Prof.
Thorsten Rheinlander
(TU Vienna)
9/1/15, 11:50 AM
In a model for the limit order book with arrivals and cancellations, we derive an SPDE with one heating source and two cooling elements on a finite rod for the order volume which we solve in terms of local time. Moreover, via Brownian excursion theory, we provide a hyperbolic function table for the Laplace transforms of various times of trade. A bivariate Laplace-Mellin transform is introduced...
Prof.
xin guo
(UC Berkeley)
9/1/15, 2:00 PM
One of the most rapidly growing research areas in financial mathematics is centered around modeling LOB dynamics and/or minimizing the inventory/execution risk with consideration of microstructure of LOB. A critical yet missing piece of the puzzle, is the dynamics of an order position in a LOB.
In this talk, we will present some of our recent progress regarding the limiting behavior of the...
Mrs
Monique Jeanblanc
(université Evry Val d'ESSONNE)
9/1/15, 2:50 PM
Nous étudions le cas de grossissement de filtration en temps discret et
obtenons très simplement les formules connues en temps continu. L'exposé a un but essentiellement pédagogique.
Dr
Zorana Grbac
(Université Paris Diderot)
9/1/15, 4:30 PM
The class of polynomial preserving Markov processes has proved to be very suitable for modeling purposes in mathematical finance due to its flexibility and analytical tractability, which allows to obtain closed/semi-closed pricing formulas for various derivatives. In this work we focus on an application of this class for interest rate models on a discrete tenor. Here the polynomial preserving...
Prof.
Konstantin Borovkov
(University of Melbourne)
9/1/15, 5:10 PM
Computing the probability for a given diffusion process to stay under a particular boundary is crucial in many important applications including pricing financial barrier options. It is a rather tedious task that, in the general case, requires the use of some approximation methodology. One possible approach to this problem is to approximate given (general curvilinear) boundaries with some other...
Prof.
Peter Imkeller
(Mathematisches Institut der Humboldt-Universität zu Berlin)
9/2/15, 9:00 AM
A link between martingale representation and solutions of the Skorokhod embedding problem has been established by R. Bass. A generalization of his approach to FBSDE leads us to solutions of the Skorokhod embedding problem for diffusion processes with deterministic drift. This is joint work with Alexander Fromm and David Prömel.
Hans-Jürgen Engelbert
(Friedrich Schiller-University of Jena)
9/2/15, 9:50 AM
In this talk, we shall discuss the chaotic representation property for certain families of square integrable martingales. Our approach extends well-known results on the Brownian motion or the compensated Poisson process in which case the family would only consist of a single martingale. The starting point for these investigations has been the problem of finding appropriate families of...
Prof.
Ernst Eberlein
(University of Freiburg)
9/2/15, 10:50 AM
A brief introduction into the Lévy Libor and the Lévy forward process model is given. Basic properties of these two frameworks are discussed. The main goal is to derive formulas for price sensitivities of standard fixed income derivatives. Two approaches are discussed. The first approach is based on the integration–by–parts formula, which lies at the core of the application of the Malliavin...
Prof.
Martin Schweizer
(ETH Zurich)
9/2/15, 2:00 PM
A classic result (due to Borwein and Lewis) in the theory of optimisation under constraints says the following. Suppose we have n measurable functions a_i in L^q on a finite measure space and a nonnegative function x in L^p. Call b_i the integrals of x against a_i. Then there exists a function z in the norm interior of L^infty which has the same integrals b_i against a_i as x. So if the...
Dr
Yiqing LIN
(University of Vienna)
9/2/15, 2:50 PM
We study the dual problem of the expected utility maximization in incomplete markets with bounded random endowment. We start with the duality results of [Cvitanic-Schachermayer-Wang, 2001], in which the optimal strategy is obtained by first formulating and solving a dual problem. We observe that: in the Brownian framework, the countably additive part $Q^r$ of the dual optimizer $Q\in...
Prof.
Mihail Zervos
(London School of Economics)
9/2/15, 3:50 PM
We consider managerial incentive provision under moral hazard in a firm that is subject to stochastic growth opportunities. In the model that we study, managers are dismissed after poor performance as well as when an opportunity to improve the firm's profitability that requires a change of management arises. The optimal contract may induce managerial entrenchment, whereby, ex post-attractive...
Mr
Marek Musiela
(Oxfor Man Institute)
9/2/15, 4:40 PM
Mathematical models are developed to capture market behaviour at a point in time and are used to
gain competitive advantage over time. In the option business, for example, they are calibrated to
liquid information and used to price and trade more exotic and hence less liquid products. However
market liquidity changes over time, it can increase or evaporate depending on the economic
conditions....
Mr
Teruyoshi Suzuki
(Hokkaido University)
9/2/15, 5:10 PM
We analyze the interaction of the debt renegotiation between two firms that cross-hold their issuing debts and equities. When the firms are reciprocally the major shareholder and/or debt holder of the other firms, the possibility of debt renegotiation will affect each other. We first develop models of debt renegotiation scheme: debt equity swap and strategic debt service with game-theoretic...
Prof.
Takashi Shibata
(Tokyo Metropolitan University)
9/2/15, 5:50 PM
Mikhail Zhitlukhin
(Steklov Mathematical institute)
9/2/15, 6:20 PM
This paper studies the expected value of the supremum of fractional Brownian motion and related Gaussian processes. We obtain upper and lower bounds for the expected supremum and bounds for the approximation of the supremum of a continuous process by random walks. As corollaries, we obtain results on the structure of fractional Brownian motion when the Hurst parameter H tends to zero.
This is...
Prof.
Nizar Touzi
(Ecole Polytechnique)
9/3/15, 9:00 AM
We study the optimal transport between two probability measures on the real line, where the transport plans are laws of one-step martingales. A quasi-sure formulation of the dual problem is introduced and shown to yield a complete duality theory for general marginals and measurable reward (cost) functions: absence of a duality gap and existence of dual optimizers. Both properties are shown to...
Dr
Michael Schmutz
(University of Berne)
9/3/15, 10:50 AM
The aim of risk-based solvency frameworks, such as Solvency II to be introduced in the EU and the Swiss Solvency Test (SST) that has been in force in Switzerland since 2011, is to assess the financial health of insurance companies. This is achieved by quantifying capital adequacy by calculating the solvency capital requirement (SCR). These calculations are based on scalar risk measures....
Dr
HASSAN OMIDI FIROUZI
(LABEXREFI)
9/3/15, 11:50 AM
Banks and financial institutions can use either the internal models-based approach or the standardized approach to assess and report the risk of the trading book for future periods. In this paper, we examine relevant estimation methods for computing Value at Risk (VaR) and Expected Shortfall (ES) for banks at both desk level and bank-wide level. We provide a benchmark method for estimation...
Prof.
Nicole El Karoui
(UPMC)
9/4/15, 9:00 AM
We consider the non-Bayesian quickest detection problem of an unobservable time
of change in the rate of an inhomogeneous Poisson process. We seek a stopping
rule that minimizes the robust Lorden criterion. The latter is formulated in terms
of the number of events until detection, both for the worst-case delay and the false
alarm constraint. In the Wiener case, such a problem was solved...
Prof.
Masaaki Kijima
(Tokyo Metropolitan University)
9/4/15, 9:50 AM
This paper proposes a unified approximation method for various options whose payoffs depend on the volume weighted average price (VWAP). Despite their popularity in practice, quite few pricing models have been developed in the literature. Also, in previous works, the underlying asset process has been restricted to a geometric Brownian motion. In contrast, our method is applicable to the...
Prof.
ANTHONY REVEILLAC
(INSA de Toulouse - Institut de Mathématiques de Toulouse)
9/4/15, 10:50 AM
In this talk we will revisit conditions under which the solution to a BSDE is Malliavin differentiable. To this end, we provide a new characterization of the Malliavin-Sobolev spaces which is particularly suitable for our purpose. This talk is based on joint works with Thibaut Mastrolia, Peter Imkeller and Dylan Possamaï.
Mr
Peng Luo
(University of Konstanz)
9/4/15, 11:20 AM
We consider multidimensional quadratic BSDEs with generators which can be separated into a coupled and an uncoupled part which allows to analyse the degree of coupling of the system in terms of the growth coefficients. We provide conditions on the relationship between the size of the terminal condition and the degree of coupling which guarantee existence and uniqueness of solutions.
Mr
Hao Xing
(London School of Economics)
9/4/15, 11:50 AM
We tackle a number of problems related to the existence of continuous-time stochastic Radner equilibria with incomplete markets. Various assumptions of "smallness" type-including a new notion of "closeness to Pareto optimality"-are shown to be sufficient for existence and uniqueness. Central role in our analysis is played by a fully-coupled nonlinear system of quadratic BSDEs.
This is a...
Prof.
Ernst Presman
(CEMI RAN)
9/4/15, 2:00 PM
The talk is devoted to the general one-dimensional diffusion. We discuss the definition and characterization of such processes: scale, speed measure, killing measure. The generating operator is considered on an extended space of functions (as compared with a classical approach). We give a local characterization potential functions and excessive functions. For the general one-dimensional...
Stefan Ankirchner
(University of jena)
9/4/15, 2:30 PM
The talk is about optimal stopping with the contraint that the expectation of any stopping time has to be bounded by a given constant. We show that by introducing a new state variable one can derive a dynamic programming principle. This allows to characterize the value function as the solution of a PDE and to obtain a verification theorem.
Finally we compare our approach with alternative...
Dr
Alexander Slastnikov
(CEMI)
9/4/15, 3:00 PM
We describe a variational approach to solving optimal stopping problems for diffusion processes. In the framework of this approach, one can find optimal stopping time over the class of first exit time from the set (for a given family of sets). For the case of one-parametric family of sets we give necessary and sufficient conditions for optimality of stopping time over this class.
For...
Mr
Ying Hu
(Université Rennes 1)
9/4/15, 3:50 PM
The paper is concerned with adapted solution of a multi-dimensional BSDE with a "diagonally" quadratic generator, the quadratic part of whose ith component only depends on the ith row of the second unknown variable. Local and global solutions are given. In our proofs, it is natural and crucial to apply both John-Nirenberg and reverse H\"older inequalities for BMO martingales.
Dr
Qi Zhang
(Fudan University)
9/4/15, 4:30 PM
We study the degenerate backward stochastic partial differential equation with singular terminal value, and prove the existence and uniqueness of its non-negative solution by the comparison theorem and the gradient estimate of solution. This kind of equation has an application in the portfolio liquidation problem. This is a joint work with Ulrich Horst and Jinniao Qiu.
Mr
said hamadene
(LMM, Universite du Maine, Le Mans, France)
9/4/15, 5:10 PM
In this talk, we discuss a new existence and uniqueness result of a continuous viscosity solution for integro-partial differential equation (IPDE in short).
The novelty is that we relax the so-called monotonicity assumption on the driver which is classically assumed in the literature of viscosity solution of equation with a non local term. Our method is based on the link of those IPDEs with...
Prof.
Huaizhong Zhao
(Loughborough University)
9/4/15, 5:40 PM
An ergodic theorem and a mean ergodic theorem in the random periodic regime on a Polish space is proved.
The idea of Poincaré sections is introduced and under the strong Feller and irreducible assumptions on Poincaré
sections, the weak convergence of the transition probabilities at the discrete time of integral multiples of the period is
obtained. Thus the Khas'minskii-Doob type theorem...
Mrs
Christophette Blanchet-Scalliet
(Ecole Centrale Lyon)
We study classical problemes of enlargement of filtration, giving the formula of decomposition of martingales in a filtration F as semi matingales in a larger filtration.
The goal is to show that all the formula are simple and easy to understand.
Caroline Hillairet
(CMAP ecole polytechnique)
Public-Private Partnership (PPP) is a contract between a public entity and a consortium, in which the public outsources the construction and the maintenance of an equipment (hospital, university, prison...). One drawback of this contract is that the public may not be able to observe the effort of the consortium but only its impact on the social welfare of the project. We aim to characterize...
