-
Prof. Marco Frittelli (Università degli Studi di Milano)01/09/2015 09:00In 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...Aller à la page de la contribution
-
Prof. Wolfgang Runggaldier (University of Padova, Dipartimento di Matematica)01/09/2015 09:50The 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)Aller à la page de la contribution
-
Dr Michael Tehranchi (University of Cambridge)01/09/2015 10:50This 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...Aller à la page de la contribution
-
Dr Tahir Choulli (UNiversity of Alberta)01/09/2015 11:20In 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...Aller à la page de la contribution
-
Prof. Thorsten Rheinlander (TU Vienna)01/09/2015 11:50In 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...Aller à la page de la contribution
-
Prof. xin guo (UC Berkeley)01/09/2015 14:00One 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...Aller à la page de la contribution
-
Mme Monique Jeanblanc (université Evry Val d'ESSONNE)01/09/2015 14:50Nous 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.Aller à la page de la contribution
-
Dr Albina Danilova (LSE)01/09/2015 15:50Information asymmetries and trading costs, in a nancial market model with dynamic information, generate a self-exciting equilibrium price process with stochastic volatility, even if news have constant volatility. Intuitively, new (constant volatility) information is released to the market at trading times that, due to traders' strategic choices, dier from calendar times. This generates an...Aller à la page de la contribution
-
Dr Zorana Grbac (Université Paris Diderot)01/09/2015 16:30The 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...Aller à la page de la contribution
-
Prof. Konstantin Borovkov (University of Melbourne)01/09/2015 17:10Computing 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...Aller à la page de la contribution
-
Prof. Peter Imkeller (Mathematisches Institut der Humboldt-Universität zu Berlin)02/09/2015 09:00A 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.Aller à la page de la contribution
-
Hans-Jürgen Engelbert (Friedrich Schiller-University of Jena)02/09/2015 09:50In 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...Aller à la page de la contribution
-
Prof. Ernst Eberlein (University of Freiburg)02/09/2015 10:50A 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...Aller à la page de la contribution
-
Dr Hélène Guérin (IRMAR)02/09/2015 11:40We are interested in the joint distribution of a spectrally negative Lévy process and its occupation time when both are sampled at a fixed time. The result is expressed in terms of scale functions of the underlying process. This result can be used to price step options and the particular case of an exponential spectrally negative Lévy jump-diffusion will be presented. This is a joint work...Aller à la page de la contribution
-
Prof. Martin Schweizer (ETH Zurich)02/09/2015 14:00A 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...Aller à la page de la contribution
-
Dr Yiqing LIN (University of Vienna)02/09/2015 14:50We 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...Aller à la page de la contribution
-
Prof. Mihail Zervos (London School of Economics)02/09/2015 15:50We 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...Aller à la page de la contribution
-
M. Marek Musiela (Oxfor Man Institute)02/09/2015 16:40Mathematical 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....Aller à la page de la contribution
-
M. Teruyoshi Suzuki (Hokkaido University)02/09/2015 17:10We 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...Aller à la page de la contribution
-
Prof. Takashi Shibata (Tokyo Metropolitan University)02/09/2015 17:50
-
Mikhail Zhitlukhin (Steklov Mathematical institute)02/09/2015 18:20This 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...Aller à la page de la contribution
-
Prof. Nizar Touzi (Ecole Polytechnique)03/09/2015 09:00We 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...Aller à la page de la contribution
-
Emmanuel Gobet (Po)03/09/2015 09:50We develop the reversible shaking transformation methods of Gobet and Liu (2014) to estimate the rare event probability arising in different financial risk settings driven by general Gaussian noise. The underlying Markov chains introduced in our approaches take values directly in the path space. We provide theoretical justification for few key properties of these Markov chains which are...Aller à la page de la contribution
-
Dr Michael Schmutz (University of Berne)03/09/2015 10:50The 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....Aller à la page de la contribution
-
Prof. Juri Hinz (UTS)03/09/2015 11:20A martingale fixed-point problem in optimal reserve exploration We show how diverse problems in the area optimal resource management, exploration of natural reserves, and environmental protection by cap-and-trade mechanism can be naturally formulated under a unified framework, as stochastic control problems of a specific type. Moreover, it turns out that solutions to these control...Aller à la page de la contribution
-
Dr HASSAN OMIDI FIROUZI (LABEXREFI)03/09/2015 11:50Banks 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...Aller à la page de la contribution
-
Prof. Nicole El Karoui (UPMC)04/09/2015 09:00We 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...Aller à la page de la contribution
-
Prof. Masaaki Kijima (Tokyo Metropolitan University)04/09/2015 09:50This 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...Aller à la page de la contribution
-
Prof. ANTHONY REVEILLAC (INSA de Toulouse - Institut de Mathématiques de Toulouse)04/09/2015 10:50In 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.Aller à la page de la contribution
-
M. Peng Luo (University of Konstanz)04/09/2015 11:20We 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.Aller à la page de la contribution
-
M. Hao Xing (London School of Economics)04/09/2015 11:50We 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...Aller à la page de la contribution
-
Prof. Ernst Presman (CEMI RAN)04/09/2015 14:00The 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...Aller à la page de la contribution
-
Stefan Ankirchner (University of jena)04/09/2015 14:30The 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...Aller à la page de la contribution
-
Dr Alexander Slastnikov (CEMI)04/09/2015 15:00We 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...Aller à la page de la contribution
-
M. Ying Hu (Université Rennes 1)04/09/2015 15:50The 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.Aller à la page de la contribution
-
Dr Qi Zhang (Fudan University)04/09/2015 16:30We 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.Aller à la page de la contribution
-
M. said hamadene (LMM, Universite du Maine, Le Mans, France)04/09/2015 17:10In 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...Aller à la page de la contribution
-
Prof. Huaizhong Zhao (Loughborough University)04/09/2015 17:40An 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...Aller à la page de la contribution
-
Mme 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.Aller à la page de la contribution
-
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...Aller à la page de la contribution
Choisissez le fuseau horaire
Le fuseau horaire de votre profil: