Departement Mathematik

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Talks in financial and insurance mathematics

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Frühjahrssemester 2017

Datum / Zeit Referent:in Titel Ort
23. Februar 2017
17:15-18:15 		Mathias Beiglböck
TU Wien
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Talks in Financial and Insurance Mathematics

Titel Brenier-type results in Martingale Optimal Transport
Referent:in, Affiliation Mathias Beiglböck, TU Wien
Datum, Zeit 23. Februar 2017, 17:15-18:15
Ort HG G 43
Abstract A seminal result in optimal transport is Brenier's theorem on the structure of the optimal plan for squared distance costs. We briefly review related results on the martingale version of the transport problem and connections with robust finance and the Skorokhod embedding problem. We then introduce a continuous time Brenier-type theorem for the martingale transport problem which exhibits a particularly simple functional form. Finally, we explain a link of this result with the local vol model.
Brenier-type results in Martingale Optimal Transportread_more
HG G 43
2. März 2017
17:15-18:15 		Anthony Réveillac
INSA de Toulouse
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Talks in Financial and Insurance Mathematics

Titel A Black-Scholes type formula for the pricing of some reinsurance contract
Referent:in, Affiliation Anthony Réveillac, INSA de Toulouse
Datum, Zeit 2. März 2017, 17:15-18:15
Ort HG G 43
Abstract In this talk we will derive, using the Malliavin calculus, a new formula which can be thought as a counterpart for some reinsurance contracts of the celebrated Black-Scholes formula in Finance. Our approach allows one for instance to consider claims that may depend on the intensity of the underlying counting process defining the risk process. This constitutes a joint work with Caroline Hillairet (ENSAE - Paris) and Ying Jiao (ISFA - Lyon).
A Black-Scholes type formula for the pricing of some reinsurance contractread_more
HG G 43
9. März 2017
17:15-18:15 		Juan-Pablo Ortega
Universität St. Gallen
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Talks in Financial and Insurance Mathematics

Titel Time-delay reservoir computers: nonlinear stability of functional differential systems and optimal nonlinear information processing capacity. Applications to stochastic nonlinear time series forecasting
Referent:in, Affiliation Juan-Pablo Ortega, Universität St. Gallen
Datum, Zeit 9. März 2017, 17:15-18:15
Ort HG G 43
Abstract Reservoir computing is a recently introduced brain-inspired machine learning paradigm capable of excellent performances in the processing of empirical data. We focus on a particular kind of time-delay based reservoir computers that have been physically implemented using optical and electronic systems and have shown unprecedented data processing rates. Reservoir computing is well-known for the ease of the associated training scheme but also for the problematic sensitivity of its performance to architecture parameters. This talk addresses the reservoir design problem, which remains the biggest challenge in the applicability of this information processing scheme. More specifically, we use the information available regarding the optimal reservoir working regimes to construct a functional link between the reservoir parameters and its performance. This function is used to explore various properties of the device and to choose the optimal reservoir architecture, thus replacing the tedious and time consuming parameter scannings used so far in the literature.
Time-delay reservoir computers: nonlinear stability of functional differential systems and optimal nonlinear information processing capacity. Applications to stochastic nonlinear time series forecastingread_more
HG G 43
16. März 2017
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Talks in Financial and Insurance Mathematics

Titel Practitioner Seminar
Referent:in, Affiliation
Datum, Zeit 16. März 2017,
Ort
Practitioner Seminar
23. März 2017
17:15-18:15 		Walter Schachermayer
Universität Wien
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Talks in Financial and Insurance Mathematics

Titel The amazing power of dimensional analysis: Quantifying market impact
Referent:in, Affiliation Walter Schachermayer, Universität Wien
Datum, Zeit 23. März 2017, 17:15-18:15
Ort HG G 43
Abstract A basic problem when trading in financial markets is to analyze the price movement caused by placing an order. Clearly we expect - ceteris paribus - that placing an order will move the price to the disadvantage of the agent. This price movement is called market impact. Following Kyle and Obizhaeva we apply dimensional analysis - a line of arguments wellknown in classical physics - to analyze to which extent the square root law applies. This universal law claims that the market impact is proportional to the square root of the size of the order. The mathematical tools of this analysis reside on elementary linear algebra. Joint work with Mathias Pohl, Alexander Ristig and Ludovic Tangpi.
The amazing power of dimensional analysis: Quantifying market impactread_more
HG G 43
30. März 2017
17:15-18:15 		Fred Espen Benth
University of Oslo
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Talks in Financial and Insurance Mathematics

Titel Cointegration in continuous-time for factor models
Referent:in, Affiliation Fred Espen Benth, University of Oslo
Datum, Zeit 30. März 2017, 17:15-18:15
Ort HG G 43
Abstract Based on some empirical evidence and stochastic models from the freight market, we propose a framework for cointegration in continuous-time. We study forward pricing, relevant in commodity markets, and how cointegration in the spot market affects the forward markets. We share some thoughts on particular cases like CARMA, polynomial and Levy stationary processes. Finally, we propose a notion of cointegration for infinite dimensional processes. The presentation is based on joint work with Andre Suess (Barcelona and Zuerich).
Cointegration in continuous-time for factor modelsread_more
HG G 43
6. April 2017
17:15-18:15 		Lisa R. Goldberg
University of Berkeley
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Talks in Financial and Insurance Mathematics

Titel Identifying Financial Risk Factor with Sparse and Low-Rank Decompositions
Referent:in, Affiliation Lisa R. Goldberg, University of Berkeley
Datum, Zeit 6. April 2017, 17:15-18:15
Ort HG G 43
Abstract We show how to use sparse and low-rank (SLR) matrix decompositions based on convex optimization to extract financial risk factors from a sample return covariance matrix. We provide an example that highlights the difference between this approach and the academic standard for financial factor identification, principal component analysis (PCA), which makes systematic errors. Using finance-oriented metrics, we analyze the accuracy of SLR and PCA on equally weighted portfolios and minimum variance portfolios in a simulated global equity market. Finally, we discuss non-convex programming formulations that show promise in identifying numerous sparse factors (industries, counties, etc) at various scales. A preprint that gives some background on what we’re up to is linked here: https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2800237 and more information can be found ion this page: http://cdar.berkeley.edu/research/risk-factors-and-low-rank-sparse-decompositions/
Identifying Financial Risk Factor with Sparse and Low-Rank Decompositionsread_more
HG G 43
13. April 2017
17:15-18:15 		Nabil Kazi-Tani
ISFA and Université Lyon 1
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Talks in Financial and Insurance Mathematics

Titel Three points suffice
Referent:in, Affiliation Nabil Kazi-Tani, ISFA and Université Lyon 1
Datum, Zeit 13. April 2017, 17:15-18:15
Ort HG G 43
Abstract We consider the problem of optimally stopping a continuous-time Markov process with a stopping time satisfying a given expectation constraint. We first reformulate the problem as a linear optimization problem, over a set of probability measures satisfying some moment constraints. To do so, we extend the balayage approach of Chacon and Walsh to the Skorokhod embedding problem for general Markov processes. This also allows us to reduce the optimization over a set of atomic measures. Our main result is the following: it is sufficient to consider stopping times such that the stopped process has a law that is a weighted sum of 3 Dirac measures. In other words: stopping at three points is enough. Several examples will illustrate that result. This is a joint work with Stefan Ankirchner (University of Jena), Maike Klein (University of Jena) and Thomas Kruse (University of Duisburg-Essen).
Three points sufficeread_more
HG G 43
20. April 2017
17:15-18:15 		Tom Hurd
McMaster University
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Talks in Financial and Insurance Mathematics

Titel Symmetric Modelling of Contagion in Banking Networks
Referent:in, Affiliation Tom Hurd, McMaster University
Datum, Zeit 20. April 2017, 17:15-18:15
Ort HG G 43
Symmetric Modelling of Contagion in Banking Networks
HG G 43
27. April 2017
17:15-18:15 		Scott Robertson
Boston University
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Talks in Financial and Insurance Mathematics

Titel The pricing of contingent claims and optimal positions in asymptotically complete markets
Referent:in, Affiliation Scott Robertson, Boston University
Datum, Zeit 27. April 2017, 17:15-18:15
Ort HG G 43
Abstract We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors and/or risk aversion. Assuming that the average indifference price converges to a well defined limit, we prove that optimally taken positions become large in absolute value at a specific rate. We draw motivation from and make connections to Large Deviations theory, and in particular, the celebrated Garrtner-Ellis theorem. To highlight the robustness of our main price convergence assumption, we analyze a number of well studied examples where this limiting behavior occurs, such as fixed markets with vanishing risk aversion, the basis risk model with high correlation, the Black-Scholes-Merton model with vanishing transaction costs, and the price impact recently introduced by Bank and Kramkov in the limit of vanishing market maker risk aversion. Lastly, we show that the large claim regime could naturally arise in partial equilibrium models. This is joint work with Constantinos Spilioupoulos (Boston Unviersity) and Michalis Anthropelos (University of Pireaus).
The pricing of contingent claims and optimal positions in asymptotically complete marketsread_more
HG G 43
4. Mai 2017
17:15-18:15 		Ari-Pekka Perkkiö
LMU-München
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Talks in Financial and Insurance Mathematics

Titel Regular processes and duality
Referent:in, Affiliation Ari-Pekka Perkkiö, LMU-München
Datum, Zeit 4. Mai 2017, 17:15-18:15
Ort HG G 43
Abstract We study the optional projection on spaces of cadlag and continuous processes. Our main results sharpen those of Bismut in cases where the projected process has additional integrability properties. Moreover, we characterize the topological duals of optional cadlag processes and of regular processes with the given integrability properties. Our main results are derived by purely functional analytic arguments simplifying Bismut's original proofs. We also present results on dual representations for convex integral functionals on regular processes. These yield a maximum principle for a general class of singular stochastic control problems. In currency markets, we get dual representations for "regular" solvency cones. The talk is based on a joint work with Teemu Pennanen.
Regular processes and dualityread_more
HG G 43
11. Mai 2017
17:15-18:15 		Chris Rogers
University of Cambridge
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Talks in Financial and Insurance Mathematics

Titel Combining different models
Referent:in, Affiliation Chris Rogers, University of Cambridge
Datum, Zeit 11. Mai 2017, 17:15-18:15
Ort HG G 43
Abstract Portfolio selection is one of the most important areas of modern finance, both theoretically and practically. Reliance on a single model is fraught with difficulties, so attempting to combine the strengths of different models is attractive. This talk discusses model combination, but with a difference: the models we consider here are making statements about different sets of assets. There appear to be no studies making this structural assumption, which completely changes the nature of the problem. This paper offers suggestions for principles of model combination in this situation, characterizes the solution in the case of multivariate Gaussian distributions, and shows how a practical implementation can be done.
Combining different modelsread_more
HG G 43
18. Mai 2017
17:15-18:15 		Felix Kübler
Universität Zürich
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Talks in Financial and Insurance Mathematics

Titel Markov equilibria in models with financial frictions
Referent:in, Affiliation Felix Kübler, Universität Zürich
Datum, Zeit 18. Mai 2017, 17:15-18:15
Ort HG G 43
Abstract Dynamic general equilibrium models with heterogeneous agents and financial frictions are difficult to analyze because stationary Markov equilibria may fail to exist. I give a serious of sufficient conditions that guarantee existence in models with incomplete markets, and/or borrowing constraints.
Markov equilibria in models with financial frictionsread_more
HG G 43
22. Mai 2017
15:15-16:15 		Paolo Guasoni
Dublin City University
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Talks in Financial and Insurance Mathematics

Titel Optimal Consumption and Investment with Healthcare Spending
Referent:in, Affiliation Paolo Guasoni, Dublin City University
Datum, Zeit 22. Mai 2017, 15:15-16:15
Ort HG G 19.2
Abstract Health-care slows the natural growth of mortality, indirectly increasing utility from consumption through longer lifetimes. We solve the problem of optimal dynamic investment, consumption, and healthcare spending with isoelastic utility, when natural mortality grows exponentially to reflect the Gompertz' law and investment opportunities are constant. Optimal consumption and healthcare imply an endogenous mortality law that is asymptotically exponential in the old-age limit, with lower growth rate than natural mortality. Health spending steadily increases with age, both in absolute terms and relative to total spending. The optimal stochastic control problem reduces to a nonlinear ordinary differential equation with a unique solution, which has an explicit expression in the old-age limit. Differential access to healthcare can account for observed longevity gains across cohorts.
Optimal Consumption and Investment with Healthcare Spendingread_more
HG G 19.2
25. Mai 2017
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Talks in Financial and Insurance Mathematics

Titel Ascension day
Referent:in, Affiliation
Datum, Zeit 25. Mai 2017,
Ort
Ascension day
1. Juni 2017
17:15-18:15 		Hanspeter Schmidli
Universität Köln
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Talks in Financial and Insurance Mathematics

Titel Dividends with Tax and Capital Injection in a Spectrally Negative Levy Risk Model
Referent:in, Affiliation Hanspeter Schmidli, Universität Köln
Datum, Zeit 1. Juni 2017, 17:15-18:15
Ort HG G 43
Abstract We consider a risk model driven by a spectrally negative L\'evy process. From the surplus dividends are paid and capital injections have to be made in order to keep the surplus positive. In addition, tax has to be paid for dividends, but injections lead to an exemption from tax. We generalise the results for the diffusion approximation and for the classical model, and show that the optimal dividend strategy is a two barrier strategy. The barrier depends on whether an immediate dividend would be taxed or not. For a risk process perturbed by diffusion with exponentially distributed claim sizes we show how the value function and the barriers can be determined.
Dividends with Tax and Capital Injection in a Spectrally Negative Levy Risk Modelread_more
HG G 43

Organisatoren:innen: Matteo Burzoni

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