Post/Doctoral Seminar in Mathematical Finance

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Spring Semester 2015

Date / Time

Speaker

Title

Location

17 February 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	17 February 2015, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

24 February 2015
15:15-16:15

Thomas Cayé
ETH Zurich, Switzerland

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Liquidation with Self-Exciting Price Impact
Speaker, Affiliation	Thomas Cayé, ETH Zurich, Switzerland
Date, Time	24 February 2015, 15:15-16:15
Location	HG G 19.1
Abstract	We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral investors, it leads to faster initial trading compared to the constant execution rate of Bertsimas and Lo. For risk-averse liquidation as in Almgren and Chriss or Huberman and Stanzl, self-excitement has a moderating effect: slow liquidation is sped up, whereas fast schedules are slowed down. This is a joint work with Johannes Muhle-Karbe.

Liquidation with Self-Exciting Price Impactread_more

HG G 19.1

3 March 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Imperial College - ETH Workshop)
Speaker, Affiliation
Date, Time	3 March 2015, 15:15-16:15
Location	HG G 19.1

No Seminar (Imperial College - ETH Workshop)

HG G 19.1

10 March 2015
15:15-16:15

Dr. Santiago Moreno
University of Zurich

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Short Term Debt and Bank Liability Structure
Speaker, Affiliation	Dr. Santiago Moreno, University of Zurich
Date, Time	10 March 2015, 15:15-16:15
Location	HG G 19.1
Abstract	We build a dynamic model with the aim of providing insight into the determinants of a bank's liability structure. In our model, bank assets consist of risky illiquid loans and liquid reserves and they are nanced by a combination of (i) insured deposits, (ii) short term, secured debt that is subject to rollover risk, (iii) long term, risky debt and (iv) equity. Our analysis shows that the rollover risk implied by short term funding adds to the cost of long term debt, which prevents the bank from an aggressive use of short-term debt. In contrast, poor returns on risky assets, abundant deposit funding and the depositor preference rule do exacerbate the bank's appetite for cheap but unstable short-term debt. In addition, we study the impact of three regulatory tools, namely liquidity coverage ratio, payout restrictions and leverage ratio, and show that each of these tools is able to curb the bank's reliance on short term debt.

Short Term Debt and Bank Liability Structureread_more

HG G 19.1

17 March 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	17 March 2015, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

24 March 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Fin & Math Doc seminar on this day)
Speaker, Affiliation
Date, Time	24 March 2015, 15:15-16:15
Location	HG G 19.1

No Seminar (Fin & Math Doc seminar on this day)

HG G 19.1

31 March 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	31 March 2015, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

7 April 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Easter Break)
Speaker, Affiliation
Date, Time	7 April 2015, 15:15-16:15
Location	HG G 19.1

No Seminar (Easter Break)

HG G 19.1

14 April 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Fin & Math Doc seminar on this day)
Speaker, Affiliation
Date, Time	14 April 2015, 15:15-16:15
Location	HG G 19.1

No Seminar (Fin & Math Doc seminar on this day)

HG G 19.1

21 April 2015
15:15-16:15

Dr. Martin Herdegen
ETH Zurich, Switzerland

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Equilibrium with small frictions
Speaker, Affiliation	Dr. Martin Herdegen, ETH Zurich, Switzerland
Date, Time	21 April 2015, 15:15-16:15
Location	HG G 19.1
Abstract	In this talk we study the influence of a small friction such as a proportional transaction fee on equilibrium prices. To this end, we assume that agents use strategies which are optimal to the leading order. For exponential utility and deterministic interest rates in a frictionless equilibrium, we find that stock and bond prices do not change at the leading order when introducing a small proportional transaction fee. This means that the partial equilibrium results by Kallsen/Muhle-Karbe (2013) extend to a setting with full equilibrium, where prices and interest rates are determined endogenously. This is joint work in progress with Johannes-Muhle-Karbe.

Equilibrium with small frictionsread_more

HG G 19.1

28 April 2015
15:15-16:15

Prof. em. Dr. Paul Embrechts
ETH Zurich, Switzerland

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Some comments on the quantitative modelling of Operational Risk
Speaker, Affiliation	Prof. em. Dr. Paul Embrechts, ETH Zurich, Switzerland
Date, Time	28 April 2015, 15:15-16:15
Location	HG G 19.1
Abstract	Prof. Paul Embrechts Some comments on the quantitative modelling of Operational Risk The Basel Committee for Banking Supervision defines Operational Risk as "The risk of loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk, but excludes strategic and reputational risk." Under the Basel II guidelines larger international banks have to calculate a Value-at-Risk based capital charge for Operational Risk using the so-called Loss Distribution Approach (LDA). In this talk I will address model uncertainty issues underlying the LDA.

Some comments on the quantitative modelling of Operational Riskread_more

HG G 19.1

5 May 2015
15:15-16:15

Max Reppen
ETH Zurich, Switzerland

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Multidimensional policy iteration for singular and impulse control problems
Speaker, Affiliation	Max Reppen, ETH Zurich, Switzerland
Date, Time	5 May 2015, 15:15-16:15
Location	HG G 19.1
Abstract	Policy iteration is an iterative scheme for solving optimal control problems and their Hamilton-Jacobi-Bellman equations. The procedure is well developed for discrete problems, and classical, continuous problems are therefore easily approximated. This talk will present an idea for extending these approximations to singular and impulse control problems.

Multidimensional policy iteration for singular and impulse control problemsread_more

HG G 19.1

12 May 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	12 May 2015, 15:15-16:15
Location	HG G 19.1

Title T.B.A.

HG G 19.1

* 19 May 2015
15:30-16:30

Sara Svaluto-Ferro
ETH Zurich, Switzerland

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Polynomial Preserving Jump-Diffusions on the Unit Interval
Speaker, Affiliation	Sara Svaluto-Ferro, ETH Zurich, Switzerland
Date, Time	19 May 2015, 15:30-16:30
Location	HG G 19.2
Abstract	We present the class of polynomial preserving processes, which contains several important processes such as affine processes or processes with quadratic diffusion coefficients. Processes in this class have the property that the calculation of (mixed) moments only requires the computation of matrix exponentials. A polynomial preserving process can be defined as the solution to a martingale problem whose operator is polynomial preserving, namely maps any polynomial to a polynomial of the same or lower degree. Choosing the unit interval as state space, we characterize those polynomial preserving operators for which the existence of a solution to the martingale problem is guaranteed.

Polynomial Preserving Jump-Diffusions on the Unit Intervalread_more

HG G 19.2

26 May 2015
15:15-16:15

Prof. Dr. Eckhard Platen
University of Technology Sydney

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Benchmarked Risk Minimization (Guest Talk)
Speaker, Affiliation	Prof. Dr. Eckhard Platen, University of Technology Sydney
Date, Time	26 May 2015, 15:15-16:15
Location	HG G 19.1
Abstract	The paper discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the numeraire portfolio, as reference unit. The proposed concept of benchmarked risk minimization generalizes classical risk minimization, pioneered by Foellmer, Sondermann and Schweizer. The latter relies on a quadratic criterion, requesting the square integrability of contingent claims and the existence of an equivalent risk neutral probability measure. The proposed concept of benchmarked risk minimization avoids these restrictive assumptions. It employs the real world probability measure as pricing measure and identifies the minimal possible price for the hedgeable part of a contingent claim. Furthermore, the resulting benchmarked profit and loss is only driven by nontraded uncertainty and forms a martingale that starts at zero. Benchmarked profit and losses, when pooled and sufficiently independent, become in total negligible. This property is highly desirable from a risk management point of view. It is making asymptotically benchmarked risk minimization the least expensive method for pricing and hedging of an increasing number of not fully replicable benchmarked contingent claims. Joint work with Ke Du.

Benchmarked Risk Minimization (Guest Talk)read_more

HG G 19.1

2 June 2015
15:15-16:15

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	2 June 2015, 15:15-16:15
Location	HG G 19.1

Title T.B.A.

HG G 19.1

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