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Post/Doctoral Seminar in Mathematical Finance

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Spring Semester 2017

Date / Time Speaker Title Location
28 February 2017
15:15-16:30 		Dr. Thibaut Mastrolia
Ecole Polytechnique
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Post/Doctoral Seminar in Mathematical Finance

Title Moral hazard with mean field type interactions
Speaker, Affiliation Dr. Thibaut Mastrolia, Ecole Polytechnique
Date, Time 28 February 2017, 15:15-16:30
Location HG G 19.1
Abstract We investigate a moral hazard problem in finite time, involving infinitely many Agents, with mean field type interactions, hired by one Principal. By reinterpreting the mean-field game faced by each Agent in terms of a mean field FBSDE, we are able to rewrite the Principal’s problem as a control problem for McKean-Vlasov SDEs. We solve completely and explicitly the problem in special cases, going beyond the usual linear-quadratic framework. This talk is based on a joint work with Romuald Elie (Univ. Paris-Est Marne-La-Vallée) and Dylan Possamaï (Univ. Paris-Dauphine).
Moral hazard with mean field type interactionsread_more
HG G 19.1
7 March 2017
15:15-16:30 		Dr. Asgar Jamneshan
University of Konstanz
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Post/Doctoral Seminar in Mathematical Finance

Title State-dependent stochastic control in finite discrete time
Speaker, Affiliation Dr. Asgar Jamneshan, University of Konstanz
Date, Time 7 March 2017, 15:15-16:30
Location HG G 19.1
Abstract We prove existence of a coupled FBDSE in finite discrete time with the help of tools from conditional analysis. We provide several conditions yielding existence, and illustrate our findings by examples in state-dependent control problems, e.g. utility maximization and dynamic utility sharing. The talk is based on a collaboration with Michael Kupper and José Miguel Zapata García.
State-dependent stochastic control in finite discrete timeread_more
HG G 19.1
4 April 2017
15:15-16:30 		Dr. Ariel Neufeld
ETH Zürich
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Post/Doctoral Seminar in Mathematical Finance

Title Super-replication in Fully Incomplete Markets
Speaker, Affiliation Dr. Ariel Neufeld, ETH Zürich
Date, Time 4 April 2017, 15:15-16:30
Location HG G 19.1
Abstract In this work we introduce the notion of fully incomplete markets. We prove that for these markets the super-replication price coincide with the model-free super-replication price. Namely, the knowledge of the model does not reduce the super-replication price. We provide two families of fully incomplete models: stochastic volatility models and rough volatility models. Moreover, we give several computational examples. Finally, we discuss some possible extensions to jump processes. This talk is based on joint work with Yan Dolinksy.
Super-replication in Fully Incomplete Marketsread_more
HG G 19.1
11 April 2017
15:15-16:30 		Matti Kiiski
ETH Zürich
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Post/Doctoral Seminar in Mathematical Finance

Title Conjugate duality in martingale transport on the Skorohod space
Speaker, Affiliation Matti Kiiski, ETH Zürich
Date, Time 11 April 2017, 15:15-16:30
Location HG G 19.1
Abstract We introduce a topological structure on the Skorohod space which allows a functional analytic approach to the martingale optimal transport. Under the structure, the martingale transport duality coincides with the general convex conjugate duality of locally convex spaces and the class of martingales can be identified with the subgradients of the objective functional.
Conjugate duality in martingale transport on the Skorohod spaceread_more
HG G 19.1
25 April 2017
15:15-16:30 		Sara Svaluto-Ferro
ETH Zürich
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Post/Doctoral Seminar in Mathematical Finance

Title Measure-valued polynomial diffusions
Speaker, Affiliation Sara Svaluto-Ferro, ETH Zürich
Date, Time 25 April 2017, 15:15-16:30
Location HG G 19.1
Abstract We introduce polynomial diffusions taking values in the space of probability measures on a compact Polish space, generalizing the well-known Fleming-Viot process. We provide a representation of the corresponding extended generators, and prove well-posedness of the associated martingale problems. In particular, we obtain uniqueness by establishing a formula for the conditional moments of the solution, which in the finite-dimensional case reduces to a matrix exponential.
Measure-valued polynomial diffusionsread_more
HG G 19.1
2 May 2017
15:15-16:30 		Dr. David Prömel
ETH Zürich
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Post/Doctoral Seminar in Mathematical Finance

Title On robust pricing-hedging duality in continuous time
Speaker, Affiliation Dr. David Prömel, ETH Zürich
Date, Time 2 May 2017, 15:15-16:30
Location HG G 19.1
Abstract We consider a frictionless market consisting of finitely many asset with continuous price trajectories. In this setting without any underlying probabilistic structure the choice of pathwise integration to define ``superhedging'' is already a non-trivial task. We discuss different approaches leading to various pricing-hedging dualities, i.e. the minimal superhedging price of an option has the same value as the supremum of the expectations of the option over a set of martingale measures.
On robust pricing-hedging duality in continuous timeread_more
HG G 19.1
9 May 2017
15:15-16:30 		Dr. Peng Luo
ETH Zürich
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Post/Doctoral Seminar in Mathematical Finance

Title Multidimensional BSDEs with triangularly quadratic generators
Speaker, Affiliation Dr. Peng Luo, ETH Zürich
Date, Time 9 May 2017, 15:15-16:30
Location HG G 19.2
Abstract Motivated by the recent works of Hu and Tang (2016) and Xing and Zitkovic (2016), we consider a type of multidimensional BSDEs with triangularly quadratic generators. We obtain the existence and uniqueness of solutions. Some applications in stochastic differential games are given.
Multidimensional BSDEs with triangularly quadratic generatorsread_more
HG G 19.2
16 May 2017
15:15-16:30 		Daniel Balint
ETH Zürich
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Post/Doctoral Seminar in Mathematical Finance

Title No arbitrage on infinite time horizon
Speaker, Affiliation Daniel Balint, ETH Zürich
Date, Time 16 May 2017, 15:15-16:30
Location HG G 19.1
Abstract We investigate weak and strong no arbitrage conditions in the infinite time horizon and numeraire independent framework. After introducing suitable economically motivated definitions, we derive dual characterization by martingale deflators and connections to classical no arbitrage notions. As an application, regularity properties of the infinite time Black-Scholes framework will be studied. As a second application, we give some new insights into the study of financial bubbles. Based on joint work with Martin Schweizer.
No arbitrage on infinite time horizonread_more
HG G 19.1
23 May 2017
15:15-16:30 		Dr. Sebastian Herrmann
University of Michigan
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Post/Doctoral Seminar in Mathematical Finance

Title Robust Pricing and Hedging around the Globe
Speaker, Affiliation Dr. Sebastian Herrmann, University of Michigan
Date, Time 23 May 2017, 15:15-16:30
Location HG G 19.1
Abstract We study the martingale optimal transport duality for càdlàg processes with given initial and terminal laws. Strong duality and existence of dual optimizers (optimal robust semi-static superhedging strategies) is proved for a class of reward functions including American, Asian, Bermudan, and European options with intermediate maturity. Our approach sheds light on the structure of primal and dual optimizers. In the case of finitely supported marginal laws, dual optimizers are obtained by solving a semi-infinite linear program. This talk is based on joint work with Florian Stebegg (Columbia University).
Robust Pricing and Hedging around the Globeread_more
HG G 19.1
30 May 2017
15:15-16:30 		Max Reppen
ETH Zürich
Details

Post/Doctoral Seminar in Mathematical Finance

Title Dividends with random profitability rate
Speaker, Affiliation Max Reppen, ETH Zürich
Date, Time 30 May 2017, 15:15-16:30
Location HG F 26.5
Abstract We study an optimal dividend problem under a bankruptcy constraint where firms face a trade-off between potential bankruptcy and extraction of owner profits. In contrast to previous works, more general cash flow drifts, including Ornstein--Uhlenbeck and CIR processes, are considered. We provide rigorous proofs of continuity of the value function, whence dynamic programming, as well as uniqueness of the Hamilton--Jacobi--Bellman equation, and study qualitative properties both analytically and numerically. The value function is thus given by a nonlinear PDE with a gradient constraint from below in one dimension. We find that the optimal strategy is both a barrier and a band strategy and that it includes voluntary liquidation in parts of the state space. Finally, we present and numerically study extensions of the model, such as equity issuance and lotteries.
Dividends with random profitability rateread_more
HG F 26.5

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