Post/Doctoral Seminar in Mathematical Finance

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Autumn Semester 2016

Date / Time

Speaker

Title

Location

11 October 2016
15:15-16:30

Chong Liu
ETH Zürich

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transport
Speaker, Affiliation	Chong Liu, ETH Zürich
Date, Time	11 October 2016, 15:15-16:30
Location	HG G 19.1
Abstract	We consider a class of semimartingale transport problem, where the mass is trans- ported along a semimartingale, and the cost of transportation, which is referred to as a \stochastic Lagrangian", depends on the dierential characteristics of the semimartingale. In order to show the existence of an optimizer, we need the ad- missible set of semimartingale laws to be compact. As such compactness is not hard to obtain in the continuous paths case, it turns out to be tricky in the general right-continuous case due to the fact that the laws of purely discontinuous mar- tingales may converge to a law of diusion process. In this presentation we will give a \if and only if" condition for the compactness of admissible set in the general right-continuous case. Then we can show that the duality result as well as the dynamic programming procedure remain valid in this case, which extend the results of Tan and Touzi to the Skorokhod space.

Compactness Criterion for Semimartingale Laws and Semimartingale Optimal Transportread_more

HG G 19.1

18 October 2016
15:15-16:30

John Ery
ETH Zürich

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Post/Doctoral Seminar in Mathematical Finance

Title	Semiparametric inference for copulas with discrete margins
Speaker, Affiliation	John Ery, ETH Zürich
Date, Time	18 October 2016, 15:15-16:30
Location	HG G 19.1
Abstract	The purpose of this project is to establish the large-sample behavior of a semiparametric estimator of the dependence parameter in a copula model with discrete margins. Building upon a result in Genest et al. [1995] and computational steps set out in Ruymgaart et al. [1972], special interest lies in establishing the asymptotic normality of this estimator. The impact of discreteness is assessed by analyzing the differences between the continuous and the discrete settings. The semiparametric estimation method is then implemented, and its properties assessed through simulations developed with the R software.

Semiparametric inference for copulas with discrete marginsread_more

HG G 19.1

25 October 2016
15:15-16:30

Calypso Herrera
ETH Zürich

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Post/Doctoral Seminar in Mathematical Finance

Title	Convexity adjustment on terminal rate models (Replication of CMS product and Cash-settled Options)
Speaker, Affiliation	Calypso Herrera, ETH Zürich
Date, Time	25 October 2016, 15:15-16:30
Location	HG G 19.1
Abstract	The convexity adjustment phenomenon takes place in interest rate derivatives when the payment date is different than its natural payment date. The valuation of such products involves a numeraire change, from the "natural" numeraire under which the terminal distribution of the underlying rate is known, to the "payment numeraire". If the numeraire change is known, then the price is obtained by simple replication by "natural" options (swaptions) on the underlying rate: it then deduced from the smile only (therefore the "terminal model" name). Unfortunately in the great majority of cases, the numeraire change function is not known. We then get the choice between: using a complete market model to reconstitute the expectation, which is heavy and not much reliable; and staying in "terminal model", arbitrarily imposing the shape of the numeraire change, which generates a model risk. A new parametric model that verifies some No-arbitrage constraints will be presented and compared to the existing ones.

Convexity adjustment on terminal rate models (Replication of CMS product and Cash-settled Options)read_more

HG G 19.1

8 November 2016
15:15-16:30

Dr. Peng Luo
ETH Zürich

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Post/Doctoral Seminar in Mathematical Finance

Title	Solvability of multidimensional quadratic BSDEs
Speaker, Affiliation	Dr. Peng Luo, ETH Zürich
Date, Time	8 November 2016, 15:15-16:30
Location	HG G 19.1
Abstract	We consider multidimensional quadratic BSDEs with bounded and unbounded terminal conditions. We provide sufficient conditions which guarantee existence and uniqueness of solutions. Our results complement those in existing literature.

Solvability of multidimensional quadratic BSDEsread_more

HG G 19.1

15 November 2016
15:15-16:30

Dr. Michel Baes
ETH Zürich

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Continuous selections of optimal portfolios
Speaker, Affiliation	Dr. Michel Baes, ETH Zürich
Date, Time	15 November 2016, 15:15-16:30
Location	HG G 19.1
Abstract	Financial institutions are required by regulators to hold an adequate capital buffer (e.g. cash money) to protect policyholders from default risk. Often the theory of risk measures implicitly assumes that this capital is invested in a single eligible asset. However, this is too restrictive and will typically not be efficient, particularly if an institution has assets and liabilities in several currencies. In the context of multiple eligible assets, we are confronted with several questions that are critical from an operational perspective. Three of them are: 1. What is the set of optimal portfolios? 2. Is there a unique optimal portfolio? 3. If several optimal portfolios exist, how robust is the choice of a specific portfolio? In particular, can we select one that is continuous with respect to the capital position of the institution? We present complete answers for these questions for convex risk measures, polyhedral risk measures, and for Value-at-Risk. Since these three classes of problems are structurally very different, we had to develop for each of them a proper set of mathematical tools and techniques.

Continuous selections of optimal portfoliosread_more

HG G 19.1

6 December 2016
15:15-16:30

Dr. Matteo Burzoni
ETH Zürich

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Viability without probability
Speaker, Affiliation	Dr. Matteo Burzoni, ETH Zürich
Date, Time	6 December 2016, 15:15-16:30
Location	HG G 19.1
Abstract	We model a financial market starting from preferences of individual agents defined on a set of contracts. The concepts of negligible and relevant are derived from such preferences and they are not necessarily of a probabilistic nature. We provide a framework to study arbitrage and viability in this setting. We then specialize the results to discrete time financial markets. This is a joint work with Frank Riedel and Mete Soner.

Viability without probabilityread_more

HG G 19.1

13 December 2016
15:15-16:30

Matthias Kirchner
ETH Zürich

Details

Post/Doctoral Seminar in Mathematical Finance

Title	Hawkes Graphs
Speaker, Affiliation	Matthias Kirchner, ETH Zürich
Date, Time	13 December 2016, 15:15-16:30
Location	HG G 19.1
Abstract	In this talk, we introduce the Hawkes skeleton and the Hawkes graph. These objects summarize the branching structure of a multitype Hawkes point process in a compact, yet meaningful way. We demonstrate how graph terminology (`ancestor sets', `parent sets', `connectivity', `walks', `walk weights', etc) is convenient for the discussion of multitype Hawkes processes. For example, we reformulate the standard eigenvalue-based subcriticality criterion of multitype branching processes in graph terms. Next to these more terminological contributions, we present a nonparametric statistical procedure to estimate the Hawkes skeleton and the Hawkes graph from multitype event-stream data. We give an application of the concepts on the order flow in a limit order book.

Hawkes Graphsread_more

HG G 19.1

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