Talks in Financial and Insurance Mathematics

This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.

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Autumn Semester 2026

Date / Time

Speaker

Title

Location

1 October 2026
17:15-18:15

Prof. Dr. Yan Dolinsky
Hebrew University of Jerusalem

Details

Talks in Financial and Insurance Mathematics

Title	Exponential-Utility Maximization in Gaussian Markets
Speaker, Affiliation	Prof. Dr. Yan Dolinsky, Hebrew University of Jerusalem
Date, Time	1 October 2026, 17:15-18:15
Location	HG G 43
Abstract	We will discuss exponential-utility maximization in discrete-time Gaussian markets. The Gaussian structure reduces the problem to a matrix optimization problem and gives an explicit characterization of the optimal strategy and value. We will illustrate the approach with delayed trading and AR(1) models, and then focus on fractional Brownian motion. In the high-frequency limit, spectral methods lead to explicit asymptotics for the optimal utility and a scaling limit for the optimal strategy.

Exponential-Utility Maximization in Gaussian Marketsread_more

HG G 43

8 October 2026
17:15-18:15

Dr. Jonghwa Park
ETH Zürich

Details

Talks in Financial and Insurance Mathematics

Title	Compactness criterion for diffusion processes under the adapted weak topology
Speaker, Affiliation	Dr. Jonghwa Park, ETH Zürich
Date, Time	8 October 2026, 17:15-18:15
Location	HG G 43
Abstract	A fundamental question in dynamic optimization problems is to identify the topology under which the associated value functions are continuous. Such stability ensures that optimal decisions remain robust under small perturbations of models. In this talk, we discuss a continuous-time extension of the adapted weak topology, under which a broad class of such optimization problems is stable. While the adapted weak topology has proven useful in applications, it is practically difficult to verify convergence in this topology. In this talk, we aim to address the fundamental, yet challenging question: When does a sequence converge in the adapted weak topology and what are its limit points? We provide a first answer to this question by establishing an Arzela-Ascoli-type characterization of relatively compact families of continuous-time Markovian laws in the adapted weak topology. As a primary application, we establish relative compactness for families of well-posed SDEs, for example uniformly elliptic diffusions, and stability under convergence of the coefficients, allowing in particular for discontinuous drift coefficients and non-equicontinuous diffusion matrices. This talk is based on joint work with Martin Larsson and Johannes Wiesel.

Compactness criterion for diffusion processes under the adapted weak topologyread_more

HG G 43

15 October 2026
17:15-18:15

Prof. Dr. Benjamin Jourdain
École Nationale des Ponts et Chaussées

Details

Talks in Financial and Insurance Mathematics

Title	Coupling-convexity of a diffusion with respect to its starting position
Speaker, Affiliation	Prof. Dr. Benjamin Jourdain, École Nationale des Ponts et Chaussées
Date, Time	15 October 2026, 17:15-18:15
Location	HG G 43
Abstract	In this talk, we consider a time-homogeneous d-dimensional diffusion with no drift coefficient. We give a necessary and sufficient condition for the convexity in the starting position of the distribution of its solution on the path-space when the codomain is endowed with the convex order. To do so, we introduce and check the seemingly stronger notion of coupling-convexity in the starting position.

Coupling-convexity of a diffusion with respect to its starting positionread_more

HG G 43

22 October 2026
16:15-17:15

Prof. Dr. Guillermo Alvarez
ENSAE-CREST

Details

Talks in Financial and Insurance Mathematics

Title	A stochastic target formulation to principal-agent problems with adverse selection
Speaker, Affiliation	Prof. Dr. Guillermo Alvarez, ENSAE-CREST
Date, Time	22 October 2026, 16:15-17:15
Location	HG G 43
Abstract	We study a principal-agent problem with adverse selection, where the principal does not know the agent's true cost but must design a contract to optimize a specific criterion. Unlike standard screening frameworks that allow for self-selection, we assume the principal can only offer a unique contract. We show that the agent's optimization problem can be reformulated as a stochastic target problem. After characterizing the viability domain of this target problem, we show that the principal's objective can be solved as a stochastic optimal control problem with partial information and state constraints. The description of the viability domain also allows us to obtain the value of screening contracts. This is a joint work with Ibrahim Ekren and Liwei Huang.

A stochastic target formulation to principal-agent problems with adverse selectionread_more

HG G 43

22 October 2026
17:15-18:15

Prof. Dr. Alejandro Jofré
Universidad de Chile

Details

Talks in Financial and Insurance Mathematics

Title	Electricity markets as variational problems
Speaker, Affiliation	Prof. Dr. Alejandro Jofré, Universidad de Chile
Date, Time	22 October 2026, 17:15-18:15
Location	HG G 43
Abstract	Modern electricity markets are organized around an optimization problem. Generators submit bids, and an independent system operator (ISO) dispatches production by solving a convex program over a transmission network with losses. Prices are its Lagrange multipliers. This talk explains how such markets work and presents a line of results obtained the last years. In discrete time, the generators’ bids make the market a Nash equilibrium problem with the ISO as a common follower. Quadratic transmission losses make the dispatch strictly convex. This yields structural market power, with an explicit lower bound on markups obtained from second-order growth and Lipschitz stability of the dispatch. With epi-convergence and the Simon–Zame theorem, we prove that equilibria exist when generators bid general cost functions. Adding emission caps or carbon costs, we prove the uniqueness and differentiability of the ISO’s primal–dual response and compare the two instruments numerically. In continuous time, the ISO becomes the leader. Pollution regulation under moral hazard reduces to a multidimensional BSDE and a smooth one-dimensional HJB equation, which gives an optimal contract. Investment in random renewable capacity leads to a state-constrained HJB equation on a non-smooth domain, characterized under a pointing-inward condition. Both models are illustrated on a three-node network calibrated to the Chilean grid. Joint work with N. Hernández-Santibáñez, D. Possamaï, L. Brotcorne, G. Guillot, B. Vera, and M. Vera.

Electricity markets as variational problemsread_more

HG G 43

29 October 2026
17:15-18:15

Prof. Dr. Marco Maggis
Università degli Studi di Milano

Details

Talks in Financial and Insurance Mathematics

Title	Is cooperation beneficial to all agents?
Speaker, Affiliation	Prof. Dr. Marco Maggis, Università degli Studi di Milano
Date, Time	29 October 2026, 17:15-18:15
Location	HG G 43
Abstract	Within a general semimartingale framework, we study the relationship between collective market efficiency and individual rationality. We derive a necessary and sufficient condition for the existence of (possibly zero-sum) exchanges among agents that strictly increase the indirect utilities of all agents and characterize this condition in terms of the compatibility between agents’ preferences and collective pricing measures. The framework applies to both continuous and discrete time models and clarifies when cooperation leads to a strict improvement in each participating agent’s indirect utility. The talk is based on a joint work with A. Doldi and M. Frittelli.

Is cooperation beneficial to all agents?read_more

HG G 43

5 November 2026
17:15-18:15

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	5 November 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

12 November 2026
17:15-18:15

Prof. Dr. Emma Hubert
Université Paris Dauphine

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Emma Hubert, Université Paris Dauphine
Date, Time	12 November 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

19 November 2026
17:15-18:15

Prof. Dr. Alexander Steinicke
Montanuniversität Leoben

Details

Talks in Financial and Insurance Mathematics

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Alexander Steinicke, Montanuniversität Leoben
Date, Time	19 November 2026, 17:15-18:15
Location	HG G 43

Title T.B.A.

HG G 43

26 November 2026
17:15-18:15

Prof. Dr. Hans Buheler
University of Oxford

Details

Talks in Financial and Insurance Mathematics

Title	Generative Risk-Neutral Option Market Models
Speaker, Affiliation	Prof. Dr. Hans Buheler, University of Oxford
Date, Time	26 November 2026, 17:15-18:15
Location	HG G 43
Abstract	We present a class of statically and dynamically smooth arbitrage-free option market models based on diffusing SANOS parameters. Our model fits very well to a wide range of observed bid/ask prices and can be calibrated under both P and Q with modern machine learning time series models. We show examples and introduce a novel test for zero conditional drifts for a large number of correlated instruments. We discuss existence, generalization, and comparative hedging performance.