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Spring Semester 2025

Date / Time Speaker Title Location
6 February 2025
17:15-18:00 		Prof. Dr. Andrea Macrina
University College London
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Talks in Financial and Insurance Mathematics

Title From stressed carbon budgets to financial discounting with urgency
Speaker, Affiliation Prof. Dr. Andrea Macrina, University College London
Date, Time 6 February 2025, 17:15-18:00
Location HG G 43
Abstract If the leading principle is that reducing carbon emissions today is more valuable than reducing emissions tomorrow, how should financial carbon discounting work? Starting from carbon budgets that limit global warming to under a specified level with a given probability, a carbon discount bond system is developed that depends on the stochastic carbon emissions and an associated emissions abatement plan. We show that the sooner and more capital is invested to reduce carbon emissions, the better. The proposed financial design and pricing approach also considers the notion of a carbon budget debt and its financial treatment in a tiered carbon discounting system. Hedge portfolios and carbon budget derivatives emerge that mitigate financial losses if emissions exceed a planned/mandated carbon budget. Initial observations point to a multicurve term structure underlying the constructed carbon discount bond system that is linked to the carbon budgets and emissions abatement urgency.
From stressed carbon budgets to financial discounting with urgencyread_more
HG G 43
6 March 2025
17:15-18:15 		Dr. Aleksei Minabutdinov
ETH Zurich
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Talks in Financial and Insurance Mathematics

Title Transversality Condition Matters: Ensuring Uniqueness of Deep Learning Solutions in Economics and Finance
Speaker, Affiliation Dr. Aleksei Minabutdinov, ETH Zurich
Date, Time 6 March 2025, 17:15-18:15
Location HG G 43
Abstract Transversality is an important sufficient condition for identifying the solution in infinite horizon economic and financial models. Without such a condition, there exists a continuum of functions that satisfy the Hamilton-Jacobi-Bellman (HJB) functional equation. In this paper, we explore this manifold of solutions with numerical and analytical methods. Using a standard continuous-time model, we demonstrate that, without explicitly imposing the transversality condition, widely used numerical algorithms, including the (Deep) Galerkin-type methods, may converge to arbitrary points of this manifold, leading to significant and uncontrollable biases. Using an example of the AK-Ramsey model with logarithmic utility (a prototypical model for many financial mathematics and macro/environmental economics applications), the paper demonstrates that the area of direct applicability of projection-type algorithms is narrower than one might expect based on contemporary literature. We propose a novel approach using a functional transformation of the original HJB equation to effectively incorporate the transversality condition, ensuring convergence to the actual value function.
Transversality Condition Matters: Ensuring Uniqueness of Deep Learning Solutions in Economics and Financeread_more
HG G 43
20 March 2025
17:15-18:15 		Sascha Günther
Université de Lausanne
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Talks in Financial and Insurance Mathematics

Title Efficiently computing annuity conversion factors via feed-forward neural networks
Speaker, Affiliation Sascha Günther, Université de Lausanne
Date, Time 20 March 2025, 17:15-18:15
Location HG G 43
Abstract Many pension plans and private retirement products contain annuity factors, converting the funds at some future time into lifelong income. In general model settings like for example the Li-Lee mortality model, analytical values for the annuity factors are not available and one has to rely on numerical techniques. Their computation typically requires nested simulations as they depend on the interest rate level and the mortality tables at the time of retirement. We exploit the flexibility and efficiency of feed-forward neural networks to value the annuity factors at the time of retirement. In a numerical study, we compare our deep learning approach to (least-squares) Monte-Carlo (LSMC) which can be represented as a special case of the neural network (NN).
Efficiently computing annuity conversion factors via feed-forward neural networksread_more
HG G 43
27 March 2025
17:15-18:15 		Dr. Florian Huber
EPFL
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Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Dr. Florian Huber, EPFL
Date, Time 27 March 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
3 April 2025
17:15-18:15
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Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 3 April 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
10 April 2025
17:15-18:15
Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 10 April 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
17 April 2025
16:15-17:15 		Prof. Dr. Julio Backhoff-Veraguas
University of Vienna
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Talks in Financial and Insurance Mathematics

Title On the specific relative entropy between continuous martingales
Speaker, Affiliation Prof. Dr. Julio Backhoff-Veraguas, University of Vienna
Date, Time 17 April 2025, 16:15-17:15
Location HG G 43
Abstract The laws of two continuous martingales will typically be singular to each other and hence have infinite relative entropy. But this does not need to happen in discrete time. This suggests defining a new object, the specific relative entropy, as a scaled limit of the relative entropy between the discretized laws of the martingales. This definition goes all the way back to Nina Gantert's PhD thesis, and in recent time Hans Foellmer has rekindled the study of this object by for instance obtaining a novel transport-information inequality. Independently, this object has made sporadic appearances in finance over the years. In this talk I will first discuss the existence of a closed-form formula for the specific relative entropy, depending on the quadratic variation of the involved martingales. Next I will describe an application of this object to prediction markets. Concretely, David Aldous asked in an open question to determine the 'most exciting game', i.e. the prediction market with the highest entropy. With M. Beiglböck we give an answer to this question by solving a stochastic control problem whose cost criterion is the specific relative entropy. If time permits I will also discuss the multidimensional version of this question, based on a joint work with Wang and Zhang.
On the specific relative entropy between continuous martingalesread_more
HG G 43
17 April 2025
17:15-18:15 		Dr. Gechun Liang
University of Warwick
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Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Dr. Gechun Liang, University of Warwick
Date, Time 17 April 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
8 May 2025
17:15-18:15 		Prof. Dr. Jennifer Alonso-Garcia
Université Libre de Bruxelles
Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Jennifer Alonso-Garcia, Université Libre de Bruxelles
Date, Time 8 May 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
15 May 2025
17:15-18:15 		Prof. Dr. David Criens
University of Freiburg
Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. David Criens , University of Freiburg
Date, Time 15 May 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
22 May 2025
17:15-18:15 		Prof. Dr. Carole Bernard
Vrije Universiteit Brussel
Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Carole Bernard, Vrije Universiteit Brussel
Date, Time 22 May 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
29 May 2025
17:15-18:15
Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 29 May 2025, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43

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