| 2-feb-2012 (thu) |
Nizar Touzi
|
Maximum maximum of martingales given finitely many intermediate marginals
|
17:15-18:15 |
HG G 43 |
| Abstract: |
Following our previous work, we consider the problem of superhedging under volatility uncertainty for an investor allowed to dynamically trade the underlying asset, and statically trade European call options for all possible strikes and finitely-many maturities. The dual formulation converts this problem into a continuous martingale optimal transportation problem which we solve explicitly for Lookback options with nondecreasing payoff function. In particular, our methodology recovers the extensions of the Azema-Yor solution of the Skorohod embedding problem obtained by Hobson and Klimmek (under slightly stronger conditions), those derived by Brown, Hobson and Rogers, and those obtained by Madan and Yor. |
| Speakers: |
Prof. Dr. Nizar Touzi
(Ecole Polytechnique)
Invited by: H. Mete Soner
|
|
| 9-feb-2012 (thu) |
Mykhaylo Shkolnikov
|
On diffusions interacting through their ranks
|
17:15-18:15 |
HG G 43 |
| Abstract: |
We will discuss systems of diffusion processes on the real line, in which the dynamics of every single process is determined by its rank in the entire particle system. Such systems arise in mathematical finance and statistical physics, and are related to heavy-traffic approximations of queueing networks. Motivated by the applications, we address questions about invariant distributions, convergence to equilibrium and concentration of measure for certain statistics, as well as hydrodynamic limits and large deviations for these particle systems. Parts of the talk are joint works with Amir Dembo, Tomoyuki Ichiba, Soumik Pal and Ofer Zeitouni. |
| Speakers: |
Mykhaylo Shkolnikov
(Stanford University)
|
|
| 23-feb-2012 (thu) |
Mikhail Urusov
|
Deterministic Criteria for the Absence of Arbitrage in one-Dimensional Diffusion Models
|
17:15-18:15 |
HG G 43 |
| Abstract: |
We present deterministic necessary and sufficient conditions for no free lunch with vanishing risk (NFLVR), no generalized arbitrage (NGA) and no relative arbitrage (NRA) in one-dimensional diffusion models and examine relations between these no-arbitrage notions. In particular, it turns out that NFLVR and NRA neither imply nor exclude each other, while NGA is equivalent to NFLVR and NRA.
This is a joint work with Aleksandar Mijatović. |
| Speakers: |
Prof. Dr. Mikhail Urusov
(University of Ulm, Germany)
Invited by: Yan Dolinsky
E-Mail:
|
|
| 1-mar-2012 (thu) |
Giovanni Puccetti
|
Sharp bounds for sums of dependent risks
|
17:15-18:15 |
HG G 43 |
| Abstract: |
Sharp tail bounds for the sum of d random variables with given marginal distributions and arbitrary dependence structure are known from Makarov(1981) and Rüschendorf(1982) for d=2 and, in some examples, for d>=3. For identically distributed random variables, Embrechts and Puccetti(2006) introduced a class of dual bounds for this problem for d>=3 based on mass transportations. In this talk we give a proof of the sharpness of these dual bounds. Joint work with L. Rüschendorf. |
| Speakers: |
Prof. Dr. Giovanni Puccetti
(University of Firenze)
Invited by: Paul Embrechts
|
|
| 15-mar-2012 (thu) |
Marcel Nutz
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Prof. Dr. Marcel Nutz
(Columbia University)
Invited by: H. Mete Soner
E-Mail:
|
|
| 22-mar-2012 (thu) |
Henrik Shahgholian
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Prof. Dr. Henrik Shahgholian
(The Royal Institute of Technology of Sweeden)
Invited by: H. Mete Soner
E-Mail:
|
|
| 29-mar-2012 (thu) |
|
Awaiting Confirmation
|
17:15-18:15 |
|
|
|
| 4-apr-2012 (wed) |
Jin-Hyuk Choi
|
TBA
|
15:30-16:30 |
HG G 19.1 |
| Speakers: |
Jin-Hyuk Choi
(University of Texas Austin)
Invited by: Johannes Muhle-Karbe
|
|
| 5-apr-2012 (thu) |
|
No Talk (ETH Closes Early)
|
|
|
|
|
| 26-apr-2012 (thu) |
Christian Bayer
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Prof. Dr. Christian Bayer
(WIAS)
Invited by: Josef Teichmann
|
|
| 3-may-2012 (thu) |
Mathias Beiglböck
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Dr. Mathias Beiglböck
(University of Vienna)
|
|
| 10-may-2012 (thu) |
Erhan Bayraktar
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Erhan Bayraktar
(University of Michigan)
Invited by: H. Mete Soner
|
|
| 17-may-2012 (thu) |
|
No Talk (ETH Closed)
|
|
|
|
|
| 18-may-2012 (fri) |
Peter Bank
|
TBA
|
17:15-18:15 |
HG G TBA |
| Speakers: |
Prof. Dr. Peter Bank
(Berlin Institute of Technology)
|
|
| 24-may-2012 (thu) |
Xunyu Zhou
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Prof. Dr. Xunyu Zhou
(Oxford)
Invited by: H. Mete Soner
|
|
| 31-may-2012 (thu) |
Dirk Becherer
|
TBA
|
17:15-18:15 |
HG G 43 |
| Speakers: |
Prof. Dr. Dirk Becherer
(Humboldt University of Berlin)
Invited by: Josef Teichmann
|
|
