[weekly
bulletin FIM][Risk Days and Previous Talks][Links to Talk Series][October 2004][November 2004][December 2004][January 2005][February 2005]
If you would like to get an email when new talks are announced,
please
send your name and email address to Ms. Aline Strolz,
email strolz@isb.unizh.ch.
Last mailing: February 2, 2005
Thursday, February 3, 2005,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Giovanni Puccetti
(RiskLab)
Title: Bounds for Functions of Multivariate Risks
Li, Scarsini and Shaked (1996) provide
bounds on the distribution and the
tail for functions of dependent random vectors
having fixed multivariate marginals. In the paper this talk is based
upon,
we correct a result stated in the above article and
we give improved bounds in the case of the sum of identically
distributed
random vectors. Moreover, we provide the dependence
structures meeting the bounds when the fixed marginals are uniformly
distributed on the k-dimensional hypercube.
Finally, a definition of a multivariate
risk measure is given along with
actuarial/financial applications.
(Seminar on Financial and Insurance Mathematics)
Tuesday, February 1,
2005, 17.15 h (ETHZ,
HG D7.1)
"Marking to Market and the
Bankruptcy of First Executive Corporation"
(Konsortium Walter-Saxer-Versicherungshochschulpreis)
Thursday, January 27, 2005,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Frank Riedel (Bonn
University)
Title: Irreversible Investments: A New Approach
When should one invest into a project?
The standard business textbook answer
is: invest if and only if the net present value of future cash flows
exceeds
the costs of investing. In many cases, though, investment into a
project is
at least partially irreversible. After investing in land, buildings
etc., it
may not be easy to recover the costs, so you can only hope for profits
to
come in. In these cases, investing has properties that are similar to
those
of American Options: if you invest, you burn the option to wait for
better
times to come. Thus, the net present value rule has to be amended:
invest
only if the net present value of future cash flows exceeds the costs
plus
the option value of waiting.
In this talk, I study the model of repeated irreversible investment in
a
stochastic environment. Formally, this leads to a singular optimal
control
problem. I present a new approach to solve this problem that relies on
my
previous work with Peter Bank. The method solves the diffusion and Levy
models studied so far and extends to more general classes of models. I
also
hope to discuss extensions to the case of robust (or ambiguous)
investment
when the prior probability distribution of profits is not known.
(Seminar on Financial and Insurance Mathematics)
Thursday, January
20, 2005,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Takuji Arai (Tokyo University of
Science)
Title: Approximate Power
Utility Indifference Valuation
Abstract: Many papers related to
utility indifference valuation problem deal with exponential utility
function. However, when we try to treat the exponential case, we have
to impose boundedness of the underlying contingent claim. In this talk,
we suggest a new approximate method to the exponential utility
indifference valuation by using power function. This new method is
available for L^n contingent claims. Moreover, we introduce some basic
properties and asymptotic behavior.
(Seminar on Financial and Insurance Mathematics)
Thursday, January
13, 2005,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Johanna Neslehova (RiskLab)
Title: Dependence of non-continuous random variables
For continuous random variables, many
dependence concepts and measures of association can be expressed in
terms of the corresponding copula only and are thus independent of the
marginal distributions. This interrelationship generally fails as soon
as discontinuities are allowed. In this talk, we investigate the class
of all possible copulas in the general case and show that one of its
members -- the standard extension copula introduced by Schweizer and
Sklar -- captures the dependence structures in an analogous way
the unique copula does in the continuous case. In particular, we
focus on measures of concordance and derive Kendall's tau and
Spearman's rho for non-continuous random variables. We also discuss
modeling of multivariate discrete distributions using copulas as well
as applications to Poisson point processes.
(Seminar on Financial and Insurance Mathematics)
Thursday, December
16, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Tomas Björk
(Stockholm School of Economics)
Title: On the Timing Option in a Futures Contract
Abstract: The timing option
embedded in a futures contract allows the short
position to decide when to deliver the underlying asset during the
last month of the contract period. In this paper we derive, within a
semimartingale framework, an explicit model independent formula
for
the futures
price process in the presence of a timing option. We also provide a
characterization of the optimal delivery strategy, and we
analyze
some concrete examples.
(Seminar on Financial and Insurance Mathematics)
Thursday, December
16, 2004,
16.00-17.00 h
(ETHZ, HG E33.5)
- Simon A. Brendle
(Princeton University)
Title: Portfolio Optimization under Partial Observation
Abstract: We study an optimal
investment problem under incomplete
information for an investor with constant relative risk
aversion. We assume that the investor can only observe asset prices,
but not the instantaneous returns. Furthermore, we assume that the
instantaneous returns follow an Ornstein--Uhlenbeck process, and that
their initial distribution is Gaussian. We analytically solve the
Bellman equation for this problem, and identify the optimal investment
strategy under incomplete information. We explore the relationship
between the value function under partial observation and the value
function under full observation, and derive a formula for the economic
value of information. Furthermore, we discuss how the optimal strategy
under partial observation can be computed from the optimal strategy for
an investor with full observation. Explicit solutions are presented in
a model with only one risky asset.
(Seminar on Financial and Insurance Mathematics)
Thursday, December 9, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Christian Bluhm (Credit
Suisse)
Title: Comonotonic Default Quote Paths
Abstract: The well-known analytic
approximation of the default distribution of uniform credit portfolios
with sufficiently high
granularity first introduced in 1987 by O. A. VASICEK is one of the
most fundamental milestones in
modern credit risk modeling. In the new capital accord one finds that
VASICEK's limit distribution
even found its way into the benchmark risk weight formula on which
regulatory capital requirements
from 2007 on will be based. In the extension of VASICEK's approach to
default timing, the default
quote path of an 'infinitely granular' uniform portfolio is a function
depending on one single
systematic risk factor only such that the 'intertemporal dependence' is
comonotonic. In the talk we
discuss an upper Frechet copula-based approach which leads to
comonotonic default quote paths applicable
also to portfolios with low granularity. Applications include the
evaluation of structured finance
products like basket credit derivatives and collateralized debt
obligations.
(Seminar on Financial and Insurance Mathematics)
Thursday, December 2, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Anis Matoussi
(Université du Maine)
Title: Reflected BSDE's under monotonicity condition
Abstract: It's a joint work with J-P. Lepeltier and M. Xu. We prove the
existence and uniqueness of solution to Reflected Backward Stochastic
Differential Equations (in short RBSDE's) with one continuous barrier
and deterministic terminal time, under monotonicity, and general
increasing growth conditions on the coefficient. As application, and
following El Karoui, Quenez and Pardoux (1997), we obtain in some
constraint cases, the price of an American contingent claim as solution
of such RBSDE's.
(Seminar on Financial and Insurance Mathematics)
Monday, November 29, 2004,
17.15h
(ETHZ, Audimax HG F30)
- Martin Schweizer
(ETHZ)
Titel: Optionsbewertung in unvollständigen Finanzmärkten
(Einführungsvorlesung)
Thursday, November 25, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Daniel Egloff
(Zürcher Kantonalbank)
Title: Monte Carlo Algorithms for Optimal Stopping and Statistical
Learning
Abstract: We extend the Longstaff-Schwartz algorithm for approximately
solving optimal stopping problems on high-dimensional state spaces.
We reformulate the optimal stopping problem for Markov processes in
discrete time as a generalized statistical learning problem.
Within this setup we apply deviation inequalities for suprema of
empirical processes to derive consistency criteria,
and to estimate the convergence rate and sample complexity. Our results
strengthen and extend earlier results
obtained by Clément, Lamberton and Protter.
(Seminar on Financial and Insurance Mathematics)
Thursday, November 18, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Julien Hugonnier
(University of Lausanne)
Title: Mutual Fund Portfolio Choice in the Presence of Dynamic Flows
Abstract: We analyze the implications of the widely used fixed fraction
of funds fees on a mutual fund managers portfolio decisions. In our
model, a log utility investor is allowed to
dynamically allocate capital between an actively managed mutual fund
and a locally riskless bond. The optimal
fund portfolio is shown to be the one that maximizes the market value
of the fees received, and is
independent of the manager's utility function. The presence of dynamic
flows induces flow hedging
portfolio distortions on the part of the fund, even though the investor
is myopic. Our model predicts a positive relationship between a fund's
proportional fee rate and its volatility. This is a consequence of
higher fee funds holding more extreme equity positions. While both
the fund portfolio and the investor's trading strategy depend on the
proportional fee rate, the equilibrium value functions do not.
Implications related to the measured performance-fundflow relationship
and its dependence on the fee rate are derived. Finally, we show that
our
results hold even if in addition to trading the fund and the bond the
investor is allowed to directly trade some of the risky securities, but
not all.
(Seminar on Financial and Insurance Mathematics)
Thursday, November 11, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Bruno Bouchard
(University Paris 6)
Title: Optimal Consumption in Discrete Time Financial Models with
Industrial Investment Opportunities and Non-linear Returns
(Seminar on Financial and Insurance Mathematics)
Thursday, November 4, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Toshiki Honda
(Hitotsubashi University, Japan)
Title: On the Verification Theorem of Continuous-Time Optimal Portfolio
Problems with Stochastic Market Price of Risk
(Seminar on Financial and Insurance Mathematics)
Thursday, October 28, 2004,
17.15-18.15 h
(ETHZ, Hermann-Weyl-Zimmer, HG G43)
- Roger Kaufmann (Swiss
Life)
Title: Modelling of Long-Term Risk
Abstract: A lot of work in risk management has been done for short-term
risk. Clearly, in many cases,
a long-term analysis is just as relevant and important. This
presentation consits of two parts. The first one
deals with a two-week period, the second one with estimation on a
1-year horizon.
(Seminar on Financial and Insurance Mathematics)
Links to
Talk Series:
Risk Days and Previous Talks:
- Risk Day 2004, 2003, 2002, 2001, 2000, 1999, 1998
- Talks SS 2004, WS 2003/04, SS
2003, WS
2002/03, SS 2002, WS 2001/02, SS
2001, WS 2000/01, SS 2000, WS
1999/2000, SS 1999, WS 1998/99, SS
1998, WS 1997/98
[Finance and Insurance][Department of Mathematics][ETH Zürich]
Created and supported by Uwe Schmock
until September 12, 2003. Please send comments and suggestions to Gallus Steiger/Jörg Osterrieder,
email: finance_update@math.ethz.ch.
Last update: October 19, 2004