Post/Doctoral Seminar in Mathematical Finance

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Spring Semester 2018

Date / Time

Speaker

Title

Location

6 March 2018
13:30-14:45

Dr. Chen Yang
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Inventory Management for High-Frequency Trading with Imperfect Competition
Speaker, Affiliation	Dr. Chen Yang, ETH Zürich
Date, Time	6 March 2018, 13:30-14:45
Location	HG G 19.2
Abstract	We study Nash equilibria for inventory-averse high-frequency traders (HFTs), who trade to exploit information about future price changes. For a finite number of trading rounds, the HFTs’ optimal trading strategies and their equilibrium price impact are described by a system of nonlinear equations; the explicit solution is obtained in the continuous-time limit. Unlike in the risk-neutral case, the optimal inventories become mean-reverting and vanish as the number of trading rounds becomes large. In contrast, the HFT’s risk-adjusted profits and the equilibrium price impact converge to their risk-neutral counterparts. Compared to a social-planner solution for cooperative HFTs, Nash competition leads to excess trading, so that marginal transaction taxes in fact benefit the HFTs.

Inventory Management for High-Frequency Trading with Imperfect Competitionread_more

HG G 19.2

13 March 2018
13:30-14:45

Chong Liu
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	The Emergence of Càdlàg Rough Paths in Model-free Finance
Speaker, Affiliation	Chong Liu, ETH Zürich
Date, Time	13 March 2018, 13:30-14:45
Location	HG G 19.2
Abstract	In the model-free finance one considers càdlàg R^d-valued paths as elements in the Skorokhod space without assuming a priori a probability measure. In order to define "Itô integral" pathwise, we need to construct càdlàg rough paths over càdàg R^d-valued paths. Based on a dyadic approximation, we show the existence of Itô càdlàg rough paths above general semimartingales, suitable Gaussian processes and non-negative typical price paths. Furthermore, Lyons-Victoir extension theorem for càdlàg paths is presented, stating that every càdlàg path of finite p-variation can be lifted to a rough path.

The Emergence of Càdlàg Rough Paths in Model-free Financeread_more

HG G 19.2

10 April 2018
15:15-16:15

Dr. Katia Colaneri
University of Leeds

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Indifference Pricing for Pure Endowment Life Insurance Contracts under Partial Information
Speaker, Affiliation	Dr. Katia Colaneri, University of Leeds
Date, Time	10 April 2018, 15:15-16:15
Location	HG G 19.1
Abstract	We investigate the pricing problem of a pure endowment contract when the insurer has a limited information on the mortality intensity of the policyholder. This kind of life insurance policy has a payoff which depends on the residual life time of the insured as well as the trend of a portfolio traded in the financial market. We propose a modeling framework that takes into account mutual dependence between the financial and the insurance markets via a stochastic process which affects the risky asset and the mortality index dynamics. Since the market is incomplete due to the presence of basis risk, in alternative to arbitrage pricing we use expected utility maximization under exponential preferences as evaluation approach, which leads to the so-called indifference price. Under partial information this methodology requires filtering techniques in order to replace unobservable quantities with their filtered estimates. We characterize the value function as well as the indifference price in terms of the solution to a quadratic-exponential backward stochastic differential equation. This is a joint work with Claudia Ceci and Alessandra Creatarola.

Indifference Pricing for Pure Endowment Life Insurance Contracts under Partial Informationread_more

HG G 19.1

10 April 2018
16:15-17:15

Prof. Dr. Johannes Ruf
London School of Economics

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Filtration Shrinkage, the Structure of Deflators, and the Failure of Market Completness
Speaker, Affiliation	Prof. Dr. Johannes Ruf, London School of Economics
Date, Time	10 April 2018, 16:15-17:15
Location	HG G 19.1
Abstract	We analyse the structure of stochastic discount factors (SDFs) projected on smaller filtrations. Via use of a Bayesian filtering approach, we demonstrate the exact mechanism of how updates on the possible class of models under less information result in the strict supermartingale property of projections of SDFs. In a general continuous-path setting, we show that the local martingale part in the multiplicative Doob-Meyer decomposition of projected SDFs are themselves SDFs in the smaller information market. Finally, we demonstrate that these projections are unable to span all possible SDFs in the smaller information market, by means of an interesting example where market completeness is not retained under filtration shrinkage.

Filtration Shrinkage, the Structure of Deflators, and the Failure of Market Completnessread_more

HG G 19.1

8 May 2018
15:15-16:30

Dr. Sascha Desmettre
TU Kaiserslautern

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Estimation of and Portfolio Optimization with (Early Announced) Dividends
Speaker, Affiliation	Dr. Sascha Desmettre, TU Kaiserslautern
Date, Time	8 May 2018, 15:15-16:30
Location	HG G 19.1
Abstract	This talk gives an overview about some recent developments in dividend modeling. The first part focuses on the implicit estimation of discrete dividends from current option prices. In particular two alternative estimators for obtaining discrete dividend payments are obtained. Both are exclusively based on standard call and put options, either of European or American type, for which data in form of current option prices are readily available. The second part deals on the one hand with the inclusion of multiple early announced discrete dividends in the stock price model and on the other hand it solves the optimization problem of terminal wealth in the presence of early announced discrete dividends. (Joint works with S. Grün, R. Korn, F.T. Seifried.)

Estimation of and Portfolio Optimization with (Early Announced) Dividendsread_more

HG G 19.1

22 May 2018
16:15-17:00

Yinglin Zhang
LMU Munich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Insurance Modelling in Continuous Time
Speaker, Affiliation	Yinglin Zhang, LMU Munich
Date, Time	22 May 2018, 16:15-17:00
Location	HG G 19.1
Abstract	In this talk we consider the problem of pricing and hedging insurance liabilities in continuous time from different aspects. We introduce for the first time a unified framework for both life and non-life insurance, which generalizes the classic reduced-form framework and considers a non-trivial dependence structure with the financial market. The life and non-life cases are then studied in detail under given model specifications. Beside model-dependent setting, we also develop a model-free framework for insurance markets with respect to a non-dominated family of probability measures. On the one hand, we introduce and analyze for the first time the problem of superhedging payment streams under model uncertainty in continuous time. On the other hand, we construct explicitly a consistent sublinear conditional expectation on a progressively enlarged filtration, which generalizes existing results valid only on the canonical space endowed with the natural filtration. This sublinear conditional expectation is then used as a pricing operator for insurance claims in view of the superhedging results.

Insurance Modelling in Continuous Timeread_more

HG G 19.1

29 May 2018
17:00-17:45

Dr. Asgar Jamneshan
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	On the Representation of Conditional Distributions
Speaker, Affiliation	Dr. Asgar Jamneshan, ETH Zürich
Date, Time	29 May 2018, 17:00-17:45
Location	HG G 19.1
Abstract	It is a folklore in probability that the conditional distribution of a random element is represented by a Markov kernel whenever the state space is standard Borel. By topos-theoretic tools, one obtains a meaningful representation if the hypothesis of separability is removed.

On the Representation of Conditional Distributionsread_more

HG G 19.1

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