Post/Doctoral Seminar in Mathematical Finance

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Autumn Semester 2014

Date / Time

Speaker

Title

Location

16 September 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	16 September 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

23 September 2014
15:15-16:15

Ren Liu
ETH Zurich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Who Should Sell Stocks?
Speaker, Affiliation	Ren Liu, ETH Zurich, Switzerland
Date, Time	23 September 2014, 15:15-16:15
Location	HG G 19.1
Abstract	Never selling stocks is optimal for investors with a long horizon and a realistic range of preference and market parameters, if relative risk aversion, investment opportunities, proportional transaction costs, and dividend yields are constant. Such investors should buy stocks when their portfolio weight is too low, and otherwise hold them, letting dividends rebalance to cash over time rather than selling. With capital gain taxes, this policy outperforms both static buy and-hold and dynamic rebalancing strategies that account for transaction costs. Selling stocks becomes optimal if either their target weight is low, or intermediate consumption is substantial. This is a joint work with Paolo Guasoni and Johannes Muhle-Karbe.

Who Should Sell Stocks?read_more

HG G 19.1

30 September 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	30 September 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

7 October 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	7 October 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

14 October 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Fin & Math Doc seminar on this day)
Speaker, Affiliation
Date, Time	14 October 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Fin & Math Doc seminar on this day)

HG G 19.1

21 October 2014
15:15-16:15

David Prömel
HU Berlin

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Pathwise integration in model free finance
Speaker, Affiliation	David Prömel, HU Berlin
Date, Time	21 October 2014, 15:15-16:15
Location	HG G 19.1
Abstract	The game-theoretic approach to mathematical finance, as advocated by Vovk, allows for a qualitative description of typical asset price trajectories. It is based on pathwise superhedging arguments and does not presume a probability measure. We set up an integration theory in this context. Further, we show that it is possible to construct a rough path and a local time associated to every typical price path. The talk is based on a joint work with Nicolas Perkowski.

Pathwise integration in model free financeread_more

HG G 19.1

28 October 2014
15:15-16:15

Prof. Dr. Philipp Harms
ETH Zurich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Consistent yield curve modelling
Speaker, Affiliation	Prof. Dr. Philipp Harms, ETH Zurich, Switzerland
Date, Time	28 October 2014, 15:15-16:15
Location	HG G 19.1
Abstract	We present a class of HJM models, which share numerical tractability with factor models, but allow for consistent re-calibration by today’s yield curve. By consistency, we mean that one and the same model is used for simulation, calibration, and estimation of the yield curve. From a mathematical point of view, a rich enough set of increment processes is described, whose concatenation converges to a limit process.

Consistent yield curve modellingread_more

HG G 19.1

4 November 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Fin & Math Doc seminar on this day)
Speaker, Affiliation
Date, Time	4 November 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Fin & Math Doc seminar on this day)

HG G 19.1

11 November 2014
15:15-16:15

Dr. Lavinia Perez-Ostafe
ETH Zurich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
Speaker, Affiliation	Dr. Lavinia Perez-Ostafe, ETH Zurich, Switzerland
Date, Time	11 November 2014, 15:15-16:15
Location	HG G 19.1
Abstract	We study the arbitrage opportunities in the presence of transaction costs in a sequence of binary markets approximating the fractional Black-Scholes model. This approximating sequence was constructed by Sottinen and named fractional binary markets. Since, in the frictionless case, these markets admit arbitrage, we aim to determine the size of the transaction costs needed to eliminate the arbitrage from these models. We first consider only 1-step trading strategies and we prove that arbitrage opportunities appear when the transaction costs are of order o(1/\sqrt{N}). Next, we characterize the asymptotic behaviour of the smallest transaction costs, called "critical'' transaction costs, starting from which the arbitrage disappears. Since the fractional Black-Scholes model is arbitrage-free under arbitrarily small transaction costs, one could expect that the sequence of critical transaction costs converges to zero. However, the true behaviour is opposed to this intuition, as we show, with the help of a new family of trading strategies, that this sequence converges to one. We explain this apparent contradiction and conclude that it is appropriate to see the fractional binary markets as a large financial market and to study its asymptotic arbitrage opportunities. Finally, we construct a 1-step asymptotic arbitrage in this large market when the transaction costs are of order o(1/N^H), whereas for constant transaction costs, we prove that no such opportunity exists.

Critical transaction costs and 1-step asymptotic arbitrage in fractional binary marketsread_more

HG G 19.1

18 November 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	18 November 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

25 November 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	25 November 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

2 December 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	2 December 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

9 December 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Fin & Math Doc seminar on this day)
Speaker, Affiliation
Date, Time	9 December 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Fin & Math Doc seminar on this day)

HG G 19.1

16 December 2014
15:15-16:15

Dr. Blanka Horvath
ETH Zurich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Robust Utility Maximization
Speaker, Affiliation	Dr. Blanka Horvath, ETH Zurich, Switzerland
Date, Time	16 December 2014, 15:15-16:15
Location	HG G 19.1
Abstract	We study robust local utility maximization, with ambiguity about drifts and volatilities in a general multidimensional Ito process setting. Explicit formulas for worst case models as well as optimal strategies and their performance are obtained. These can be readily extended to models with frictions, such as proportional transaction costs and linear price impact. This is joint work with Johannes Muhle-Karbe.

Robust Utility Maximization read_more

HG G 19.1

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