Post/Doctoral Seminar in Mathematical Finance

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Autumn Semester 2017

Date / Time

Speaker

Title

Location

26 September 2017
15:15-16:30

Prof. Dr. Jussi Keppo
National University of Singapore

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Investment Decisions and Falling Cost of Data Analytics
Speaker, Affiliation	Prof. Dr. Jussi Keppo, National University of Singapore
Date, Time	26 September 2017, 15:15-16:30
Location	HG G 19.1
Abstract	We study how the cost of data analytics and the characteristics of investors and investment opportunities affect investment decisions and their data analytics. We show that the falling cost of the data analytics raises investors' leverage, financially constrained or highly risk-averse investors use less data analytics, the quantity of data analytics is highest with mediocre investment opportunities and it is lowest with a high or low expected return opportunities. Due to the increased leverage, the falling cost of data analytics may lead to higher losses during the crises. This is joint work with Hong Ming Tan and Chao Zhou.

Investment Decisions and Falling Cost of Data Analyticsread_more

HG G 19.1

10 October 2017
15:15-16:30

Eduardo Abi Jaber
Université Paris-Dauphine

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	The Volterra square-root process
Speaker, Affiliation	Eduardo Abi Jaber, Université Paris-Dauphine
Date, Time	10 October 2017, 15:15-16:30
Location	HG G 19.2
Abstract	In this talk, I focus on studying the qualitative behavior of the Volterra square-root process of convolution type: weak/strong existence, uniqueness and boundary attainment problems are tackled. And if time permits, I will present an approximation of the non-markovian process by finite dimensional markovian affine diffusions which is crucial for simulation and applications for rough volatility modeling. Based on joint work with Martin Larsson and Sergio Pulido.

The Volterra square-root processread_more

HG G 19.2

24 October 2017
15:15-16:30

Dr. Michaela Szölgyenyi
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Convergence of Euler-type schemes for SDEs with discontinuous drift
Speaker, Affiliation	Dr. Michaela Szölgyenyi, ETH Zürich
Date, Time	24 October 2017, 15:15-16:30
Location	HG G 19.1
Abstract	When solving certain stochastic control problems in Financial or insurance mathematics, the optimal control policy sometimes turns out to be of threshold type, meaning that the control depends on the controlled process in a discontinuous way. The stochastic differential equations (SDEs) modeling the underlying process then typically have a discontinuous drift coefficent. This motivates the study of a more general class of such SDEs. We prove an existence and uniqueness result based on a certain novel transformation method by which the drift is "made continuous". As a consequence the transform becomes useful for the construction of a numerical method. The resulting scheme is proven to converge and its convergence speed is estimated. This is the first scheme for which strong convergence is proven for such a general class of SDEs with discontinuous drift. As a next step, the transformation method is used to prove strong convergence with positive rate of the classical Euler-Maruyama scheme for this class of SDEs. Furthermore, we give an outlook to a convergence result for an adaptive Euler scheme.

Convergence of Euler-type schemes for SDEs with discontinuous driftread_more

HG G 19.1

31 October 2017
15:15-16:30

Dr. Matteo Burzoni
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Risk measures based on benchmark loss distributions
Speaker, Affiliation	Dr. Matteo Burzoni, ETH Zürich
Date, Time	31 October 2017, 15:15-16:30
Location	HG G 19.1
Abstract	We introduce a new class of quantile-based risk measures that generalize Value at Risk. The aim is to address the structural blindness of Value at Risk with respect to the severity of the losses. First, we specify a certain benchmark loss distribution L. Second, we calculate the risk of a financial position X as the minimal capital injection that is required to align the loss distribution of X to the target loss profile L. Depending on the chosen loss profile both the frequency and the severity of losses can be taken into account. We provide a comprehensive presentation of the main properties of risk measures based on benchmark loss distributions with a view towards the most recent developments of risk measure theory and discuss a variety of possible applications. This is a joint work with V. Bignozzi (Milano Bicocca) and C. Munari (UZH).

Risk measures based on benchmark loss distributionsread_more

HG G 19.1

7 November 2017
15:15-16:30

Sara Svaluto-Ferro
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Probability-valued jump-diffusions
Speaker, Affiliation	Sara Svaluto-Ferro, ETH Zürich
Date, Time	7 November 2017, 15:15-16:30
Location	HG G 19.1
Abstract	A probability-valued jump-diffusion can be defined as the solution of a martingale problem, whose operator acts on functions of measure arguments. We present how, as in the finite dimensional case, such an operator can be expressed in terms of the (suitably defined) higher order derivatives of its argument and thus be written in the so called Levy-Kinchine form. By means of several examples, we then illustrate the role of the different parameters appearing in this representation.

Probability-valued jump-diffusionsread_more

HG G 19.1

21 November 2017
15:15-16:30

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Talks in Financial and Insurance Mathematics
Speaker, Affiliation
Date, Time	21 November 2017, 15:15-16:30
Location

Talks in Financial and Insurance Mathematics

12 December 2017
15:15-16:30

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Talks in Financial and Insurance Mathematics
Speaker, Affiliation
Date, Time	12 December 2017, 15:15-16:30
Location

Talks in Financial and Insurance Mathematics

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