Post/Doctoral Seminar in Mathematical Finance

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Autumn Semester 2023

Date / Time

Speaker

Title

Location

4 October 2023
12:15-13:15

Marco Rodrigues
ETH Zurich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Reflections on BSDEs
Speaker, Affiliation	Marco Rodrigues, ETH Zurich, Switzerland
Date, Time	4 October 2023, 12:15-13:15
Location	HG G 43
Abstract	After giving a brief overview of the connection between BSDEs and stochastic control, we will discuss some recent well-posedness results of BSDEs and reflected BSDEs with jumps in an L^2-setting. This is based on joint work with Dylan Possamaï.

Reflections on BSDEsread_more

8 November 2023
12:15-13:15

Jan Žemlička
Universität Zürich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Intergenerational Consequences of Rare Disasters
Speaker, Affiliation	Jan Žemlička, Universität Zürich, Switzerland
Date, Time	8 November 2023, 12:15-13:15
Location	HG G 43
Abstract	We analyze the intergenerational consequences of rare disasters in a calibrated overlapping generations model featuring realistic household portfolios and equilibrium asset prices. Households own houses and trade in bonds and equity. In a disaster, young households suffer from reduced labor income and tightened borrowing constraints. Older households lose a large portion of their savings invested in risky assets. The relative winners are households shortly before retirement, who have a more stable labor income, are not borrowing constrained, and young enough to benefit from large returns of assets purchased during the disaster at depressed prices. In order to solve the model, we advance contemporary deep learning based solution methods along two complementary dimensions. First, we introduce an economics-inspired neural network architecture that, by construction, ensures that market clearing conditions are always satisfied. Second, we illustrate how to solve models with multiple assets by introducing them step-wise into the economy. These two innovations enable us to reduce the number of equilibrium conditions, which are not fulfilled exactly, and to substantially improve the stability of the training algorithm.

Intergenerational Consequences of Rare Disastersread_more

15 November 2023
12:15-13:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	15 November 2023, 12:15-13:15
Location	HG G 43

Title T.B.A.

22 November 2023
12:15-13:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	22 November 2023, 12:15-13:15
Location	HG G 43

Title T.B.A.

29 November 2023
12:15-13:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	29 November 2023, 12:15-13:15
Location	HG G 43

Title T.B.A.

6 December 2023
12:15-13:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	6 December 2023, 12:15-13:15
Location	HG G 43

Title T.B.A.

13 December 2023
12:15-13:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	13 December 2023, 12:15-13:15
Location	HG G 43

Title T.B.A.

20 December 2023
12:15-13:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	20 December 2023, 12:15-13:15
Location	HG G 43

Title T.B.A.

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