Talks in Financial and Insurance Mathematics

Main content

This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.

Autumn Semester 2016

Note: The highlighted event marks the next occurring event.

Date / Time Speaker Title Location
25 August 2016
No seminar
1 September 2016
Marcel Nutz
Columbia University
A Mean Field Game of Optimal Stopping  HG G 43 
Abstract: We formulate a stochastic game of mean field type where the agents solve optimal stopping problems and interact through the proportion of players that have already stopped. Working with a continuum of agents, typical equilibria become functions of the common noise that all agents are exposed to, whereas idiosyncratic randomness can be eliminated by an Exact Law of Large Numbers. Under a structural monotonicity assumption, we can identify equilibria with solutions of a simple equation involving the distribution function of the idiosyncratic noise. Solvable examples allow us to gain insight into the uniqueness of equilibria and the dynamics in the population.
29 September 2016
Yan Dolinsky
Hebrew University of Jerusalem
Super-Replication with Constant Transaction Costs  HG G 43 
Abstract: We study super-replication of contingent claims in markets with fixed transaction costs. First we prove that in reasonable continuous time financial market the super-replication price is prohibitively costly and leads to trivial buy-and-hold strategies. Our second result is deriving non trivial scaling limits of super-replication prices in the binomial models. joint work with Peter Bank
13 October 2016
Bruno Bouchard
Ceremade, Université Paris-Dauphine
Stochastic invariance of closed sets with non-Lipschitz coefficients  HG G 43 
Abstract: We provide a new characterization of the stochastic invariance of a closed subset with respect to a diffusion. We extend the well-known inward pointing Stratonovich drift condition to the case where the diffusion matrix can fail to be differentiable: we only assume that the covariance matrix is. In particular, our result can be directly applied to construct affine and polynomial diffusions on any arbitrary closed set.
20 October 2016
Peter Tankov
Université Paris-Diderot
Optimal importance sampling for Lévy processes  HG G 43 
Abstract: We develop importance sampling estimators for Monte Carlo pricing of European and path-dependent options in models driven by Lévy processes, extending earlier works focusing on the Black-Scholes and continuous stochastic volatility models. Using recent results from the theory of large deviations for processes with independent increments, we compute an explicit asymptotic approximation for the variance of the pay-off under an Esscher-style change of measure. Minimizing this asymptotic variance using convex duality, we then obtain an importance sampling estimator of the option price. Numerical tests in the variance gamma model show consistent variance reduction with a very small computational overhead. (Adrien Genin and Peter Tankov)
27 October 2016
Tim Boonen
Universiteit van Amsterdam
Title T.B.A. HG G 43 
10 November 2016
Michaela Szölgyenyi
Vienna University of Economics and Business
Title T.B.A. HG G 43 
24 November 2016
Johannes Muhle-Karbe
University of Michigan
Title T.B.A. HG G 43 
8 December 2016
Marcus C Christiansen
Heriot Watt University
Title T.B.A. HG G 43 

Archive: SS 17  AS 16  SS 16  AS 15  SS 15  AS 14  SS 14  AS 13  SS 13  AS 12  SS 12  AS 11  SS 11  AS 10  SS 10  AS 09 

Page URL:
© 2016 Eidgenössische Technische Hochschule Zürich