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Talks in Financial and Insurance Mathematics
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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 17:15-18:15 |
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 17:15-18:15 |
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 17:15-18:15 |
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 17:15-18:15 |
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 17:15-18:15 |
Tim Boonen Universiteit van Amsterdam |
Title T.B.A. | HG G 43 | |
10 November 2016 17:15-18:15 |
Michaela Szölgyenyi Vienna University of Economics and Business |
Title T.B.A. | HG G 43 | |
24 November 2016 17:15-18:15 |
Johannes Muhle-Karbe University of Michigan |
Title T.B.A. | HG G 43 | |
8 December 2016 17:15-18:15 |
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