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Joint Risk & Stochastics and Financial Mathematics Seminar

The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place bi-weekly on Thursdays from 12.00 - 13:00 in room 32L.LG.03 (32 Lincoln's Inn Fields, LSE), unless stated below. The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. All are welcome to attend. Please contact Enfale Farooq, the Research Manager, on for further information about any of these seminars.

Upcoming Speakers:

Thursday 24 October - Eugene Feinberg (Stony Brooks University)
Venue: 32L.LG.03 from 12:00 - 13:00

Solutions for Zero-Sum Two-Player Games with Noncompact Decision Sets
The classic theory of infinite zero-sum two-player games has been developed under the assumptions that either the decision set  of at least one of the players is compact or some convexity/concavity conditions hold. In this talk we describe sufficient conditions for the existence of solutions for two-person zero-sum games with possibly noncompact decision sets for both players and the structure of the solution sets under these conditions. Payoff functions may be unbounded, and we do not assume any convexity/concavity-type conditions.  For such games expected payoffs may not exist for some pairs of strategies. These results imply several classic facts, and they are illustrated with the number guessing game.  We also describe sufficient conditions for the existence of a value and solutions for each player.

The talk is based on joint papers with Pavlo O. Kasyanov and Michael Z. 

Thursday 7 November -  Stefano Duca and Philip Gradwell (Chainalysis)
Venue: 32L.LG.03 from 12:00 - 13:00

Cryptocurrencies: what the data tells us about a new financial market
Cryptocurrencies have generated much hype and controversy, but they have also generated vast amounts of financial data. Not only are they traded on exchanges, via spot and derivatives, but they are also transacted on the blockchain. This potentially allows for detailed analysis of this new financial market. However, interpretation of the data is complex due to the pseudo-anonymity of blockchain transactions and the immaturity of markets. Chainalysis, the leading blockchain analytics company, will describe the state of cryptocurrency data, their latest understanding of the crypto-economy, and frame the open questions for a debate on the frontiers of cryptocurrency research.

Thursday 21 November - Francesco Russo (ENSTA Paris, Institut Polytechnique de Paris)
Venue: 32L.LG.03 from 12:00 - 13:00

The title and abstract can be found here.

Tuesday 26 November - Philipp Illeditsch (University of Pennsylvania)
Venue: CBG.1.04 from 12:00 - 13:00
**change of day and venue**

Title and abstract TBC

Thursday 5 December - Renyuan Xu (University of Oxford)
Venue: 32L.LG.03 from 12:00 - 13:00

Title and abstract TBC.

Previous seminars in the series:

Michaelmas Term

Thursday 10 October - Simone Scotti (Université Paris Diderot)

Alpha-Heston stochastic volatility model
We introduce an affine extension of the Heston model where the instantaneous variance process contains a jump part driven by $\alpha$-stable processes with $\alpha\in(1,2]$. In this framework, we examine the implied volatility and its asymptotic behaviors for both asset and variance options. In particular, we show that the behavior of stock implied volatility is the sharpest coherent with theoretical bounds at extreme strikes independently of the value of $\alpha\in(1,2)$. As far as volatility options are concerned, VIX-implied volatility is characterized by an upward-sloping behavior and the slope is growing when $\alpha$ decreases.
Furthermore, we examine the jump clustering phenomenon observed on the variance marketand provide a jump cluster decompositionwhich allows to analyse the cluster processes. The variance process could be split into a basis process, without large jumps, and a sum of jump cluster processes, giving explicit equations for both terms. We show that each cluster process is induced by a first ``mother" jump giving birth to a sequence of ``child jumps". We first obtain a closed form for the total number of clusters in a given period.
Moreovereach cluster process satisfies the same $\alpha$-CIR evolution of the variance process excluding the long term mean coefficient that takes the value $0$.We show that each cluster process reaches $0$ in finite time and we exhibit a closed form for its expected life time.We study the dependence of the number and the duration of clusters as function of the parameter $\alpha$ and the threshold used to split large and small jumps.

Joint work with Ying Jiao, Chunhua Ma and Chao Zhou

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