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Friday 22 January
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Hessah Al-Motairi (LSE)
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Irreversible capacity expansion with proportional and fixed costs
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We consider the problem of determining the optimal capacity expansion strategy that a firm operating within a random economic environment should adopt. We model market uncertainty by means of a geometric Brownian motion. The objective is to maximise a performance criterion that involves a general running payoff function and associates a fixed and a proportional cost with each capacity increase. The resulting optimisation problem takes the form of a two-dimensional impulse control problem that we explicitly solve.
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Friday 5 February
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Hessah Al-Motairi (LSE)
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Irreversible capacity expansion with proportional and fixed costs
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We consider the problem of determining the optimal capacity expansion strategy that a firm operating within a random economic environment should adopt. We model market uncertainty by means of a geometric Brownian motion. The objective is to maximise a performance criterion that involves a general running payoff function and associates a fixed and a proportional cost with each capacity increase. The resulting optimisation problem takes the form of a two-dimensional impulse control problem that we explicitly solve.
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Friday 12 February
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Fares Al-Azemi (LSE)
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Buy low and sell high strategy
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Friday 19 February
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Neofytos Rodosthenous (LSE)
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Pricing of Perpetual American Compound Options
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We present explicit solutions to the perpetual American compound option problems in the Black-Merton-Scholes model. The method of proof is based on using the strong Markov property and reducing the initial optimal stopping problems to the associated free-boundary problems. We also obtain a closed form solution for the perpetual American chooser option problem, by means of the analysis of the equivalent two sided free-boundary problem.
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Friday 26 February
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Fares Al-Azemi (LSE)
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Buy low and sell high strategy
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Friday 5 March
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Polly Lon (LSE)
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The stochastic goodwill problem: A monotone follower model with discretionary stopping
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We formulate and solve a problem that combines the features of the
so-called monotone follower of singular stochastic control theory with
optimal stopping.
In particular, we consider a stochastic system whose uncontrolled
state dynamics are modelled by a general one-dimensional Ito
diffusion.
The aim of the problem that we solve is to maximise the utility
derived from the system's state at the discretionary time when the
system's control is terminated.
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Friday 19 February
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Polly Lon (LSE)
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The stochastic goodwill problem: A monotone follower model with discretionary stopping
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We formulate and solve a problem that combines the features of the
so-called monotone follower of singular stochastic control theory with
optimal stopping.
In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional Ito
diffusion.
The aim of the problem that we solve is to maximise the utility
derived from the system's state at the discretionary time when the
system's control is terminated.
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Tuesday 23 March
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Fares Al-Azemi (LSE)
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Buy low and sell high strategy
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Tuesday 23 March
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Neofytos Rodosthenous (LSE)
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Markov property
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Friday 30 April
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Polly Lon (LSE)
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The stochastic goodwill problem: A monotone follower model with discretionary stopping
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We formulate and solve a problem that combines the features of the
so-called monotone follower of singular stochastic control theory with
optimal stopping.
In particular, we consider a stochastic system whose uncontrolled
state dynamics are modelled by a general one-dimensional Ito
diffusion.
The aim of the problem that we solve is to maximise the utility
derived from the system's state at the discretionary time when the
system's control is terminated.
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Friday 30 April
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Fares Al-Azemi (LSE)
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Buy low and sell high strategy
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Tuesday 4 May
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Neofytos Rodosthenous (LSE)
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Markov property
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Friday 11 June
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Elena Boguslavskaya (City University London)
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A taste of combinatorics for probabilistic use
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Here we will talk about processes with independent increments, moments, cumulants, martingales, Bell polynomials, Appell polynomials and how helpful algebraic combinatorics can be for some problems in probability.
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Friday 22 October
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Tom Bates (LSE)
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Affine Term Structure Dynamics
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Friday 29 October
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Polly Lon (LSE)
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Optimal stopping of a skew Brownian motion
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Thursday 9 December
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Neofytos Rodosthenous (LSE)
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No title
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