The seminar series is aimed predominantly at MPhil/PhD level students. Other interested parties might wish to consider attending the Joint Risk & Stochastics and Financial Mathematics Seminar or the London Mathematical Finance Seminar Series, hosted by the London Graduate School in Mathematical Finance (a consortium of the mathematical finance groups of Birkbeck College, Brunel University, Cass Business School, Imperial College, King's College, LSE and UCL).
Questions, suggestions, etc., about the reading group can be forwarded to the seminar administrator (Room COL 3.14), by sending an e-mail to: email@example.com
Tuesday 3 March - Michael Kusnetsov (LSE)
Tuesday 10 March - Jose Pasos (LSE)
A model for Long-term Irreversible Capital Investment
We consider a model for a company’s project where an economic indicator (such as a price) measures how favourable market conditions are for the company’s products. Depending on the state of the indicator, the investor can increase the project’s capital until default or bankruptcy time is reached, however decreasing capital is not allowed. The problem consists of determining the strategies which optimal profit once the cost of investment is discounted. Mathematically, this model is a singular stochastic control problem which, under suitable assumptions, admits explicit solutions.
Tuesday 17 March - Yavor Stoev (LSE)
Previous seminars in this series: 2015, 2014, 2013, 2012, 2011, 2010