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Joint Risk & Stochastics and Financial Mathematics Seminar

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he following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place on Thursdays from 12.00 - 13.00 in room NAB.1.09 (New Academic Building, LSE), unless stated below. Follow this link for a map of the School|.

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 the seminar administrator on seminar@maths.lse.ac.uk| for further information about any of these seminars.

Upcoming Speakers:

Thursday 27 November - Jan-Henrik Steg| (Universität Bielefeld)
Symmetric Equilibria in Stochastic Timing Games

We construct subgame-perfect equilibria with mixed strategies for symmetric stochastic timing games with arbitrary strategic incentives. The strategies are qualitatively different for local first- or second-mover advantages, which we analyze in turn. When there is a local second-mover advantage, the players may conduct a war of attrition with stopping rates that we characterize in terms of the Snell envelope from the general theory of optimal stopping, which is very general but provides a clear interpretation. With a local first-mover advantage, stopping typically results from preemption and is abrupt. Equilibria may differ in the degree of preemption, precisely at which points it is triggered. We provide an algorithm to characterize where preemption is inevitable and to establish the existence of corresponding payoff-maximal symmetric equilibria.

Thursday 22 January - Georgy Chabakauri| (LSE)
Title and abstract TBC

Thursday 5 February - Michael Schmutz| (University of Bern and Swiss Financial Market Supervisory Authority (FINMA))
Title and abstract TBC

Thursday 19 February - Pietro Siorpaes| (University of Vienna)
Title and abstract TBC

Thursday 5 March
Speaker, title and abstract TBC

Thursday 19 March
Speaker, title and abstract TBC

Previous Seminars:

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