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Joint Risk & Stochastics and Financial Mathematics Seminar

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The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place biweekly on Thursdays from 12.00 pm - 1.00 pm in room CLM.7.02 (Clement House, 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 the seminar administrator on seminar@maths.lse.ac.uk for further information about any of these seminars.

Upcoming Speakers:

Thursday 27 October - Christoph Frei (Alberta)
Systemic Influences on Optimal Investment in Stocks and Credit Default Swaps

Recent events have shown that the dependence structure of financial markets is more complex than what is captured by classical models. For example, during the 2008 financial crisis, the financial instability of some companies spread out to affect other companies. The goal of this talk is to analyze how such systemic influences are reflected in optimal investment decisions. To this end, we introduce a model with dependence structure between market risk and default risk of the companies. An investor can use stocks and credit default swaps (CDSs) to participate in the market. We derive an explicit expression for the optimal investment strategy in stocks and CDSs. This allows us to analyze the mechanisms driving the optimal investment decisions. We then develop a novel calibration procedure so that we can fit the model to historical time series of stock and CDS data. An empirical analysis reveals the critical role of systemic risk in portfolio monitoring. This talk is based on joint work with Agostino Capponi (Columbia University).

Thursday 10 November - Paolo Guasoni (Dublin City University)
Title and abstract TBC

Thursday 24 November - Aditi Dandapani (ETH Zurich)
Title and abstract TBC

Thursday 8 December - TBC

Friday 24 February - Agostino Capponi (Columbia)
Change to usual venue: CLM.2.05, Clement House, LSE
Title and abstract TBC

Previous Seminars: