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 24 November - Aditi Dandapani (ETH Zurich)
Strict Local Martingales and Initial Expansions of Filtrations
Beginning with a non negative model following a stochastic differential equation with stochastic volatility, we show how a strict local martingale might arise from a true martingale as a result of an enlargement of the underlying filtration. More precisely, we implement a particular type of enlargement, an "initial expansion" of the filtration, for various kinds of stochastic differential equation models, and we provide sufficient conditions such that this expansion can turn a martingale into a strict local martingale. Applications of our work include the modeling and detection of financial bubbles. For example, one might postulate that a bubble arises as a result of the arrival of new information, which we can model via an enlargement of the filtration.
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: