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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:

LENT TERM

Thursday 2 March - Dirk Becherer (HU Berlin)
Stochastic illiquidity

In classical models from math. finance, dynamic trading strategies are executed against price processes which are exogenously given, and are not affected by the strategies. Economically, this means to assume that liquidity is unlimited or investors are 'small'. We discuss optimal control problems from mathematical finance in models for large investors, whose trading strategies have an intertemporal effect on the prices, against which they are executed. An original feature of the model, that we discuss, is that the transient price impact due to illiquidity in our model is stochastic and multiplicative, instead of being additive and deterministic (as a function of the strategy).

Joint work with Todor Bilarev, Peter Frentrup, HU Berlin, some related papers are on arxiv.

Thursday 9 March - Romain Blanchard
Robust optimal investment in discrete time for unbounded utility function

We investigates the problem of maximising  worst case expected terminal utility in a discrete time financial model with a finite horizon under non-dominated model uncertainty. We use dynamic programming framework together with measurable elections arguments to prove that under mild integrability assumption, an optimal portfolio exists for unbounded utility function defined on the half-real line. We revisit also the non-arbitrage condition in the robust framework.

***PLEASE NOTE: Change to usual day and venue***
Monday 13 March - Yuri Imamura (Tokyo University of Science)
Change to usual venue: CLM.4.02,
Clement House, LSE
Asymptotic Static Hedge via Symmetrization

In the talk, we are interested in the risk to cover (some portion of) the price of the option at a default time. The risk, which we call timing risk, is a risk of uncertain dividend, especially of its payment time. Credit derivatives typically are exposed to the risk. We will discuss how it could be hedged by a static position of European path-independent options, generalizing P. Carr and J. Picron (1999) where they applied the semi-static hedging formula of barrier options to hedge a payment at a stopping time in a Black-Scholes environment. We will give an exact hedging formula in an multi-dimensional general diffusion setting.

Thursday 16 March - Sergio Pulido (ENSIIE)
Title and abstract TBC


Previous Seminars:

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