Home > Department of Statistics > Events > 2014-15 Seminar Series > Joint Risk and Stochastics and Financial Mathematics Seminar Series 2014-15

 

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Joint Risk and Stochastics and Financial Mathematics Seminar Series 2014-15

The Joint Risk and Stochastics and Financial Mathematics Seminar 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 academically students in related programmes at postgraduate level. All are welcome to attend. Sessions run regularly during LSE terms.

Please contact Events| for further information about any of these seminars. All are very welcome to attend. 

If you are not an LSE member of staff or LSE student please email Ian Marshall| with details of the seminar(s) you would like to attend so that we can notify the security reception desks to facilitate your access into the New Academic Building.


SRobertson|Thursday 16 October 2014: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Scott Robertson
Carnegie Mellon University|

Title: Indifference pricing for contingent claims: large deviations effects

Abstract: In this talk, we consider utility indifference prices and optimal purchasing quantities for a non-traded contingent claim in an incomplete semi-martingale market with vanishing hedging errors, making connections with the theory of large deviations. This work is motivated by the recent explosive growth in the derivatives market; in particular we seek to explain why such positions are being taken and what the effects are in terms of pricing. To make the analysis tractable, we concentrate on sequences of semi-complete markets where for each n the claim h_n admits the decomposition h_n = D_n+Y_n where D_n is replicable and Y_n is completely unhedgeable in that the indifference price of Y_n for an exponential investor is its certainty equivalent. Under broad conditions, we may assume that Y_n vanishes in accordance with a large deviations principle as n grows. In this setting, we identify limiting indifference prices as the position size becomes large, and show the prices typically are not the unique arbitrage free price in the limiting market. Furthermore, we show that optimal purchase quantities occur at the large deviations scaling, and hence large positions endogenously arise in this setting.

Joint work with Konstantinos Spiliopoulos.


SDrapeau|Thursday 30 October 2014: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions| 

Samuel Drapeau 
Humboldt Universität zu Berlin|

Title: Numerical representation of convex preferences on Anscombe–Aumann acts

Abstract: We study the preferences of agents for diversification and better outcomes when they are facing both, in Frank Knight's formulation, measurable as well as unmeasurable uncertainty. Following Anscombe and Aumann, such a situation can be modeled by preferences expressed on stochastic kernels, that is scenario dependent lotteries. By means of automatic continuity methods based on Banach-Dieudonné's Theorem on Fréchet spaces, we provide a robust representation. This gives us some insight into the nature of uncertainty aversion these preferences are expressing. We further investigate under which conditions these two intricate dimensions of uncertainty can be disentangle into a distributional uncertainty, in the direction of von Neumann and Morgenstern's theory, and a probability model uncertainty, in the spirit of risk measures. These results allow in particular to address both Allais as well as Elsberg's paradox.

Joint work with Patrick Cheridito, Freddy Delbaen and Michael Kupper.


IMakarovThursday 13 November 2014: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Igor Makarov
London School of Economics - Department of Finance|

Title: to be confirmed
Abstract: to be confirmed


SPulido|Thursday 20 November 2014: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Sergio Pulido
École Polytechnique Fédérale de Lausanne (EPFL), Swiss Finance Institute|

Title: to be confirmed
Abstract: to be confirmed


JHSteg|Thursday 27 November 2014: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Jan-Henrik Steg
Universität Bielefeld|

Title: to be confirmed
Abstract: to be confirmed



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