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: Marking-to-market and price impact

Abstract: The paper studies incentives and trading decisions of money managers who trade in markets with price impact. I show that in markets with price impact the practice of marking-to-market funds' assets creates incentives for managers to accumulate excessively large positions. This trading behaviour may force prices away from their fundamental levels for a long time and may result in large losses for investors.


SPulido|Thursday 20 November 2014: 12pm - 1pm, Room NAB 1.09, New Academic Building
THIS TIME AND VENUE IS CANCELLED

Please note that this talk will now take place as part of the London Mathematical Finance Seminar| series at King's College London, Strand campus, on Thursday 20 November 2014, starting at 17:45

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

Title: Existence and uniqueness results for multi-dimensional quadratic BSDEs arising from a price impact model with exponential utility 

Abstract: In this work we study multi-dimensional systems of quadratic BSDEs arising from a price impact model where an influential investor trades illiquid assets with a representative market maker with exponential preferences. The impact of the strategy of the investor on the prices of the illiquid assets is derived endogenously through an equilibrium mechanism. We show that a relationship exists between this equilibrium mechanism and a multi-dimensional system of quadratic BSDEs. We also specify conditions on the parameters of the model that guarantee that the system of BSDEs has a unique solution, which corresponds to a family of unique equilibrium prices for the illiquid assets. The proof relies on estimates that exploit the structure of the equilibrium problem. Finally, we provide examples of parameters for which the corresponding system of BSDEs in not well-posed.

Joint work with Dmitry Kramkov.


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

Jan-Henrik Steg
Universität Bielefeld|

Title: Symmetric equilibria in stochastic timing games 

Abstract: 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 analyse 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 pre-emption and is abrupt. Equilibria may differ in the degree of pre-emption, precisely at which points it is triggered. We provide an algorithm to characterize where pre-emption is inevitable and to establish the existence of corresponding payoff-maximal symmetric equilibria.


gChabakauri|Thursday 22 January 2015: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Georgy Chabakauri
LSE (Department of Finance)|

Title: Multi-asset noisy rational expectations equilibrium with contingent claims
Abstract: We consider a noisy rational expectations equilibrium in a multi-asset economy populated by informed and uninformed investors, and noise traders. Informed investors privately observe an aggregate risk factor affecting the probabilities of different states of the economy. Uninformed investors attempt to extract that information from asset prices, but full revelation is prevented by noise traders. We relax the usual assumption of normally distributed asset payoffs and allow for assets with more general payoff distributions, including contingent claims, such as options and other derivatives. We show that assets reveal information about the risk factor only if they help span the exposure of probabilities of states to the risk factor. When the market is complete, we provide equilibrium asset prices and optimal portfolios of investors in closed form. In incomplete markets, we derive prices and portfolios in terms of easily computable inverse functions.

Joint work with Kathy Yuan and Konstantinos E Zachariadis


bern|Thursday 5 February 2015: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Michael Schmutz
University of Bern| and Swiss Financial Market Supervisory Authority (FINMA)|

Title: Challenges in risk based solvency frameworks
Abstract: Risk-based solvency frameworks such as Solvency II to be introduced in the EU or the Swiss Solvency Test (SST) in force since 2011 in Switzerland seek to assess the financial health of insurance companies by quantifying the capital adequacy through calculating the solvency capital requirement (SCR). Companies can use their own economic capital models (internal models) for this calculation, provided the internal model is approved by the insurance supervisor. The Swiss supervisor has essentially completed the first round of internal model approvals. This has provided the supervisor and the industry with many insights into the challenges of designing, assessing, and supervising such models and has shown that there is a considerable number of challenges, in particular modelling challenges, that have not yet been solved in a completely satisfactory way. Some of the most important challenges and problems will be discussed along with some approaches to solutions.


pSiorpaes|Thursday 19 February 2015: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Pietro Siorpaes
University of Oxford|

Title: to be confirmed
Abstract: to be confirmed


FaustoGozziThursday 5 March 2015: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Fausto Gozzi
Luiss University|

Title: to be confirmed
Abstract: to be confirmed


ecolePThursday 19 March 2015: 12pm - 1pm, Room NAB 1.09, New Academic Building
Maps and directions|

Dylan Possamaï
CMAP École polytechnique|

Title: to be confirmed
Abstract: to be confirmed


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