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Humboldt-Universität zu Berlin - Mathematisch-Naturwissenschaftliche Fakultät - Institut für Mathematik

FS Stochastische Analysis und Stochastik der Finanzmärkte

Bereich für Stochastik


P. BANK, Ch. BAYER, Ch. BELAK, D. BECHERER, P. FRIZ, U. HORST, D. KREHER


 
Das Seminar wird ONLINE über ZOOM durchgeführt. (Der entsprechende Link kommt per e-mail)
 
Zeit: Donnerstag, 17 Uhr s.t.

 

 

 

 

 

 

 

15.04.2021

 

Kaspar Larsen  (Rutgers University)

Asset-pricing puzzles and price-impact

 

Abstract: We solve in closed-form a continuous-time Nash equilibrium model in which a finite number of investors with exponential utilities continuously consume and trade strategically with price-impact. Compared to the analogous Pareto-efficient equilibrium model, price-impact has an amplification effect on risk-sharing distortions that helps resolve the interest rate puzzle. However, price impact has little quantitative effect on the equity premium and stock-return volatility puzzles. Joint work with Xiao Chen (Rutgers), Jin Hyuk Choi (UNIST), and Duane J. Seppi (CMU).

22.04.2021

Johannes Muhle-Karbe (Imperial College London)

Hedging with market and limit orders

 

Abstract: Trading via limit orders allows to earn rather than pay bid-ask spreads. However, limit orders are exposed to a ̈dverse selection”, in that they are often executed against counterparties with superior information. In this paper, we study the tradeoff between market and limit orders for option hedging in a tractable extension of Leland’s model. (Joint work in progress with Kevin Webster (Citadel LLC) and Zexin Wang (Imperial).)

29.04.2021

Jodi Dianetti (Universität Bielefeld)

Submodular mean field games: Existence and approximation of solutions

 

Abstract: We study mean field games with scalar Itô-type dynamics and costs that are submodular with respect to a suitable order relation on the state and measure space. The submodularity assumption has a number of interesting consequences. Firstly, it allows us to prove existence of solutions via an application of Tarski's fixed point theorem, covering cases with discontinuous dependence on the measure variable. Secondly, it ensures that the set of solutions enjoys a lattice structure: in particular, there exist a minimal and a maximal solution. Thirdly, it guarantees that those two solutions can be obtained through a simple learning procedure based on the iterations of the best-response-map. The mean field game is first defined over ordinary stochastic controls, then extended to relaxed controls. Our approach also allows to treat a class of submodular mean field games with common noise in which the representative player at equilibrium interacts with the (conditional) mean of its state's distribution.
This talks is based on a joint work together with Giorgio Ferrari, Markus Fischer and Max Nendel

06.05.2021

 

Antoine Jacquier (Imperial College London)

Looking at the smile from Roger Lee's shoulders

 

Abstract: Looking at implied volatility surfaces from afar may not seem informative at first, but staring at them closely turns out to reveal a lot of information about the underlying stock price process. The objective of this talk is to gather as much information as possible about the stock, in particular: - is it a martingale or a strict local martingale? - can it default? - does it have fat tails? Starting from the foundational Moment Formula“by Roger Lee, excavated about 15 years ago, we shall see how to squeeze even more information out of it and show how to develop pricing formulae for European option prices and variance swaps. We shall also investigate, time permitting, whether it is possible to move this volatility surface dynamically without introducing any kind of arbitrage.

20.05.2021

 

Jinniao Qiu  (University of Calgary)

Viscosity Solutions of Stochastic Hamilton-Jacobi-Bellman Equations and Applications

 

Abstract: Fully nonlinear stochastic Hamilton-Jacobi-Bellman (HJB) equations will be discussed for the optimal stochastic control problem of stochastic differential equations with random coefficients. The notion of viscosity solution is introduced, and the value function of the optimal stochastic control problem is the unique viscosity solution to the associated stochastic HJB equation. Applications in mathematical finance and some recent developments will be reported as well.

27.05.2021

 

 

Max Reppen (Boston University)

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Abstract: 

03.06.2021

 

 

N.N. 

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Abstract:   

10.06.2021

 

Ariel Neufeld (Nanyang Technological University in Singapore)

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Abstract: 

17.06.2021

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Nick Westray (Nanyang Technological University in Singapore)

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Abstract: 

24.06.2021

 

N.N.  

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Abstract:

01.07.2021

 

Yufei Zhang (University of Oxford)

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Abstract:

08.07.2021

 

N.N.

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Abstract:

15.07.2021

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Nick Westray (Nanyang Technological University in Singapore)

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Abstract:

 

 

 

Interessenten sind herzlich eingeladen.

 

 

 


Für Rückfragen wenden Sie sich bitte an:

Frau Jean Downes
downes@math.tu-berlin.de
Telefon: 314 248 82
Telefax: 314 244 13