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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, D. BECHERER, P.K. FRIZ, H. FÖLLMER, U. HORST, P. IMKELLER, U. KÜCHLER, D. KREHER, N. PERKOWSKI


 
Ort: TU Berlin,
Institut für Mathematik,
Straße des 17. Juni 136, 10623 Berlin
Raum MA 313
 
Zeit: Donnerstag, 17 Uhr/18 Uhr c.t.
 

 

 

19.04.2018

(17 Uhr c.t.)

N.N.

 

19.04.2018

(18 Uhr c.t.)

N.N.

 

03.05.2018

 

Paris-Berlin Workshop

17.05.2018

(17 Uhr c.t.)

N.N.

 

17.05.2018

(18 Uhr c.t.)

N.N.

 

31.05.2018

(17 Uhr c.t.)

Jean-Pierre Fouque (University of California)

Optimal Portfolio under Fractional Stochastic Environment

 

Abstract: Rough stochastic volatility models have attracted a lot of attention recently, in particular for the linear option pricing problem. In this talk, starting with power utilities, we propose to use a martingale distortion representation of the optimal value function for the nonlinear asset allocation problem in a (non-Markovian) fractional stochastic environment (for all Hurst index H 2 (0; 1)). We rigorously establish a first order approximation of the optimal value, when the return and volatility of the underlying asset are functions of a stationary slowly varying fractional Ornstein-Uhlenbeck process. We prove that this approximation can be also generated by the zeroth order trading strategy providing an explicit strategy which is asymptotically optimal in all admissible controls. Furthermore, we extend the discussion to general utility functions, and obtain the asymptotic optimality of this strategy in a speci c family of admissible strategies. If time permits, we will also discuss the problem under fast mean-reverting fractional stochastic environment.
Joint work with Ruimeng Hu (UCSB).

31.05.2018

(18 Uhr c.t.)

Thaleia Zariphopoulou (University of Texas at Austin)

Der Vortrag enfällt!

14.06.2018

(17 Uhr c.t.)

Sebastian Herrmann (University of Michigan)

Robust Pricing and Hedging around the Globe

 

Abstract: We study the martingale optimal transport duality for cadlag processes with given initial and terminal laws. Strong duality and existence of dual optimizers (robust semi-static superhedging strategies) are proved for a class of payo s that includes American, Asian, Bermudan, and  European options with intermediate maturity. We exhibit an optimal superhedging strategy for which the static part solves an auxiliary problem and the dynamic part is given explicitly in terms of the static part. In the case of nitely
supported marginal laws, solving for the static part reduces to a semi-in nite linear program.
This talk is based on joint work with Florian Stebegg (Columbia University).

14.06.2018

(18 Uhr c.t.)

Frédéric Abergel (Université de Paris Saclay)

Optimal order placement and limit order book modelling

 

Abstract: Optimal order placement is a key aspect of market making, and more generally, of liquidity
providing strategies in electronic markets. With this motivation in mind, we study the optimal placement
of limit orders from theoretical and numerical points of view, in the context of Markovian limit order book
models. The theoretically optimal strategies are then backtested using real data, providing results that
advocate for the design of better order book models. Some extensions are made, based either on Hawkes
processes, or on processes with nite memory (joint works with C. Hure, X. Lu, H. Pham).

28.06.2018

(17 Uhr c.t.)

Michael Kupper (Universität Konstanz)

tba

Abstract:

28.06.2018

(18 Uhr c.t.)

Wen Sun (Berlin Mathematical School)

tba

Abstract:

12.07.2018

(17 Uhr c.t.)

Jinniao Qiu (University of Michigan)

tba

Abstract:

12.07.2018

(16 Uhr c.t.)

Eckhard Platen (University of Technology Sydney)

tba

Abstract:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interessenten sind herzlich eingeladen.

 

http://www.qfl-berlin.de/tags/stochastic-analysis-and-stochastic-finance-seminar

 


Für Rückfragen wenden Sie sich bitte an:

Frau Sabine Bergmann
bergmann@mathematik.hu-berlin.de
Telefon: 2093 5811
Telefax: 2093 5848

Verweise
Stochastik