Mathematical Finance Internal Seminar

Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

Past events in this series
24 January 2019
13:00
Tanut Treetanthiploet and Julien Vaes (Dphil students)
Abstract

Tanut Treetanthiploet
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Exploration vs Exploitation under Statistical Uncertainty

The exploration vs Exploitation trade-off can be quantified and studied through the notion of statistical uncertainty using the theory of nonlinear expectations. The dynamic allocation problem of multi-armed bandits will be discussed. In the case of a finite state space in discrete time, we can describe the value function in terms of the solution to a discrete BSDE and obtain a similar notion to the Bellman equation. We also give an approximation scheme to evaluate decisions in the simple setting.


Julien Vaes
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Optimal Execution Strategy Under Price and Volume Uncertainty

In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss define the optimal trading strategy to liquidate a fixed volume of a single security under price uncertainty. Yet there exist situations, such as in the power market, in which the volume to be traded can only be estimated and becomes more accurate when approaching a specified delivery time. To meet the need of efficient strategies in these situations, we have developed  a model that accounts for volume uncertainty and show that a risk-averse trader has benefit in delaying their trades. We show that the optimal strategy is a trade-off between early and late trades to balance risk associated to both price and volume. With the incorporation of a risk term for the volume to trade, the static optimal strategies obtained with our model avoid the explosion in the algorithmic complexity associated to dynamic programming solutions while yielding to competitive performance.

 

  • Mathematical Finance Internal Seminar
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