Past Mathematical Finance Internal Seminar

28 February 2014
13:00
Jan Obloj
Abstract
I explore some new ideas on embedding problems for Brownian motion (and other Markov processes). I show how a (forward) Skorokhod embedding problem is transformed into an optimal stopping problem for the time-reversed process (Markov process in duality). This is deduced from the PDE (Variational Inequalities) interpretation of the classical results but then shown using probabilistic techniques and extended to give an n-marginal Root embedding. I also discuss briefly how to extend the approach to other embeddings such as the Azema-Yor embedding.
  • Mathematical Finance Internal Seminar
21 February 2014
13:00
Peng Hu
Abstract
The aim of this lecture is to give a general introduction to the interacting particle system and applications in finance, especially in the pricing of American options. We survey the main techniques and results on Snell envelope, and provide a general framework to analyse these numerical methods. New algorithms are introduced and analysed theoretically and numerically.
  • Mathematical Finance Internal Seminar
31 January 2014
13:00
Alex Cox
Abstract
We consider the pricing of American put options in a model-independent setting: that is, we do not assume that asset prices behave according to a given model, but aim to draw conclusions that hold in any model. We incorporate market information by supposing that the prices of European options are known. In this setting, we are able to provide conditions on the American Put prices which are necessary for the absence of arbitrage. Moreover, if we further assume that there are finitely many European and American options traded, then we are able to show that these conditions are also sufficient. To show sufficiency, we construct a model under which both American and European options are correctly priced at all strikes simultaneously. In particular, we need to carefully consider the optimal stopping strategy in the construction of our process. (Joint with Christoph Hoeggerl).
  • Mathematical Finance Internal Seminar
14 November 2013
13:00
Victor Fedyashov and Ruolong Chen
Abstract
\textbf{Victor Fedyashov} \newline \textbf{Title:} Ergodic BSDEs with jumps \newline \textbf{Abstract:} We study ergodic backward stochastic differential equations (EBSDEs) with jumps, where the forward dynamics are given by a non-autonomous (time-periodic coefficients) Ornstein-Uhlenbeck process with Lévy noise on a separable Hilbert space. We use coupling arguments to establish existence of a solution. We also prove uniqueness of the Markovian solution under certain growth conditions using recurrence of the above mentioned forward SDE. We then give applications of this theory to problems of risk-averse ergodic optimal control. \newline \textbf{Ruolong Chen} \newline \textbf{Title:} tba \newline \textbf{Abstract:}
  • Mathematical Finance Internal Seminar

Pages