Nomura Seminar
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Fri, 30/04/2010 14:15 |
Romuald Elie (Dauphine) |
Nomura Seminar  |
DH 1st floor SR |
| Hamadène and Jeanblanc provided a BSDE representation for the resolution of bi-dimensional continuous time optimal switching problems. For example, an energy producer faces the possibility to switch on or off a power plant depending on the current price of electricity and corresponding comodity. A BSDE representation via multidimensional reflected BSDEs for this type of problems in dimension larger than 2 has been derived by Hu and Tang as well as Hamadène and Zhang [2]. Keeping the same example in mind, one can imagine that the energy producer can use different electricity modes of production, and switch between them depending on the commodity prices. We propose here an alternative BSDE representation via the addition of constraints and artificial jumps. This allows in particular to reinterpret the solution of multidimensional reflected BSDEs in terms of one-dimensional constrained BSDEs with jumps. We provide and study numerical schemes for the approximation of these two type of BSDEs | |||
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Fri, 07/05/2010 14:15 |
Dana Rose-Anne (Joint With OMI) (Dauphine) |
Nomura Seminar |
DH 1st floor SR |
| comonotonicity joint work with Carlier and Galichon Abstact This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson that efficiency is characterized by a comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well as the equivalence between efficiency and comonotonicity to the multi-dimensional case. The multivariate case is more involved (in particular because there is no immediate extension of the notion of comonotonicity) and it is addressed by using techniques from convex duality and optimal transportation. | |||
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Fri, 14/05/2010 14:15 |
George Yin (Wayne State) |
Nomura Seminar |
DH 1st floor SR |
| In this talk, we report some of our recent work on hybrid switching diffusions in which continuous dynamics and discrete events coexist. Motivational examples in singular perturbed Markovian systems, manufacturing, and financial engineering will be mentioned. After presenting criteria for recurrence and ergodicity, we consider numerical methods for controlled switching diffusions and related game problems. Rates of convergence of Markov chain approximation methods will also be studied. | |||
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Fri, 21/05/2010 12:45 |
John Campell (Harvard University) |
Nomura Seminar |
Oxford-Man Institute |
| This paper uses data on house transactions in the state of Massachusetts over the last 20 years to show that houses sold after foreclosure, or close in time to the death or bankruptcy of at least one seller, are sold at lower prices than other houses. Foreclosure discounts are particularly large on average at 27 result from poor home maintenance by older sellers, while foreclosure discounts appear to be related to the threat of vandalism in low-priced neighborhoods. After aggregating to the zipcode level and controlling for regional price trends, the prices of forced sales are mean-reverting, while the prices of unforced sales are close to a random walk. At the zipcode level, this suggests that unforced sales take place at approximately ecient prices, while forced-sales prices re ect time-varying illiquidity in neighborhood housing markets. At a more local level, however, we nd that foreclosures that take place within a quarter of a mile, and particularly within a tenth of a mile, of a house lower the price at which it is sold. Our preferred estimate of this e ect is that a foreclosure at a distance of 0.05 miles lowers the price of a house by about 1 | |||
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Fri, 21/05/2010 14:15 |
Nan Chen (CUHK) |
Nomura Seminar |
Oxford-Man Institute |
| Convertible bonds are hybrid securities that embody the characteristics of both straight bonds and equities. The conflict of interests between bondholders and shareholders affects the security prices significantly. In this paper, we investigate how to use a non-zero-sum game framework to model the interaction between bondholders and shareholders and to evaluate the bond accordingly. Mathematically, this problem can be reduced to a system of variational inequalities. We explicitly derive a unique Nash equilibrium to the game. Our model shows that credit risk and tax benefit have considerable impacts on the optimal strategies of both parties. The shareholder may issue a call when the debt is in-the-money or out-of-the-money. This is consistent with the empirical findings of “late and early calls" (Ingersoll (1977), Mikkelson (1981), Cowan et al. (1993) and Ederington et al. (1997)). In addition, the optimal call policy under our model offers an explanation for certain stylized patterns related to the returns of company assets and stock on calls. | |||
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Tue, 25/05/2010 12:45 |
Ivar Ekeland (UBC and Dauphine) |
Nomura Seminar |
Oxford-Man Institute |
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Fri, 04/06/2010 14:15 |
Gordan Zitkovic (UT Austin) |
Nomura Seminar |
DH 1st floor SR |
| In addition to existence, the excess-demand approach allows us to establish uniqueness and provide efficient computational algorithms for various complete- and incomplete-market stochastic financial equilibria. A particular attention will be paid to the case when the agents exhibit constant absolute risk aversion. An overview of recent results (including those jointly obtained with M. Anthropelos and with Y. Zhao) will be given. | |||
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Fri, 11/06/2010 14:15 |
Sadeq Sayeed (nomura) |
Nomura Seminar |
L3 |
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Fri, 18/06/2010 14:15 |
Alexander Cox (Bath) |
Nomura Seminar |
L3 |
| "We investigate a construction of a Skorokhod embedding due to Root (1969), which has been the subject of recent interest for applications in Mathematical Finance (Dupire, Carr & Lee), where the construction has applications for model-free pricing and hedging of variance derivatives. In this context, there are two related questions: firstly of the construction of the stopping time, which is related to a free boundary problem, and in this direction, we expand on work of Dupire and Carr & Lee; secondly of the optimality of the construction, which is originally due to Rost (1976). In the financial context, optimality is connected to the construction of hedging strategies, and by giving a novel proof of the optimality of the Root construction, we are able to identify model-free hedging strategies for variance derivatives. Finally, we will present some evidence on the numerical performance of such hedges. (Joint work with Jiajie Wang)" | |||
