Modelling joint dynamics of liquid vanilla options is crucial for arbitrage-free pricing of illiquid derivatives and managing risks of option trade books. This paper develops a nonparametric model for the European options book respecting underlying financial constraints and while being practically implementable. We derive a state space for prices which are free from static (or model-independent) arbitrage and study the inference problem where a model is learnt from discrete time series data of stock and option prices. We use neural networks as function approximators for the drift and diffusion of the modelled SDE system, and impose constraints on the neural nets such that no-arbitrage conditions are preserved. In particular, we give methods to calibrate neural SDE models which are guaranteed to satisfy a set of linear inequalities. We validate our approach with numerical experiments using data generated from a Heston stochastic local volatility model, and will discuss some initial results using real data.

Based on joint work with Christoph Reisinger and Sheng Wang

Penrose's proposal of smooth conformal compactification is not only of geometric elegance, it also makes concrete predictions on physically measurable objects such as the "late-time tails" of gravitational waves.  At the same time, the physical motivation for a smooth null infinity remains itself unclear. In this talk, building on arguments due to Christodoulou, Damour and others, I will show that, in generic gravitational collapse, the "peeling property" of gravitational radiation is violated (so one cannot attach a smooth null infinity). Moreover, I will explain how this violation of peeling is in principle measurable in the form of leading-order deviations from the usual late-time tails of gravitational radiation.

This talk is based on https://arxiv.org/abs/2105.08079, https://arxiv.org/abs/2105.08084 and … .

It will be a hybrid seminar on both zoom and in-person in L5. 

4d N=2 SCFTs are extremely important structures. In the first minitalk we will introduce them, then we will show three areas of mathematics with which this area of physics interacts. The minitalks are independent. The talk will be hybrid, with teams link below.

The junior Geometry and Physics seminar aims to bring together people from both areas, giving talks which are interesting and understandable to both.

Website: https://sites.google.com/view/oxfordpandg/physics-and-geometry-seminar

Teams link: https://www.google.com/url?q=https%3A%2F%2Fteams.microsoft.com%2Fl%2Fme…

We introduce a new method for studying stochastic processes in random graphs controlled by degree information, involving combining enumeration techniques with an abstract second moment argument. We use it to constructively resolve a conjecture of Füredi from 1988: with high probability, the random graph G(n,1/2) admits a friendly bisection of its vertex set, i.e., a partition of its vertex set into two parts whose sizes differ by at most one in which n-o(n) vertices have at least as many neighbours in their own part as across. This work is joint with Asaf Ferber, Matthew Kwan, Bhargav Narayanan, and Mehtaab Sawhney.