Mathematical and Computational Finance 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
16:00
to
17:30
Dr Thilo Meyer-Brandis
Abstract

 One of the most defining features of modern financial networks is their inherent complex and intertwined structure. In particular the often observed core-periphery structure plays a prominent role. Here we study and quantify the impact that the complexity of networks has on contagion effects and system stability, and our focus is on the channel of default contagion that describes the spread of initial distress via direct balance sheet exposures. We present a general approach describing the financial network by a random graph, where we distinguish vertices (institutions) of different types - for example core/periphery - and let edge probabilities and weights (exposures) depend on the types of both the receiving and the sending vertex. Our main result allows to compute explicitly the systemic damage caused by some initial local shock event, and we derive a complete characterization of resilient respectively non-resilient financial systems in terms of their global statistical characteristics. Due to the random graphs approach these results bear a considerable robustness to local uncertainties and small changes of the network structure over time. Applications of our theory demonstrate that indeed the features captured by our model can have significant impact on system stability; we derive resilience conditions for the global network based on subnetwork conditions only. 

  • Mathematical and Computational Finance Seminar
21 February 2019
16:00
to
17:30
Jan Palczewski
Abstract

We study the value of a zero-sum stopping game in which the terminal payoff function depends on the underlying process and on an additional randomness (with finitely many states) which is known to one player but unknown to the other. Such asymmetry of information arises naturally in insider trading when one of the counterparties knows an announcement before it is publicly released, e.g., central bank's interest rates decision or company earnings/business plans. In the context of game options this splits the pricing problem into the phase before announcement (asymmetric information) and after announcement (full information); the value of the latter exists and forms the terminal payoff of the asymmetric phase.

The above game does not have a value if both players use pure stopping times as the informed player's actions would reveal too much of his excess knowledge. The informed player manages the trade-off between releasing information and stopping optimally employing randomised stopping times. We reformulate the stopping game as a zero-sum game between a stopper (the uninformed player) and a singular controller (the informed player). We prove existence of the value of the latter game for a large class of underlying strong Markov processes including multi-variate diffusions and Feller processes. The main tools are approximations by smooth singular controls and by discrete-time games.

  • Mathematical and Computational Finance Seminar
Add to My Calendar