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
23 November 2017
Jean-Francois Chassagneux

In this talk, I consider  the problem of
hedging European and Bermudan option with a given probability. This 
question is
more generally linked to portfolio optimisation problems under weak
stochastic target constraints.
I will recall, in a Markovian framework, the characterisation of the 
solution by
non-linear PDEs. I will then discuss various numerical algorithms
to compute in practice the quantile hedging price.

This presentation is based on joint works with B. Bouchard (Université 
Paris Dauphine), G. Bouveret (University of Oxford) and ongoing work 
with C. Benezet (Université Paris Diderot).

  • Mathematical and Computational Finance Seminar
30 November 2017
Olivier Gueant

In this talk, I consider the problem of pricing and (statically)
hedging short-term contingent claims written on illiquid or
non-tradable assets.
In a first part, I show how to find the best European payoff written
on a given set of underlying assets for hedging (under several
metrics) a given European payoff written on another set of underlying
assets -- some of them being illiquid or non-tradable. In particular,
I present new results in the case of the Expected Shortfall risk
measure. I also address the associated pricing problem by using
indifference pricing and its link with entropy.
In a second part, I consider the more classic case of hedging with a
finite set of simple payoffs/instruments and I address the associated
pricing problem. In particular, I show how entropic methods (Davis
pricing and indifference pricing à la Rouge-El Karoui) can be used in
conjunction with recent results of extreme value theory (in dimension
higher than 1) for pricing and hedging short-term out-of-the-money
options such as those involved in the definition of Daily Cliquet
Crash Puts.

  • Mathematical and Computational Finance Seminar
1 February 2018
Carole Bernard

The solution to the standard cost efficiency problem depends crucially on the fact that a single real-world measure P is available to the investor pursuing a cost-efficient approach. In most applications of interest however, a historical measure is neither given nor can it be estimated with accuracy from available data. To incorporate the uncertainty about the measure P in the cost efficient approach we assume that, instead of a single measure, a class of plausible prior models is available. We define the notion of robust cost-efficiency and highlight its link with the maxmin expected utility setting of Gilboa and Schmeidler (1989) and more generally with robust preferences in a possibly non expected utility setting.

This is joint work with Thibaut Lux and Steven Vanduffel (VUB)

  • Mathematical and Computational Finance Seminar
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