Discontinuous solutions, such as cracks or cavities, can suddenly appear in elastic solids when a limiting condition is reached. Similarly, self-contacting folds can nucleate at a free surface of a soft material subjected to a critical compression. Unlike other elastic instabilities, such as buckling and wrinkling, creasing is still poorly understood. Being invisible to linearization techniques, crease nucleation is a problem of high mathematical complexity.

In this talk, I will discuss some recent theoretical insights solving the quest for both the nucleation threshold and the emerging crease morphology.  The analytic predictions are in  agreement with experimental and numerical data. They prove a fundamental insight either for understanding the creasing onset in living matter, e.g. brain convolutions, or for guiding engineering applications, e.g. morphable meta-materials.

We discuss pathwise pricing-hedging dualities in continuous time and on a frictionless market consisting of finitely many risky assets with continuous price trajectories.

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling assumptions, but that she observes market information in the form of the prices of vanilla call options on the asset. We also assume that both the insider’s information, which takes the form of a set of impossible paths, and the payoff of the derivative are time-invariant. This setup allows us to adapt recent work of Beiglboeck, Cox, and Huesmann [BCH16] to prove duality results and a monotonicity principle, which enables us to determine geometric properties of the optimal models. Moreover, we show that this setup is powerful, in that we are able to find analytic and numerical solutions to certain pricing and hedging problems. (Joint with B. Acciaio and M. Huesmann)

Rita Maria del Rio Chanona:

Global financial contagion on a Multiplex Network

We explore the global financial system, in particular the risk of global financial contagion through network theory. Although there is extensive literature on contagion in networks, we argue that it is important to consider different channels of contagion. Therefore we deem into the multilayer framework, where nodes are countries and each layer represents a different type of financial obligation. The multiplex network is built using data provided by collaborators in the IMF. We study contagion with a percolation model and conclude that financial shocks can be amplified considerably when the multilayer structure is taken into account.


Johannes Wiesel:

Robust Superhedging vs Robust Statistics

In this talk I try to reconcile the different understanding of robustness in mathematical finance and statistics. Motivated by recent advances in the estimation of risk measures, I present estimators for the superhedging price of a claim given a history of observed prices. I discuss weak efficiency and convergence speed of these estimators. Besides I explain how to apply classical notions of sensitivity for the estimation procedure. This talk is based on ongoing work with Jan Obloj.