Structure-preserving signatures are an important cryptographic primitive that is useful for the design of modular cryptographic protocols. In this work, we show how to bypass most of the existing lower bounds in the most efficient Type-III bilinear group setting. We formally define a new variant of structure-preserving signatures in the Type-III setting and present a number of fully secure schemes with signatures half the size of existing ones. We also give different constructions including constructions of optimal one-time signatures. In addition, we prove lower bounds and provide some impossibility results for the variant we define. Finally, we show some applications of the new constructions.

In the context of surplus models of insurance risk theory, 
some rather surprising and simple identities are presented. This 
includes an
identity relating level crossing probabilities of continuous-time models 
under (randomized) discrete and continuous observations, as well as
reflection identities relating dividend payments and capital injections. 
Applications as well as extensions to more general underlying processes are
discussed.

 

We focus on the mathematical structure of systemic risk measures as proposed by Chen, Iyengar, and Moallemi (2013). In order to clarify the interplay between local and global risk assessment, we study the local specification of a systemic risk measure by a consistent family of conditional risk measures for smaller subsystems, and we discuss the appearance of phase transitions at the global level. This extends the analysis of spatial risk measures in Föllmer and Klϋppelberg (2015).

CANCELLED

The limit order book is the at the core of every modern, electronic financial market. In this talk, I will present some results pertaining to their statistical properties, mathematical modelling and numerical simulation. Questions such as ergodicity, dependencies, relation betwen time scales... will be addressed and sometimes answered to. Some on-going research projects, with applications to optimal trading and market making, will be evoked.

This seminar is run jointly with OMI.

Throughout the Western world, defined benefit pension plans are disappearing, replaced by defined contribution (DC) plans. Retail investors are thus faced with managing investments over a thirty year accumulation period followed by a twenty year decumulation phase. Holders of DC plans are thus truly long term investors. We consider dynamic mean variance asset allocation strategies for long term investors. We derive the "embedding result" which converts the mean variance objective into a form suitable for dynamic programming using an intuitive approach. We then discuss a semi-Lagrangian technique for numerical solution of the optimal control problem via a Hamilton-Jacob-Bellman PDE. Parameters for the inflation adjusted return of a stock index and a risk free bond are determined by examining 89 years of US data. Extensive synthetic market tests, and resampled backtests of historical data, indicate that the multi-period mean variance strategy achieves approximately the same expected terminal wealth as a constant weight strategy, while reducing the probability of shortfall by a factor of two to three.

In this talk, we will establish existence and uniqueness for a wide class of Markovian systems of backward stochastic differential equations (BSDE) with quadratic nonlinearities. This class is characterized by an abstract structural assumption on the generator, an a-priori local-boundedness property, and a locally-H\"older-continuous terminal condition. We present easily verifiable sufficient conditions for these assumptions and treat several applications, including stochastic equilibria in incomplete financial markets, stochastic differential games, and martingales on Riemannian manifolds. This is a joint work with Gordan Zitkovic.