tba

We pursue robust approach to pricing and hedging in mathematical finance. We consider a continuous time setting in which some underlying assets and options, with continuous paths, are available for dynamic trading and a further set of European options, possibly with varying maturities, is available for static trading. Motivated by the notion of prediction set in Mykland [03], we include in our setup modelling beliefs by allowing to specify a set of paths to be considered, e.g. super-replication of a contingent claim is required only for paths falling in the given set. Our framework thus interpolates between model--independent and model--specific settings and allows to quantify the impact of making assumptions or gaining information. We obtain a general pricing-hedging duality result: the infimum over superhedging prices is equal to supremum over calibrated martingale measures. In presence of non-trivial beliefs, the equality is between limiting values of perturbed problems. In particular, our results include the martingale optimal transport duality of Dolinsky and Soner [13] and extend it to multiple dimensions and multiple maturities.

Pengyu Wei's title: Ranking ForexMaster Players

Abstract:

In this talk I will introduce ForexMaster, a simulated foreign exchange trading platform, and how I rank players on this platform. Different methods are compared. In particular, I use random forest and a carefully chosen feature set, which includes not only traditional performance measures like Sharp ratio, but also estimates from the Plackett-Luce ranking model, which has not been used in the financial modelling yet. I show players selected by this method have satisfactory out-of-sample performance, and the Plackett-Luce model plays an important role.

Alissa Kleinnijenhuis title: Stress Testing the European Banking System: Exposure Risk & Overlapping Portfolio Risk
Abstract:
Current regulatory stress testing, as for example done by the EBA, BoE and the FED, is microprudential, non-systemic. These stress tests do not take into account systemic risk, even though the official aim of the stress test is the "test the resilience of the financial system as a whole, and the individual banks therein, to another crisis".
 Two papers are being developed that look at the interconnections between banks. One paper investigates the systemic risk in the European banking system due to interbank exposures, using EBA data. The other paper, looks at the trade-off between individual and systemic risk with overlapping portfolios. The above two "channels of contagion" for systemic risk can be incorporated in stress tests to include systemic components to the traditional non-systemic stress tests.

In this talk, I will present a family of forward performance processes in
discrete time. These processes are predictable with regards to the market
information. Examples from a binomial setting will be given which include
the time-monotone exponential forward process and the completely monotonic
family.