Techniques that address sequential data have been a central theme in machine learning research in the past years. More recently, such considerations have entered the field of finance-related ML applications in several areas where we face inherently path dependent problems: from (deep) pricing and hedging (of path-dependent options) to generative modelling of synthetic market data, which we refer to as market generation.

We revisit Deep Hedging from the perspective of the role of the data streams used for training and highlight how this perspective motivates the use of highly-accurate generative models for synthetic data generation. From this, we draw conclusions regarding the implications for risk management and model governance of these applications, in contrast to risk management in classical quantitative finance approaches.

Indeed, financial ML applications and their risk management heavily rely on a solid means of measuring and efficiently computing (similarity-)metrics between datasets consisting of sample paths of stochastic processes. Stochastic processes are at their core random variables with values on path space. However, while the distance between two (finite dimensional) distributions was historically well understood, the extension of this notion to the level of stochastic processes remained a challenge until recently. We discuss the effect of different choices of such metrics while revisiting some topics that are central to ML-augmented quantitative finance applications (such as the synthetic generation and the evaluation of similarity of data streams) from a regulatory (and model governance) perspective. Finally, we discuss the effect of considering refined metrics which respect and preserve the information structure (the filtration) of the market and the implications and relevance of such metrics on financial results.

In this talk I will present a gravitational interpretation for the superconformal index of N = 4 SYM theory in the large N limit. I will start by reviewing the so-called Bethe Ansatz formulation of the field theory index and its large N expansion (which includes both perturbative and non-perturbative corrections in 1/N). In the gravity side, according the rules of AdS/CFT correspondence, the index—interpreted as the supersymmetric partition function of N = 4 SYM—should be equivalent to the gravitational partition function on AdS_5 x S^5. The latter is classically evaluated as a sum over Euclidean gravity solutions with appropriate boundary conditions. In this context, I will show that (in the case of equal angular momenta) the contribution to the index of each Bethe Ansatz solution that admits a proper large N limit is captured by a complex black hole solution in the gravity side, which reproduces both its perturbative and non-perturbative behavior. More specifically, the number of putative black hole solutions turns out to be much larger than the number of Bethe Ansatz solutions. A resolution of this issue is found by requiring the gravity solutions to be “stable” under the non-perturbative corrections. This ensures that all the extra gravity solutions are ruled out and leads to a precise match between field theory and gravity.

In this talk I will discuss a striking duality, T-duality, we discovered between two seemingly unrelated objects: the hypersimplex and the m=2 amplituhedron. We draw novel connections between them and prove many new properties. We exploit T-duality to relate their triangulations and generalised triangles (maximal cells in a triangulation). We subdivide the amplituhedron into chambers as the hypersimplex can be subdivided into simplices - both enumerated by Eulerian numbers. Along the way, we prove several conjectures on the amplituhedron and find novel cluster-algebraic structures, e.g. a generalisation of cluster adjacency.

This is based on the joint work with Lauren Williams and Melissa Sherman-Bennett https://arxiv.org/abs/2104.08254.

Abstract: We study optimal investment, pricing and hedging problems under model uncertainty, when the reference model is a non-Markovian stochastic factor model, comprising a single stock whose drift and volatility are adapted to the filtration generated by a Brownian motion correlated with that driving the stock. We derive explicit characterisations of the robust value processes and optimal solutions (based on a so-called distortion solution for the investment problem under one of the models) and conduct large-scale simulation studies to test the efficacy of robust strategies versus classical ones (with no model uncertainty assumed) in the face of parameter estimation error.

 

Abstract: We study optimal investment, pricing and hedging problems under model uncertainty, when the reference model is a non-Markovian stochastic factor model, comprising a single stock whose drift and volatility are adapted to the filtration generated by a Brownian motion correlated with that driving the stock. We derive explicit characterisations of the robust value processes and optimal solutions (based on a so-called distortion solution for the investment problem under one of the models) and conduct large-scale simulation studies to test the efficacy of robust strategies versus classical ones (with no model uncertainty assumed) in the face of parameter estimation error.

 

Let $G$ be a group acting transitively on a finite set $\Omega$. Then $G$ acts on $\Omega \times \Omega$ componentwise. Define the orbitals to be the orbits of $G$ on $\Omega \times \Omega$. The diagonal orbital is the orbital of the form $\Delta = \{(\alpha, \alpha) \mid \alpha \in \Omega \}$. The others are called non-diagonal orbitals. Let $\Gamma$ be a non-diagonal orbital. Define an orbital graph to be the non-directed graph with vertex set $\Omega$ and edge set $(\alpha,\beta) \in \Gamma$ with $\alpha, \beta \in \Omega$. If the action of $G$ on $\Omega$ is primitive, then all non-diagonal orbital graphs are connected. The orbital diameter of a primitive permutation group is the supremum of the diameters of its non-diagonal orbital graphs.

There has been a lot of interest in finding bounds on the orbital diameter of primitive permutation groups. In my talk I will outline some important background information and the progress made towards finding specific bounds on the orbital diameter. In particular, I will discuss some results on the orbital diameter of the groups of simple diagonal type and their connection to the covering number of finite simple groups. I will also discuss some results for affine groups, which provides a nice connection to the representation theory of quasisimple groups.