University of Oxford

We consider continuous time financial models with continuous paths, in a pathwise setting using functional Ito calculus. We look at applications of optimal transport duality in context of robust pricing and hedging and that of calibration. First, we explore exntesions of the discrete-time results in Aksamit et al. [Math. Fin. 29(3), 2019] to a continuous time setting. Second, we addresses the joint calibration problem of SPX options and VIX options or futures. We show that the problem can be formulated as a semimartingale optimal transport problem under a finite number of discrete constraints, in the spirit of [arXiv:1906.06478]. We introduce a PDE formulation along with its dual counterpart. The solution, a calibrated diffusion process, can be represented via the solutions of Hamilton--Jacobi--Bellman equations arising from the dual formulation. The method is tested on both simulated data and market data. Numerical examples show that the model can be accurately calibrated to SPX options, VIX options and VIX futures simultaneously.

Based on joint works with Ivan Guo, Gregoire Loeper, Shiyi Wang.
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In this new session a speaker tells us about how their area of mathematics can be used in different applications.

In this talk, Yuji Nakatsukasa tells us about how random matrix theory can be used in numerical linear algebra. 

Abstract

Randomized SVD is a topic in numerical linear algebra that draws heavily from random matrix theory. It has become an extremely successful approach for efficiently computing a low-rank approximation of matrices. In particular the paper by Halko, Martinsson, and Tropp (SIREV 2011) contains extensive analysis, and has made it a very popular method. The classical Nystrom method is much faster, but only applicable to positive semidefinite matrices. This work studies a generalization of Nystrom's method applicable to general matrices, and shows that (i) it has near-optimal approximation quality comparable to competing methods, (ii) the computational cost is the near-optimal O(mnlog n+r^3) for a rank-r approximation of dense mxn matrices, and (iii) crucially, it can be implemented in a numerically stable fashion despite the presence of an ill-conditioned pseudoinverse. Numerical experiments illustrate that generalized Nystrom can significantly outperform state-of-the-art methods. In this talk I will highlight the crucial role played by a classical result in random matrix theory, namely the Marchenko-Pastur law, and also briefly mention its other applications in least-squares problems and compressed sensing.

I will present a nonlinear version of the open mapping principle which applies to constant-coefficient PDEs which are both homogeneous and weak* stable. An example of such a PDE is the Jacobian equation. I will discuss the consequences of such a result for the Jacobian and its relevance towards an answer to a long-standing problem due to Coifman, Lions, Meyer and Semmes. This is based on joint work with Lukas Koch and Sauli Lindberg.

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I present a general nonlinear open mapping principle suited to applications to scale-invariant PDEs in regularity regimes where the equations are stable under weak* convergence. As an application I show that, for any $p < \infty$, the set of initial data for which there are dissipative weak solutions in $L^p_t L^2_x$ is meagre in the space of solenoidal L^2 fields. This is based on joint work with A. Guerra (Oxford) and S. Lindberg (Aalto).

In the study of geometric flows it is often important to understand when a flow which converges along a sequence of times going to infinity will, in fact, converge along every such sequence of times to the same limit. While examples of finite dimensional gradient flows that asymptote to a circle of critical points show that this cannot hold in general, a positive result can be obtained in the presence of a so-called Lojasiewicz-Simon inequality. In this talk we will introduce this problem of uniqueness of asymptotic limits and discuss joint work with Melanie Rupflin and Peter M. Topping in which we examined the situation for a geometric flow that is designed to evolve a map describing a closed surface in a given target manifold into a parametrization of a minimal surface.

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The Landau equation is an important PDE in kinetic theory modelling plasma particles in a gas. It can be derived as a limiting process from the famous Boltzmann equation. From the mathematical point of view, the Landau equation can be very challenging to study; many partial results require, for example, stochastic analysis as well as a delicate combination of kinetic and parabolic theory. The major open question is uniqueness in the physically relevant Coulomb case. I will present joint work with Jose Carrillo, Matias Delgadino, and Laurent Desvillettes where we cast the Landau equation as a generalized gradient flow from the optimal transportation perspective motivated by analogous results on the Boltzmann equation. A direct outcome of this is a numerical scheme for the Landau equation in the spirit of de Giorgi and Jordan, Kinderlehrer, and Otto. An extended area of investigation is to use the powerful gradient flow techniques to resolve some of the open problems and recover known results.

I will discuss various operator algebras in supersymmetric quantum field theories in various dimensions. The operator algebras are induced and classified by generalised topological twists. Omega deformation plays an important role in connecting different sectors. This talk is based on previous works and a work in progress with Junya Yagi.

In this talk I will present an optical theorem for perturbative CFTs, which directly computes the double discontinuity of CFT correlators in terms of the discontinuities of correlators at lower loops or lower points, in analogy to the optical theoreom for scattering amplitudes. I will then discuss the application of this theorem to high-energy scattering of type IIb strings in AdS at one loop and finite 't Hooft coupling. Tidal excitations are taken into account and shown to be efficiently described by an AdS vertex function. The result is related to the 1987 flat space result of Amati, Ciafaloni and Veneziano via the flat space limit in impact parameter space.

We will discuss recent progress in understanding (ordinary and generalized) symmetries, dualities and classification of superconformal field theories in 5d and 6d, which involves the study of M-theory and F-theory compactified on Calabi-Yau threefolds.

In view of the recent observations of gravitational-wave signals from black-hole mergers, classical black-hole scattering has received considerable interest due to its relation to the classical bound-state problem of two black holes inspiraling onto each other. In this talk I will discuss the link between classical scattering of spinning black holes and quantum scattering amplitudes for massive spin-s particles. Considering the first post-Minkowskian (PM) order, I will explain how the spin-exponentiated structure of the relevant tree-level amplitude follows from minimal coupling to Einstein's gravity and in the s → ∞ limit generates the black holes' complete series of spin-induced multipoles. The resulting scattering function will be shown to encode in a simple way the classical net changes in the black-hole momenta and spins at 1PM order and to all orders in spins. I will then comment on the results and challenges at 2PM order and beyond.
 

A vast class of 4d SCFTs can be engineered by wrapping a stack of M5-branes on a Riemann surface. These SCFTs can exhibit a variety of global symmetries, continuous or discrete, including both ordinary (0-form) symmetries, as well as generalized (higher-form) symmetries. In this talk, I will focus on discrete and higher-form symmetries in setups with M5-branes on a smooth Riemann surface. Adopting a holographic point of view, a crucial role is played by topological mass terms in 5d supergravity (similar to BF terms in four dimensions). I will discuss how the global symmetries of the boundary 4d theory are inferred from the 5d topological terms, and how one can compute 4d ‘t Hooft anomalies involving discrete and/or higher-form symmetries.

 I will review what is known and not known about the joint moments of the characteristic polynomials of random unitary matrices and their derivatives. I will then explain some recent results which relate the joint moments to an interesting class of measures, known as Hua-Pickrell measures. This leads to the proof of a conjecture, due to Chris Hughes in 2000, concerning the asymptotics of the joint moments, as well as establishing a connection between the measures in question and one of the Painlevé equations.