L4

From a complex analytic perspective, both Teichmüller spaces and
symmetric spaces can be realised as contractible bounded domains, that
have several features in common but also exhibit many differences. In
this talk we will study isometric maps between these two important
classes of bounded domains equipped with their intrinsic Kobayashi metric.

In recent years there has been amazing progress in building
practical protocols for Multi-Party Computation (MPC).
So much progress in fact that there are now a number of
companies producing products utilizing this technology. A major issue with existing solutions is the high round
complexity of protocols involving more than two players. In this talk I will survey the main protocols for MPC
and recent ideas in how to obtain practical low round
complexity protocols.

This is an exciting time to study quantum algorithms. As the technological challenges of building a quantum computer continue to be met there is still much to learn about the power of quantum computing. Understanding which problems a quantum computer could solve faster than a classical device and which problems remain hard is particularly relevant to cryptography. We would like to design schemes that are secure against an adversary with a quantum computer. I'll give an overview of the quantum computing that is accessible to a general audience and use a recently declassified project called "soliloquy" as a case study for the development (and breaking) of post-quantum cryptography.

Over a decade ago Welschinger defined invariants of real symplectic manifolds of complex dimension 2 and 3, which count $J$-holomorphic disks with boundary and interior point constraints. Since then, the problem of extending the definition to higher dimensions has attracted much attention.
  We generalize Welschinger's invariants with boundary and interior constraints to higher odd dimensions using the language of $A_\infty$-algebras and bounding chains. The bounding chains play the role of boundary point constraints. The geometric structure of our invariants is expressed algebraically in a version of the open WDVV equations. These equations give rise to recursive formulae which allow the computation of all invariants for $\mathbb{CP}^n$.
  This is joint work with Jake Solomon.

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.

Following a quick introduction to derivatives markets and the classic theory of valuation, we describe the changes triggered by post 2007 events. We re-discuss the valuation theory assumptions and introduce valuation under counterparty credit risk, collateral posting, initial and variation margins, and funding costs. A number of these aspects had been investigated well before 2007. We explain model dependence induced by credit effects, hybrid features, contagion, payout uncertainty, and nonlinear effects due to replacement closeout at default and possibly asymmetric borrowing and lending rates in the margin interest and in the funding strategy for the hedge of the relevant portfolio. Nonlinearity manifests itself in the valuation equations taking the form of semi-linear PDEs or Backward SDEs. We discuss existence and uniqueness of solutions for these equations. We present an invariance theorem showing that the final valuation equations do not depend on unobservable risk free rates, that become purely instrumental variables. Valuation is thus based only on real market rates and processes. We also present a high level analysis of the consequences of nonlinearities, both from the point of view of methodology and from an operational angle, including deal/entity/aggregation dependent valuation probability measures and the role of banks treasuries. Finally, we hint at how one may connect these developments to interest rate theory under multiple discount curves, thus building a consistent valuation framework encompassing most post-2007 effects.

Damiano Brigo, Joint work with Andrea Pallavicini, Daniele Perini, Marco Francischello. 

We argue that Credit Default Swap (CDS) premia for safe-haven sovereigns, like Germany and the United States, are driven to a large extent by regulatory requirements under which  derivatives dealing banks have an incentive to buy CDS to hedge counterparty credit risk of their counterparties.
We explain the mechanics of the regulatory requirements and develop a model in which derivatives dealers, who have a derivatives exposure with sovereigns, need CDS for capital relief. End users without exposure to the sovereigns sell the CDS and require a positive premium equivalent to the capital requirement. The model's predictions are confirmed using data on several sovereigns.

Joint with OMI

A well-known result of Landsberger and Meilijson says that efficient risk-sharing rules for univariate risks are characterized by a so-called comonotonicity condition. In this talk, I'll first discuss a multivariate extension of this result (joint work with R.-A. Dana and A. Galichon). Then I will discuss the restrictions (in the form of systems of nonlinear PDEs) efficient risk sharing imposes on individual consumption as a function of aggregate consumption. I'll finally give an identification result on how to recover preferences from the knowledge of the risk sharing (joint work with M. Aloqeili and I. Ekeland).