L4

The growth of the exchange-traded fund (ETF) industry has given rise to the trading of options written on ETFs and their leveraged counterparts (LETFs). Motivated by a number of empirical market observations, we study the relationship between the ETF and LETF implied volatility surfaces under general stochastic volatility models. Analytic approximations for prices and implied volatilities are derived for LETF ​options, along with rigorous error bounds. In these price and IV expressions, we identify their non-trivial dependence on the leverage ratio. Moreover, we introduce a "moneyness scaling" procedure to enhance the comparison of implied volatilities across leverage ratios, and test it with empirical price data.

This paper introduces a mean field game framework for optimal execution with continuous trading. We generalize the classical optimal liquidation problem to a setting where, in addition to the major agent who is liquidating a large portion of shares, there are a number of minor agents (high-frequency traders (HFTs)) who detect and trade along with the liquidator. Cross interaction between the minor and major agents occur through the impact that each trader has on the drift of the fundamental price. As in the classical approach, here, each agent is exposed to both temporary and permanent price impact and they attempt to balance their impact against price uncertainty. In all, this gives rise to a stochastic dynamic game with mean field couplings in the fundamental price. We obtain a set of decentralized strategies using a mean field stochastic control approach and explicitly solve for an epsilon-optimal control up to the solution of a deterministic fixed point problem. As well, we present some numerical results which illustrate how the liquidating agents trading strategy is altered in the presence of the HFTs, and how the HFTs trade to profit from the liquidating agents trading.

[ This is joint work with Mojtaba Nourin, Department of Statistical Sciences, U. Toronto ]

In this talk, we consider two disparate questions involving wave equations: (1) how singularities of solutions of subconformal focusing nonlinear wave equations form, and (2) when solutions of (linear and nonlinear) wave equations are determined by their data at infinity. In particular, we will show how tools from solving the second problem - a new family of global nonlinear Carleman estimates - can be used to establish some new results regarding the first question. Previous theorems by Merle and Zaag have established both upper and lower bounds on the local H¹-norm near noncharacteristic blow-up points for subconformal focusing NLW. In our main result, we show that this H¹-norm cannot concentrate along past timelike cones emanating from the blow-up point, i.e., that a significant amount of the action must occur near the corresponding past null cones.

These are joint works with Spyros Alexakis.

We discuss the local minimality of certain configurations for a nonlocal isoperimetric problem used to model microphase separation in diblock copolymer melts. We show that critical configurations  with positive second variation are local minimizers of the nonlocal area functional and, in fact, satisfy a quantitative isoperimetric inequality with respect to sets  that are  $L^1$-close.  As an application, we address the global and local minimality of certain lamellar configurations.

Both sides of the geometric Langlands correspondence have natural Hecke
symmetries. I will explain an identification between the Hecke
symmetries on both sides via the geometric Satake equivalence. On the
abelian level it relates the topology of a variety associated to a group
and the representation category of its Langlands dual group.