L4

The relationship between the topological or homotopy-invariant properties of a symplectic manifold X and the set of possible immersed or embedded Lagrangian submanifolds of X is rich and mostly mysterious.  In 2020, D. Alvarez-Gavela, Y. Eliashberg, and D. Nadler proved that any Weinstein manifold (e.g. an affine variety) admitting a Lagrangian plane field retracts onto a Lagrangian submanifold with arboreal singularities (a certain class of singularities which can be described combinatorially). I will discuss work in progress with D. Alvarez-Gavela and T. Large investigating the other direction, in which we prove a partial converse to the AGEN result and show that most Weinstein manifolds do not admit such skeleta. This suggests that the Floer-theoretic invariants of some well-known open symplectic manifolds may be more complicated than expected.

We study fully discrete approximation of the 2D Euler equations for ideal homogeneous fluids. We focus on spectral methods and  discuss rates of convergence of velocity and vorticity under different assumptions on the smoothness of the data.

In this seminar we introduce a portfolio optimisation framework, in which the use of rough path signatures (Lyons, 1998) provides a novel method of incorporating path-dependencies in the joint signal-asset dynamics, naturally extending traditional factor models, while keeping the resulting formulas lightweight, tractable and easily interpretable. Specifically, we achieve this by representing a trading strategy as a linear functional applied to the signature of a path (which we refer to as “Signature Trading” or “Sig-Trading”). This allows the modeller to efficiently encode the evolution of past time-series observations into the optimisation problem. In particular, we derive a concise formulation of the dynamic mean-variance criterion alongside an explicit solution in our setting, which naturally incorporates a drawdown control in the optimal strategy over a finite time horizon. Secondly, we draw parallels between classical portfolio stategies and Sig-Trading strategies and explain how the latter leads to a pathwise extension of the classical setting via the “Signature Efficient Frontier”. Finally, we give explicit examples when trading under an exogenous signal as well as examples for momentum and pair-trading strategies, demonstrated both on synthetic and market data. Our framework combines the best of both worlds between classical theory (whose appeal lies in clear and concise formulae) and between modern, flexible data-driven methods (usually represented by ML approaches) that can handle more realistic datasets. The advantage of the added flexibility of the latter is that one can bypass common issues such as the accumulation of heteroskedastic and asymmetric residuals during the optimisation phase. Overall, Sig-Trading combines the flexibility of data-driven methods without compromising on the clarity of the classical theory and our presented results provide a compelling toolbox that yields superior results for a large class of trading strategies.

This is based on works with Blanka Horvath and Magnus Wiese.

We introduce the notion of a tensorially absorbing inclusion of C*-algebras, i.e., when a unital inclusion absorbs a strongly self-absorbing C*-algebra. This is a strong condition that ensures certain properties of both algebras (and their intermediate subalgebras) in a very strong sense. We discuss such inclusions, their non-triviality, and how often these inclusions appear.

We extend stochastic optimal transport to path-dependent settings. The problem is to find a semimartingale measure that satisfies general path-dependent constraints, while minimising a cost function on the drift and diffusion coefficients. Duality is established and expressed via non-linear path-dependent partial differential equations (PPDEs). The technique has applications in volatility calibration, including the calibration of path-dependent derivatives, LSV models, and joint SPX-VIX models. It produces a non-parametric volatility model that localises to the features of the derivatives. Another application is in the robust pricing and hedging of American options in continuous time. This is achieved by establishing duality in a space enlarged by the stopping decisions, and showing that the extremal points of martingale measures on the enlarged space are in fact martingale measures on the original space coupled with stopping times.

We show the super-hedging duality for multi-action options which generalise American options to a larger space of actions (possibly uncountable) than {stop, continue}. We put ourselves in the framework of Bouchard & Nutz model relying on analytic measurable selection theorem. Finally we consider information delay on the action component of the product space. Information delay is expressed as a possibility to look into the future in the dual formulation. This is a joint work with Ivan Guo, Shidan Liu and Zhou Zhou.