L4

We study risk-sharing equilibria with trading subject to small proportional transaction costs. We show that the frictionless equilibrium prices also form an "asymptotic equilibrium" in the small-cost limit. To wit, there exist asymptotically optimal policies for all agents and a split of the trading cost according to their risk aversions for which the frictionless equilibrium prices still clear the market. Starting from a frictionless equilibrium, this allows to study the interplay of volatility, liquidity, and trading volume.
(This is joint work with Johannes Muhle-Karbe, University of Michigan.)
 

We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the “rough” regime of Hurst pa- rameter H < 1/2. This regime recently attracted a lot of attention both from the statistical and option pricing point of view. With focus on the latter, we sharpen the large deviation results of Forde-Zhang (2017) in a way that allows us to zoom-in around the money while maintaining full analytical tractability. More precisely, this amounts to proving higher order moderate deviation es- timates, only recently introduced in the option pricing context. This in turn allows us to push the applicability range of known at-the-money skew approxi- mation formulae from CLT type log-moneyness deviations of order t1/2 (recent works of Alo`s, Le ́on & Vives and Fukasawa) to the wider moderate deviations regime.

This is work in collaboration with C. Bayer, P. Friz, A. Gulsashvili and B. Stemper

In this lecture I intend to review a few selected recent results on numerical approximations for high-dimensional nonlinear parabolic partial differential equations (PDEs), nonlinear stochastic ordinary differential equations (SDEs), and high-dimensional nonlinear forward-backward stochastic ordinary differential equations (FBSDEs). Such equations are key ingredients in a number of pricing models that are day after day used in the financial engineering industry to estimate prices of financial derivatives. The lecture includes content on lower and upper error bounds, on strong and weak convergence rates, on Cox-Ingersoll-Ross (CIR) processes, on the Heston model, as well as on nonlinear pricing models for financial derivatives. We illustrate our results by several numerical simulations and we also calibrate some of the considered derivative pricing models to real exchange market prices of financial derivatives on the stocks in the American Standard & Poor's 500 (S&P 500) stock market index.

We find a new duality  for form factors of lightlike Wilson loops
in planar N=4 super-Yang-Mills theory. The duality maps a form factor
involving a lightlike polygonal super-Wilson loop together with external
on-shell states, to the same type of object  but with the edges of the
Wilson loop and the external states swapping roles.  This relation can
essentially be seen graphically in Lorentz harmonic chiral (LHC) superspace
where it is equivalent to planar graph duality.

In 1997, Maxim Kontsevich gave a universal formula for the
quantization of Poisson brackets.  It can be viewed as a perturbative
expansion in a certain two-dimensional topological field theory.  While the
formula is explicit, it is currently impossible to compute in all but the
simplest cases, not least because the values of the relevant Feynman
integrals are unknown.  In forthcoming joint work with Peter Banks and Erik
Panzer, we use Francis Brown's approach to the periods of the moduli space
of genus zero curves to give an algorithm for the computation of these
integrals in terms of multiple zeta values.  It allows us to calculate the
terms in the expansion on a computer for the first time, giving tantalizing
evidence for several open conjectures concerning the convergence and sum of
the series, and the action of the Grothendieck-Teichmuller group by gauge
transformations.

Road travel is taking longer each year in the UK. This has been true for the last four years. Travel times have increased by 4% in the last two years. Applying the principle finding of the Eddington Report 2006, this change over the last two years will cost the UK economy an additional £2bn per year going forward even without further deterioration. Additional travel times are matched by a greater unreliability of travel times.

Knowing demand and road capacity, can we predict travel times?

We will look briefly at previous partial solutions and the abundance of motorway data in the UK. Can we make a breakthrough to achieve real-time predictions?

The character variety of a manifold is a moduli space of representations of its fundamental group into some fixed gauge group.  In this talk I will outline the construction of a fully extended topological field theory in dimension 4, which gives a uniform functorial quantization of the character varieties of low-dimensional manifolds, when the gauge group is reductive algebraic (e.g. $GL_N$).

I'll focus on important examples in representation theory arising from the construction, in genus 1:  spherical double affine Hecke algebras (DAHA), difference-operator q-deformations of the Grothendieck-Springer sheaf, and the construction of irreducible DAHA modules mimicking techniques in classical geometric representation theory.  The general constructions are joint with David Ben-Zvi, Adrien Brochier, and Noah Snyder, and applications to representation theory of DAHA are joint with Martina Balagovic and Monica Vazirani.