L6

Abstract: Joint work with Carlson, Grodal, Nakano. In this talk we will
present some recent results on an 'important' class of modular 
representations for an 'important' class of finite groups. For the 
convenience of the audience, we'll briefly review the notion of an 
endotrivial module and present the main results pertaining endotrivial 
modules and finite reductive groups which we use in our ongoing work.

I shall describe recent work with Srikanth Iyengar, Henning 
Krause and Julia Pevtsova on the representation theory and cohomology
of finite group schemes and finite supergroup schemes. Particular emphasis 
will be placed on the role of generic points, detection of projectivity
for modules, and detection modulo nilpotents for cohomology.

 

We discuss pathwise pricing-hedging dualities in continuous time and on a frictionless market consisting of finitely many risky assets with continuous price trajectories.

In this paper, we consider the pricing and hedging of a financial derivative for an insider trader, in a model-independent setting. In particular, we suppose that the insider wants to act in a way which is independent of any modelling assumptions, but that she observes market information in the form of the prices of vanilla call options on the asset. We also assume that both the insider’s information, which takes the form of a set of impossible paths, and the payoff of the derivative are time-invariant. This setup allows us to adapt recent work of Beiglboeck, Cox, and Huesmann [BCH16] to prove duality results and a monotonicity principle, which enables us to determine geometric properties of the optimal models. Moreover, we show that this setup is powerful, in that we are able to find analytic and numerical solutions to certain pricing and hedging problems. (Joint with B. Acciaio and M. Huesmann)

Rita Maria del Rio Chanona:

Global financial contagion on a Multiplex Network

We explore the global financial system, in particular the risk of global financial contagion through network theory. Although there is extensive literature on contagion in networks, we argue that it is important to consider different channels of contagion. Therefore we deem into the multilayer framework, where nodes are countries and each layer represents a different type of financial obligation. The multiplex network is built using data provided by collaborators in the IMF. We study contagion with a percolation model and conclude that financial shocks can be amplified considerably when the multilayer structure is taken into account.


Johannes Wiesel:

Robust Superhedging vs Robust Statistics

In this talk I try to reconcile the different understanding of robustness in mathematical finance and statistics. Motivated by recent advances in the estimation of risk measures, I present estimators for the superhedging price of a claim given a history of observed prices. I discuss weak efficiency and convergence speed of these estimators. Besides I explain how to apply classical notions of sensitivity for the estimation procedure. This talk is based on ongoing work with Jan Obloj.

 

Christoph Siebenbrunner:

Clearing Algorithms and Network Centrality

I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide shock. This result provides a formal explanation for earlier empirical results which showed that Katz-type centrality measures are closely related to contagiousness. It also allows assessing the assumptions that one is making when using such centrality measures as systemic risk indicators. I conclude that these assumptions should be considered too strong and that, from a theoretical perspective, clearing models should be given preference over centrality measures in systemic risk analyses.


Andreas Sojmark:

An SPDE Model for Systemic Risk with Default Contagion

In this talk, I will present a structural model for systemic risk, phrased as an interacting particle system for $N$ financial institutions, where each institution is removed upon default and this has a contagious effect on the rest of the system. Moreover, the financial instituions display herding behavior and they are exposed to correlated noise, which turns out to be an important driver of the contagion mechanism. Ultimately, the motivation is to provide a clearer connection between the insights from dynamic mean field models and the detailed study of contagion in the (mostly static) network-based literature. Mathematically, we prove a propagation of chaos type result for the large population limit, where the limiting object is characterized as the unique solution to a nonlinear SPDE on the positive half-line with Dirichlet boundary. This is based on joint work with Ben Hambly and I will also point out some interesting future directions, which are part of ongoing work with Sean Ledger.

 I will discuss my ongoing project towards a version of the Modular Andre-Oort Conjecture incorporating the derivatives of the j function.  The work originates with Jonathan Pila, who formulated the first "Modular Andre-Oort with Derivatives" conjecture.  The problem can be approached via o-minimality; I will discuss two categories of result.  The first is a weakened version of Jonathan's conjecture.  Under an algebraic independence conjecture (of my own, though it follows from standard conjectures), the result is equivalent to the statement that Jonathan's conjecture holds.  
The second result is conditional on the same algebraic independence conjecture - it specifies more precisely how the special points in varieties can occur in this context.  
If time permits, I will discuss my most recent work towards making the two results uniform in algebraic families.