'A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors'
Presentation at the LSE Risk and Stochastics Conference 2018 by Martino Grasselli, Padova
Explicitly taking into account the risk incurred when borrowing at a s...

From LSE Statistics

'On the Relation between Linearity-Generating Processes and Linear-Rational Models'
Presentation at the LSE Risk and Stochastics Conference 2018 by Damir Filipovic, EPFL and Swiss Finance Institute.
We review the notion of a linearity-generating (LG) p...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2018 by Athena Picarelli, Imperial
This work deals with a class of stochastic optimal control problems in the presence of state constraints. It is well known that for such problems the value functio...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2018 by
Catherine Rainer, Brest
I'll try in this talk to present the main ideas on zero-sum continuous time games where one of the two players has some private information: how to formalize these g...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2018 by
Antoine Jacquier, Imperial
We discuss the pricing and hedging of volatility options in some rough volatility models. First, we develop efficient Monte Carlo methods and asymptotic approxima...

From LSE Statistics

'On the double boundary non-crossing probability for a class of compound risk processes with applications'
Presentation at the LSE Risk and Stochastics Conference 2018 by Dimitrina Dimitrova, Cass.
We present explicit formulas and a numerically efficien...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2018 by Catherine Donnelly, Heriot Watt.
Pensions freedom has meant that people no longer have to buy a life annuity contract with their retirement savings. However, there are advantages to life ann...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2018 by Stefano De Marco, École Polythechnique.
Recently proposed models for the forward variance and the spot value of the SP500 stock index based on fractional Volterra processes -- specifically,...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2018 by Bruno Bouchard, Dauphine.
Using elementary arguments, we derive Lp-error bounds for the approximation of frictionless wealth process in markets with proportional transaction costs. For util...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Patrick Cheridito, ETH Zürich.
Abstract: In this paper, we develop a continuous-time model for variable annuities allowing for periodic withdrawals proportional to the high water mark of th...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Milan Vojnovic, LSE.
Abstract: We consider a portfolio selection problem defined as follows: given a set of options, one is asked to select a subset of options of given size that maximizes ...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by José Manuel Corcuera Valverde, University of Barcelona
Abstract: In this talk we study the equilibrium arising in the Kyle-Back model when we allow the depth parameter to be random. This r...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Claude Martini, Zeliade Systems.
Abstract: Surface SVI model (SSVI, 2012) has become the benchmark implied volatility model and is widely used by practitioners mostly on Equity. The main att...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Patrick Wolfe, UCL.
Abstract: How do we draw sound and defensible data-analytic conclusions from networks? This question has recently risen to the forefront of mathematical statistics, and ...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Johannes Ruf, LSE.
Abstract: In the first part of the talk I will review Bob Fernholz’ theory of functionally generated portfolios. In the second part I will discuss questions related to ...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Jim Gatheral, Baruch College.
Abstract: The scaling properties of historical volatility time series, which now appear to be universal, motivate the modeling of volatility as the exponentia...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Dylan Possamaï, Paris Dauphine
Abstract: This talk will consists first in an overview of recent progresses made in contracting theory, using the so-called dynamic programming approach. The...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2017 by Birgit Rudloff, WU Vienna.
Abstract: Multivariate risk measures appear naturally in markets with transaction costs or when measuring the systemic risk of a network of banks.
Recent resear...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Damiano Brigo, Department of Mathematics, Imperial College London...

From LSE Statistics

'Optimal arbitrage and portfolio optimization for market models satisfying NUPBR but not NFLVR'
Presentation at the LSE Risk and Stochastics Conference 2016 by Wolfgang Runggaldier, Department of Mathematics, University of Padua...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Claudia Ravanelli, Department of Banking and Finance, University of Zurich...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Anne Eyraud-Loisel, Director of the Institute in Financial and Actuarial Sciences (ISFA), University of Lyon...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Christian Julliard, Department of Finance, LSE...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Erhan Bayraktar, Department of Mathematics, University of Michigan...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Pablo Koch-Medina, Department of Banking and Finance, University of Zurich...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Paul Embrechts, Department of Mathematics, ETH Zürich...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Nicolas Perkowski, Institute of Mathematics, Humboldt University Berlin...

From LSE Statistics

Presentation at the LSE Risk and Stochastics Conference 2016 by Eckhard Platen, School of Mathematical and Physical Sciences, University of Technology Sydney...

From LSE Statistics