Post/Doctoral Seminar in Mathematical Finance

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Spring Semester 2014

Date / Time

Speaker

Title

Location

18 February 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	18 February 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

25 February 2014
15:15-16:15

Dr. Ariel Neufeld
ETH Zurich, Switzerland

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Nonlinear Lévy Processes and their Characteristics
Speaker, Affiliation	Dr. Ariel Neufeld, ETH Zurich, Switzerland
Date, Time	25 February 2014, 15:15-16:15
Location	HG G 19.1
Abstract	We develop a general construction for nonlinear Lévy processes with given characteristics. More precisely, given a set Theta of Lévy triplets, we construct a sublinear expectation on Skorohod space under which the canonical process has stationary independent increments and a nonlinear generator corresponding to the supremum of all generators of classical Lévy processes with triplets in Theta. The nonlinear Lévy process yields a tractable model for Knightian uncertainty about the distribution of jumps for which expectations of Markovian functionals can be calculated by means of a partial integro-differential equation. The talk is based on joint work with Marcel Nutz.

Nonlinear Lévy Processes and their Characteristicsread_more

HG G 19.1

4 March 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	4 March 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

11 March 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	11 March 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

18 March 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Fin & Math Doc seminar on this day)
Speaker, Affiliation
Date, Time	18 March 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Fin & Math Doc seminar on this day)

HG G 19.1

25 March 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Robust Days at ETH, 24.03-25.03)
Speaker, Affiliation
Date, Time	25 March 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Robust Days at ETH, 24.03-25.03)

HG G 19.1

1 April 2014
15:15-16:15

Albert Altarovici
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Portfolio selection with impulse controls
Speaker, Affiliation	Albert Altarovici, ETH Zürich
Date, Time	1 April 2014, 15:15-16:15
Location	HG G 19.1
Abstract	I will discuss recent work on the asymptotic analysis for fixed transaction costs. I will demonstrate the main technique for computing the asymptotic no-trade region, which also extend to fixed and proportional costs. In the case of fixed costs, this reduces to solving an algebraic Riccati equation. A key part of the verification argument is that the value function in this stochastic control problem is a viscosity solution of the associated DPE. Since a priori we do not know the value function is measurable, we need a weak version of the dynamic programming principle. If time permits, I will state and prove everything.

Portfolio selection with impulse controlsread_more

HG G 19.1

8 April 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Imperial - ETHZ Workshop, 07.04-09.04)
Speaker, Affiliation
Date, Time	8 April 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Imperial - ETHZ Workshop, 07.04-09.04)

HG G 19.1

15 April 2014
15:15-16:15

Mirjana Vukelja
ETH Zürich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Utility maximization in an illiquid market
Speaker, Affiliation	Mirjana Vukelja, ETH Zürich
Date, Time	15 April 2014, 15:15-16:15
Location	HG G 19.1
Abstract	We consider a stochastic optimization problem of maximizing the expected utility from final wealth in an illiquid market. A continuous time model is constructed with few additional state variables. We then show that the weak dynamic programming principle holds true and that the value function is a viscosity solution of the associated Hamilton-Jacobi-Bellman equation. Furthermore, we show the comparison principle and thus the uniqueness of the viscosity solution.

Utility maximization in an illiquid marketread_more

HG G 19.1

22 April 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar (Easter Break)
Speaker, Affiliation
Date, Time	22 April 2014, 15:15-16:15
Location	HG G 19.1

No Seminar (Easter Break)

HG G 19.1

29 April 2014
15:15-16:15

Prof. Dr. Frank Seifried
TU Kaiserslautern

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Recursive Utility: Convergence and Consumption-Portfolio Choice (Guest Talk)
Speaker, Affiliation	Prof. Dr. Frank Seifried, TU Kaiserslautern
Date, Time	29 April 2014, 15:15-16:15
Location	HG G 19.1
Abstract	In this talk, I would like to present some recent contributions to the literature on recursive preferences: (i) a convergence result for the transition from discrete to continuous time, and (ii) a general approach to solving consumption-portfolio problems with recursive preferences. In the literature, the notion of stochastic differential utility (SDU) as introduced by Duffie and Epstein (1994) has been accepted as the continuous-time analog of the notion of discrete-time recursive utility developed by Kreps and Porteus (1978). This correspondence implicitly underlies a large number of applications of stochastic differential utility. However, a rigorous proof of this connection has been missing. After a general introduction to recursive preferences, in the first part of the talk I would like to demonstrate how to close this gap by establishing a convergence theorem that shows that discrete-time recursive utility converges to stochastic differential utility in the continuous-time limit of vanishing grid size. In the second part of the talk, I would like to address consumption-portfolio choice problems with recursive preferences and unspanned risk. We develop a novel approach that constructs the solution by a fixed point argument based on the associated FBSDE system. More precisely, we study the Feynman-Kac representation mapping $\Phi$ that is associated to a power transform of the dynamic programming equation and obtain a fixed point as a limit of iterations of $\Phi$. This not only yields a theoretical existence and uniqueness result, but also leads to a fast and accurate numerical methodology. We also provide a corresponding verification theorem based on the utility gradient inequalities of Schroder and Skiadas (1999).

Recursive Utility: Convergence and Consumption-Portfolio Choice (Guest Talk)read_more

HG G 19.1

6 May 2014
15:15-16:15

Eyal Neuman
Technion Haifa

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Branching particle systems and their relation to stochastic PDEs and to stochastic control (Guest Talk)
Speaker, Affiliation	Eyal Neuman, Technion Haifa
Date, Time	6 May 2014, 15:15-16:15
Location	HG G 19.1
Abstract	In the first part of the talk we give an introduction to the field of stochastic PDEs. Then we study the solutions of the stochastic heat equation with spatially inhomogeneous multiplicative white noise. When the noise coefficient is the square-root function such equations arise as scaling limits of critical branching particle systems which are known as catalytic super Brownian motion. In particular we prove pathwise uniqueness for solutions of this equation when the noise coefficient is Hölder continuous of index $\gamma>1-\frac{\eta}{2(\eta+1)}$ in $u$. Here $\eta\in(0,1)$ is a constant that defines the spatial regularity of the noise. The second part of the talk is devoted to applications of catalytic super Brownian motion to stochastic control problems. We study a class of portfolio liquidation problems where the transactions are carried out only when the asset price reaches to specific price levels. We solve this class of problems by means of the log-Laplace transform of catalytic super Brownian motion, where the catalyst is a finite set of points.

Branching particle systems and their relation to stochastic PDEs and to stochastic control (Guest Talk)read_more

HG G 19.1

13 May 2014
15:15-16:15

Cosimo Munari
University of Zurich

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Problems and pitfalls of cash-additive risk measures
Speaker, Affiliation	Cosimo Munari, University of Zurich
Date, Time	13 May 2014, 15:15-16:15
Location	HG G 19.1
Abstract	The theory of cash-additive risk measures has been a fertile research territory in the last 15 years, with important applications in the field of capital adequacy, margin requirements, pricing in incomplete markets, and portfolio selection. We will start by recalling the original framework proposed in Artzner, Delbaen, Eber, Heath (1999) and discuss how the cash-additive paradigm has established as the standard axiomatic setting for risk measures. We will then focus on the property of cash-additivity and analyze in detail the argument which is typically used to justify it. This argument hides several pitfalls, both from a mathematical and a financial perspective, which we will try to unveil. In the light of these problems, we will briefly explore some directions of research beyond cash-additivity in the spirit of the original work above, embedding our contribution in the current literature.

Problems and pitfalls of cash-additive risk measuresread_more

HG G 19.1

20 May 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	No Seminar
Speaker, Affiliation
Date, Time	20 May 2014, 15:15-16:15
Location	HG G 19.1

No Seminar

HG G 19.1

27 May 2014
15:15-16:15

Event Details

Post/Doctoral Seminar in Mathematical Finance

Title	Title T.B.A.
Speaker, Affiliation
Date, Time	27 May 2014, 15:15-16:15
Location	HG G 19.1

Title T.B.A.

HG G 19.1

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