Stochastic Analysis and Stochastic Finance Seminar

Fundamental theorem of asset pricing without reference measure

Speaker(s): 
Ludovic Tangpi (Universität Konstanz)
Date: 
Thursday, June 19, 2014 - 4:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

When a financial market is governed by a single probability measure, the absence of arbitrage opportunities is characterized by the existence of equivalent martingale or local martingale measures. In this talk, we focus on the fundamental theorem of asset pricing in the case where the market is governed by a non-dominated set of probability measures. We introduce the concept of free lunch with disappearing risk.

Efficient Laplace and Fourier inversions and Wiener-Hopf factorization in financial applications

Speaker(s): 
Sergei Levendorskii (University of Leicester)
Date: 
Thursday, June 5, 2014 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

Appropriate conformal deformations increase the speed and accuracy of calculation of fairly complicated oscillatory integrals in option pricing formulas in many cases when standard approaches are either too slow or

Estimate nothing

Speaker(s): 
Chris Rogers (University of Cambridge)
Date: 
Thursday, June 5, 2014 - 4:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Room MA041

In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is estimation error to be quantified, and then taken into account when making statements about the future behaviour of the observed time series?

Foundations of Risk Management and Consistency of Risk Measure Estimates

Speaker(s): 
Mark Davis (Imperial College London)
Date: 
Thursday, May 8, 2014 - 5:00pm
Location: 
TU Berlin, Raum MA 041, Straße des 17. Juni 136, 10623 Berlin

Recently there has been renewed debate about the relative merits of VaR and CVar as measures of financial risk, together with an increasing insistence that these issues cannot be meaningfully discussed without taking into account how the relevant values are to be computed. This prompts an enquiry into the basics of financial risk management, and it seems that key insights from other areas such as weather forecasting have been ignored by the financial community.

Non-equivalent beliefs and subjective bubbles

Speaker(s): 
Martin Larsson (Swiss Finance Institute)
Date: 
Thursday, May 8, 2014 - 4:00pm
Location: 
TU Berlin, R. MA 041, Straße des 17. Juni 136, 10623 Berlin

In a complete market, the price bubble on a traded asset is defined as the difference between its market price and the smallest amount needed to replicate the associated cash flows. It is well understood that the presence of nonzero bubbles is consistent with absence of arbitrage, even when portfolio restrictions are absent. However, reconciling price bubbles with economic equilibrium has so far required portfolio constraints on some or all agents.

High-Resilience Limits of Block-Shaped Order Books

Speaker(s): 
Johannes Muhle-Karbe (ETH-Zürich)
Date: 
Thursday, April 24, 2014 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

We show that wealth processes in the block-shaped order book model of Obizhaeva and Wang converge to their counterparts in the reduced-form model of Almgren and Chriss as the resilience of the order book tends to infinity. As an application of this limit theorem, we obtain that optimal strategies in the Almgren/Chriss model with small quadratic trading costs are also asymptotically optimal for highly resilient block-shaped order books.

(This is a joint work with Jan Kallsen.)

Satiation Preferences - The Case of Certainty

Speaker(s): 
Daniel Smith (Universität Mannheim)
Date: 
Thursday, April 24, 2014 - 4:15pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

Based on a neurobiological model, we explore the origins of utility. We find that the standard continuous-time version of discounted utility suffers from a major inadequacy: it does not possess the local substitution property (consumption in nearby dates should be close substitutes), and hence does not produce a continuous functional in the space of consumption paths. This problem reverberates in the discrete-time version of discounted utility if consumption takes place in nearby dates. The literature has proposed one alternative, the durability model, that lacks economic appeal.

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Speaker(s): 
Alexander Giese (Unicredit Bank, München)
Date: 
Thursday, January 23, 2014 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Oleg Reichmann (ETH Zürich)
Date: 
Thursday, January 23, 2014 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Trading with Small Price Impact

Speaker(s): 
Ludowik Moreau (ETH Zürich)
Date: 
Thursday, January 9, 2014 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

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