Dear all,
This is a reminder for the: STAR Online Seminars.
The seminar will be held Friday 13. November from 11:00-12:00 . You will recieve the link for the Zoom room by registering for the seminar with the link provided at the end of this mail. The lecture will last for 45 minutes + questions.
This week's speaker is Rama Cont - University of Oxford, with the seminar: Excursion risk
Abstract: A broad class of dynamic trading strategies may be characterized in terms of excursions of the market price of a portfolio away from a reference level. We propose a mathematical framework for the risk analysis of such strategies, based on a description in terms of price excursions, first in a pathwise setting, without probabilistic assumptions, then in a probabilistic setting, when the price is modelled as a Markov process. We introduce the notion of δ-excursion, defined as a path which deviates by δ from a reference level before returning to this level. We show that every continuous path has a unique decomposition into such δ-excursions, which turn out to be useful for the scenario analysis of dynamic trading strategies, leading to simple expressions for the number of trades, realized profit, maximum loss and drawdown. When the underlying asset follows a Markov process, we combine these results with Ito's excursion theory to obtain a tractable decomposition of the process as a concatenation of independent δ-excursions, whose distribution is described in terms of Ito's excursion measure. We provide analytical results for linear diffusions and give new examples of stochastic processes for flexible and tractable modeling of excursions. Finally, we describe a non-parametric scenario simulation method for generating paths whose excursions match those observed in a data set. This is joint work with: Anna Ananova and RenYuan Xu.
After the end of the seminar, you are invited to bring a cup of coffee/tea and have a chat in our Coffee in the Stars here you will have the chance to talk and interact with the other persons that attended the seminar, and have a digital "coffee break".
We are looking forward to see you, online!
Best regards, We are looking forward to see you, online! Best regards, Michele Giordano Doctoral research fellow Department of Mathematics University of Oslo, Norway
------------------------------------------------------------------------- Register for the seminar: https://nettskjema.no/a/159180 Link for the seminar webpage: https://www.mn.uio.no/math/english/research/projects/storm/events/seminars/s...
Dear all,
This is a reminder for the: STAR Online Seminars.
The seminar will be held Friday 20. November from 11:00-12:00 . You will recieve the link for the Zoom room by registering for the seminar with the link provided at the end of this mail. The lecture will last for 45 minutes + questions.
This week's speaker is Tusheng Zhang - University of Manchester, with the seminar: Reflected Brownian motion with measure-valued drifts
Abstract: In this talk, I will present some recent results on the uniqueness and existence of weak solution to the reflected Brownian motion with measure-valued drifts. Furthermore, we obtain some Gaussian type estimates of the transition density function of the solution and we also provide solutions to the associated Neumann boundary value problems.
After the end of the seminar, you are invited to bring a cup of coffee/tea and have a chat in our Coffee in the Stars here you will have the chance to talk and interact with the other persons that attended the seminar, and have a digital "coffee break".
We are looking forward to see you, online!
Best regards, Michele Giordano Doctoral research fellow Department of Mathematics University of Oslo, Norway
------------------------------------------------------------------------- Register for the seminar: https://nettskjema.no/a/159180 Link for the seminar webpage: https://www.mn.uio.no/math/english/research/projects/storm/events/seminars/s...
Dear all,
With the new year we are reading to start again the semester of STAR Online Seminars.
The next seminar will be held Friday 15. January from 11:00-12:00 . You will recieve the link for the Zoom room by registering for the seminar with the link provided at the end of this mail. The lecture will last for 45 minutes + questions.
This week's speaker is Arne Bang Huseby from University of Oslo with the talk: Optimal reinsurance contracts in the multivariate case Abstract: An insurance contract implies that risk is ceded from ordinary policy holders to companies. However, companies do the same thing between themselves. This is known as reinsurance, and the ceding company is known as the cedent. The rationale could be the same; i.e., that a financially weaker agent is passing risk to a stronger one. In reality even the largest companies do this to diversify risk, and financially the cedent may be as strong as the reinsurer. The problem of determining reinsurance contracts which are optimal with respect to some reasonable criterion has been studied extensively within actuarial science. Different contact types are considered such as stop-loss contracts where the reinsurance company covers risk above a certain level, and insurance layer contracts where the reinsurance company covers risk within an interval. The contracts are then optimized with respect to some risk measure, such as value-at risk (VaR) or conditional tail expectation (CTE). In this seminar we consider the problem of minimizing VaR in the case of multiple insurance layer contracts. Such contracts are known to be optimal in the univariate case, and the optimal contract is easily determined. In the multivariate case, however, finding the optimal set of contracts is not easy. In fact the optimal contract is not even unique in this case. Still by considering solutions where the risk is balanced between the contracts, a solution can be found using an iterative Monte Carlo method.
After the end of the seminar, you are invited to bring a cup of coffee/tea and have a chat in our Coffee in the Stars here you will have the chance to talk and interact with the other persons that attended the seminar, and have a digital "coffee break".
We are looking forward to see you, online!
Best regards, Michele Giordano Doctoral research fellow Department of Mathematics University of Oslo, Norway
------------------------------------------------------------------------- Register for the seminar: https://nettskjema.no/a/159180 Link for the seminar webpage: https://www.mn.uio.no/math/english/research/projects/storm/events/seminars/s...
Dear all,
This is a reminder for the STAR Online Seminars.
The next seminar will be held Friday 29. January from 11:00-12:00 . You will recieve the link for the Zoom room by registering for the seminar with the link provided at the end of this mail. The lecture will last for 45 minutes + questions.
This week's speaker is Josep Vives from University of Barcelona with the talk: Decomposition and high order approximation of option prices. Some applications to Heston, Bates, CEV and rough volatility models. Abstract: Using Itô calculus techniques we present an option price decomposition for local and stochastic volatility jump diffusion models and we use it to obtain fast and accurate approximations of call option prices for different local or stochastic volatility models. The main purpose is to present the ideas given in the recent papers
A. Gulisashvili, M. Lagunas, R. Merino and J. Vives (2020): “Higher order approximation of call option prices in stochastic volatility models”. Journal of Computational Finance 24 (1).
But I will also comment ideas of the papers:
E. Alòs, R. De Santiago and J. Vives (2015): “Calibration of stochastic volatility models via second order approximation: the Heston case”. International Journal of Theoretical and Applied Finance 18 (6): 1550036 (31 pages).
J. Vives (2016): “Decomposition of the pricing formula for stochastic volatility models based on Malliavin – Skorohod type calculus”. Proocedings of the Research School CIMPA-UNESCO-MSER-MINECO-MOROCCO on Statistical Methods and Applications in Actuarial Science and Finance 2013. Springer.
R. Merino and J. Vives (2017): “Option price decomposition in local volatility models and some Applications”. International Journal of Stochastic Analysis. Volume 2017, Article ID 8019498, 16 pages
R. Merino, J. Pospísil, T. Sobotka and J. Vives (2018): “Decomposition formula for jump diffusion models”. International Journal of Theoretical and Applied Finance 21 (8).
R. Merino, J. Pospisil, T. Sobotka, T. Sottinen and J. Vives (2021): “Decomposition formula for rough Volterra stochastic volatility models”. Submitted.
After the end of the seminar, you are invited to bring a cup of coffee/tea and have a chat in our Coffee in the Stars here you will have the chance to talk and interact with the other persons that attended the seminar, and have a digital "coffee break".
We are looking forward to see you, online!
Best regards, Michele Giordano Doctoral research fellow Department of Mathematics University of Oslo, Norway
------------------------------------------------------------------------- Register for the seminar: https://nettskjema.no/a/159180 Link for the seminar webpage: https://www.mn.uio.no/math/english/research/projects/storm/events/seminars/s...
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michele giordano