Probability Colloquium

Self-dual stochastic processes and semi-static hedging for realistic price processes

Speaker(s): 
Thorsten Rheinländer (LSE London)
Date: 
Wednesday, May 16, 2012 - 5:00pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

Semi-static hedging of path-dependent barrier options by non-vanilla European ones has caught quite some attention among both academics and practitioners. In fact, the common practice is questionable since it would only work out in case the stochastic log-returns are conditionally symmetric which is unrealistic. We show in the context of continuous stochastic volatility models how to obtain the hedging strategy via a change to an 'asymmetric risk measure' under which all characteristics can be obtained easily.

The master field on the plane

Speaker(s): 
Thierry Lévy (Université Pierre et Marie Curie)
Date: 
Wednesday, May 16, 2012 - 4:15pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

The Yang-Mills field on the plane is a collection of random matrices indexed by the set of loops based at the origin on the plane. These matrices belong to a fixed compact group, for example the unitary group U(N), and the Yang-Mills field can be thought of as a random unitary representation of the group of reduced rectifiable loops, the group operation being concatenation. I will describe the large N limit of this random reprensentation, in particular the fact that it converges almost surely towards a deterministic limit.

Truncated variation of a stochastic process - its optimality for processes with cadlag trajectories and its limit distributions for diffusions

Speaker(s): 
Rafal Lochowski (Warschau)
Date: 
Wednesday, April 18, 2012 - 5:00pm
Location: 
TU Berlin, MA041, Straße des 17. Juni 136, 10623 Berlin

For a given function f : [a; b] − > RI define its truncated variation at the level c >0 with the following formula

Gaussian processes, permanental processes and local times

Speaker(s): 
Michael Marcus (City College, New York)
Date: 
Thursday, November 10, 2011 - 5:00pm
Location: 
Rudower Chaussee 25, Haus 1, Room 115.

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