Research Seminars

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Speaker(s): 
Gitta Kotyniok (TU Berlin)
Date: 
Wednesday, November 29, 2017 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

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Speaker(s): 
Agostino Capponi (Columbia University)
Date: 
Thursday, November 23, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Christoph Czichowsky (London School of Economics and Political Science)
Date: 
Thursday, November 23, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

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Speaker(s): 
Vicky Henderson (University of Warwick)
Date: 
Thursday, November 9, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

Pricing and hedging with rough Heston models

Speaker(s): 
Omar El-Euch (Pierre and Marie Curie University - Paris 6)
Date: 
Thursday, November 9, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Brownian motion, they raise new issues when it comes to derivatives pricing and hedging.

On the Exponentially Weighted Aggregate with the Laplace Prior

Speaker(s): 
Arnak Dalayan (ENSAE Paris)
Date: 
Wednesday, November 8, 2017 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

In this talk, we will present some results on the statistical behaviour of the Exponentially Weighted Aggregate (EWA) in the problem of high-dimensional regression with fixed design. Under the assumption that the underlying regression vector is sparse, it is reasonable to use the Laplace distribution as a prior.

Statistical inference for McKean-Vlasov-SDEs

Speaker(s): 
Denis Belomestny (Universität Duisburg-Essen)
Date: 
Wednesday, November 1, 2017 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

McKean-Vlasov-SDEs provide a very rich modelling framework for large complex systems. They naturally appear in modelling and simulation of turbulent flows by fluid-particle method. In biomathematics, a McKean-Vlasov-SDE model for neuronal networks has been proposed. Although potentially very powerful, the lack of efficient statistical procedures prevents further expansion of these results into application areas. When proposing a McKean-Vlasov-SDE model, one of the main challenges is the appropriate choice of the coefficients.

Volatility and Arbitrage

Speaker(s): 
Johannes Ruf (London School of Economics)
Date: 
Thursday, October 26, 2017 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

The capitalization-weighted cumulative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \dx \langle \log \mu_i \rangle (t) $ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $\mu_i (\cdot) ,$ is an observable and a nondecreasing function of time. If this observable of the market is not just nondecreasing but actually grows at a rate bounded away from zero, then strong arbitrage can be constructed relative to the market over sufficiently long time horizons.

Trading Foreign Exchange Triplets

Speaker(s): 
Alvaro Cartea (University of Oxford)
Date: 
Thursday, October 26, 2017 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

We develop the optimal trading strategy for a Foreign Exchange (FX) broker who must liquidate a large position in an illiquid currency pair. To maximise revenues, the broker considers trading in a currency triplet which consists of the illiquid pair and two other liquid currency pairs. The liquid pairs in the triplet are chosen so that one of the pairs is redundant. The broker is risk-neutral and accounts for model ambiguity in the FX rates to make her strategy robust to model misspecification.

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