Research Seminars

A generalized two-moment asset pricing model

Speaker(s): 
Lim Kian Guan (Singapore Management University)
Date: 
Monday, April 29, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Equilibrium considerations in a financial market with interacting investors

Speaker(s): 
Gonçalo Dos Reis (Technische Universität Berlin)
Date: 
Thursday, April 25, 2013 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041 im Erdgeschoß

While trading on a financial market, the agents we consider take the performance of their peers into account. By maximizing individual utility subject to investment constraints, the agents may ruin each other even unintentionally so that no equilibrium can exist. However, when the agents are willing to waive little expected utility, an approximated equilibrium can be established. The study of the associated backward stochastic differential equation (BSDE) reveals the mathematical reason for the absence of an equilibrium.

On the Reflected Backward Stochastic Partial Differential Equations

Speaker(s): 
Jinniao Qiu (Humboldt-Universität zu Berlin)
Date: 
Thursday, April 25, 2013 - 4:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041 im Erdgeschoß

In this talk, we first introduce the backward SPDEs and the quasi-linear reflected backward SPDEs. Basing on the classical parabolic capacity and potential theory, we associate the reflected backward SPDE to a variational problem, and present the well-posedness of the quasi-linear reflected backward SPDEs. Some related results, which include the comparison principle for solutions of RBSPDEs, as well as the connections with reflected backward stochastic differential equations and the optimal stopping problems, are also addressed.

Delayed Capital Reallocation

Speaker(s): 
Wei Cui (Princeton University)
Date: 
Monday, April 22, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Local Adaptive Multiplicative Error Models for High-Frequency Forecasts

Speaker(s): 
Andrija Mihoci (C.A.S.E., HU Berlin)
Date: 
Wednesday, April 17, 2013 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Hörsaal

Dynamics of Contract Design with Screening

Speaker(s): 
Jaksa Cvitanic (EDHEC Business School, Nice)
Date: 
Thursday, April 11, 2013 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041 im Erdgeschoß

We analyze a novel principal-agent problem of moral hazard and adverse selection in continuous time. The constant private shock revealed at time zero when the agent selects the contract has a long-term impact on the optimal contract. The latter is based not only on the continuation value of the agent who truthfully reports, but also contingent upon the continuation value of the agent who misreports, called temptation value. The good agent is retired when the temptation value of the bad agent becomes large, because then it is expensive to motivate the good agent.

On arbitrages arising with honest times

Speaker(s): 
Monique Jeanblanc (Université d'Evry Val d'Essone)
Date: 
Thursday, April 11, 2013 - 4:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041 im Erdgeschoß

In the context of a general continuous financial market model, we study whether the additional information associated with an \emph{honest time} $\tau$ gives rise to arbitrage profits. By relying on the theory of progressive enlargement of filtrations, we explicitly show that arbitrage profits can never be realized strictly before $\tau$, while classical arbitrage opportunities can be realized exactly at $\tau$ and stronger arbitrages of the first kind always exist after $\tau$.

Option portfolio choice under pricing kernel monotonicity

Speaker(s): 
Brendan Beare (San Diego University)
Date: 
Monday, February 4, 2013 - 2:00pm
Location: 
Spandauer Strasse 1, Room 23

Good Deals: a new perspective

Speaker(s): 
Hirbod Assa (Concordia University)
Date: 
Thursday, July 5, 2012 - 5:00pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

We study Good Deals in a scenario whereby a representative agent uses decision-making tools based on a risk measure, and where the market prices are given by a sub-linear pricing rule. We consider a hedging problem where the shortfall risk is minimized subject to a given budget constraint. First, we observe that, given a coherent risk measure, the existence of a Good Deal is equivalent to the incompatibility between the pricing rule and the risk measure.

Finite-time pricing kernel models

Speaker(s): 
Andrea Macrina (King's College London)
Date: 
Wednesday, July 4, 2012 - 4:00pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

Finite-time pricing kernel models are proposed, which (a) are driven by Markov processes, (b) produce positive interest rate processes, and (c) can be automatically calibrated to the term structure of bond prices. For a specific class of pricing models, it is possible to obtain closed-form expressions for the interest rate dynamics and the market price of risk. Likewise, analytical formulae may be obtained simultaneously for bonds and interest rate derivatives, such as interest rate caplets and swaptions.

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