Research Seminars

Utility maximization in a binomial model with proportional transaction costs

Speaker(s): 
Christian Bayer (WIAS)
Date: 
Thursday, June 21, 2012 - 5:00pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

We study the classical problem of maximizing the expected utility of the terminal value of a portfolio in a binomial (Cox-Ross-Rubinstein) model. By classical results [Merton 1969] both in discrete and continuous time, the optimal portfolio strategy in a friction-less market is is given by keeping the proportion between the wealth invested in the stock and the total portfolio wealth constant.

C^{1,1} regularity for degenerate elliptic obstacle problems in mathematical finance

Speaker(s): 
Paul Feehan (Rutgers University)
Date: 
Thursday, June 21, 2012 - 4:00pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

The Heston stochastic volatility process is a degenerate diffusion process where the degeneracy in the diffusion coefficient is proportional to the square root of the distance to the boundary of the half-plane. The generator of this process with killing, called the elliptic Heston operator, is a second-order, degenerate-elliptic partial differential operator, where the degeneracy in the operator symbol is proportional to the distance to the boundary of the half-plane.

Optimal posting distance of limit orders: a stochastic algorithm approach

Speaker(s): 
Sophie Laruelle (Paris)
Date: 
Thursday, June 7, 2012 - 5:00pm
Location: 
TU Berlin, MA041 Strasse des 17. Juni 136, 10623 Berlin

Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modelled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure minimizing his costs. We prove the $a.s.$ convergence of the algorithm under assumptions on the cost function and give some practical criteria on model parameters to ensure that the conditions to use the algorithm are fulfilled (using notably principle of opposite monotony).

A flexible matrix Libor model with smiles

Speaker(s): 
Alessandro Gnoatto (LMU München)
Date: 
Thursday, June 7, 2012 - 4:00pm
Location: 
TU Berlin, MA041, Strasse des 17. Juni 136, 10623 Berlin

We present a flexible approach for the valuation of interest rate derivatives based on Affine Processes. We extend the methodology proposed in Keller-Ressel et al. (2009) by changing the choice of the state space. We provide semi-closed-form solutions for the pricing of caps and floors. We then show that it is possible to price swaptions in a multifactor setting with a good degree of analytical tractability. This is done via the Edgeworth expansion approach developed in Collin-Dufresne and Goldstein (2002).

CANCELLED: A Continuous Time Bank Run Model for Insolvency, Recovery and Rollover Risks

Speaker(s): 
Gechun Liang (Oxford)
Date: 
Thursday, May 24, 2012 - 5:00pm
Location: 
TU Berlin, MA041, Strasse des 17. Juni 136, 10623 Berlin

In this talk, we propose a continuous time bank run model for incorporating insolvency, recovery and rollover risks. The firm finances by issuing both long and short term debt, and the short term debt holders need to decide whether to roll over or to withdraw their debt (i.e. to run the bank) when their contracts expire. We show there exists a threshold strategy (i.e. the bank run barrier) for the short-term creditors to decide when to run.

Bounds for rating override rates

Speaker(s): 
Dirk Tasche (FSA - Financial Services Authority, London)
Date: 
Thursday, May 24, 2012 - 4:00pm
Location: 
TU Berlin, MA041, Strasse des 17. Juni 136, 10623 Berlin

Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this because on the one hand errors with ratings of corporates or banks can have fatal consequences for the lending institutions and on the other hand errors by statistical methods can be minimised but not completely avoided. Nonetheless, rating overrides can be misused in order to conceal the real riskiness of borrowers or even entire portfolios.

Duality and Convergence for Binomial Markets with Friction

Speaker(s): 
Yan Dolinsky (Universität Zürich)
Date: 
Thursday, January 12, 2012 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Martingale Mass Transport and Robust Option Pricing

Speaker(s): 
Mathias Beiglböck (Universität Wien)
Date: 
Thursday, January 12, 2012 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

On deconvolution of distribution functions

Speaker(s): 
Itai Dattner (Eindhoven)
Date: 
Wednesday, January 11, 2012 - 10:00am
Location: 
Mohrenstrasse 39, Erhard-Schmidt-Raum

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