Research Seminars

Multivariate shortfall risk allocation and systemic risk

Speaker(s): 
Antonis Papapantoleon (TU Berlin)
Date: 
Thursday, February 11, 2016 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such as portfolios, institutions or members of clearing houses. The two main issues in systemic risk measurement are the computation of an overall reserve level and its allocation to the different components according to their systemic relevance.

Model Uncertainty, Fréchet Bounds and Applications in Option Pricing

Speaker(s): 
Thibaut Lux (TU Berlin)
Date: 
Thursday, February 11, 2016 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

We consider the problem of finding arbitrage bounds for option prices of multi-asset options (i.e. options on multiple underlyings) in the case when partial information of the assets' probability distribution is available. We focus on the case in which the one-dimensional marginal distribution of each individual asset is known while also partial information on the dependence structure between the assets is available. This is in the literature often referred to as dependence uncertainty.

On Bayes risk lower bounds

Speaker(s): 
Adityanand Guntuboyina (Berkeley)
Date: 
Wednesday, February 3, 2016 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

I will present a general technique for obtaining Bayes risk lower bounds for arbitrary priors in standard decision theoretic problems. The method leads to generalizations of a variety of classical minimax bounds. I will describe an application to admissibility. This is based on http://arxiv.org/abs/1410.0503 which is joint work with Xi Chen and Yuchen Zhang.

Robust super-hedging of options on VIX and martingale optimal transport

Speaker(s): 
Stefano De Marco (CMAP, Ecolé Polytechnique)
Date: 
Thursday, January 28, 2016 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

VIX options traded on the CBOE have become popular volatility derivatives. In this work, we bound VIX options from S\&P500 vanilla options and VIX futures. This leads us to introduce a new martingale optimal transport problem with additional constraints (that can eventually be solve numerically). Analytical lower and upper bounds are also provided, which highlight some (potential) arbitrage opportunities.

Empirical Chaos Processes and their application in Blind Deconvolution

Speaker(s): 
Felix Khramer (TU München)
Date: 
Wednesday, January 27, 2016 - 10:00am
Location: 
WIAS, Raum 4.13, Hausvogteiplatz 11a, 10117 Berlin

The motivation of this talk is the deconvolution of two unknown vectors $w$ and $x$, each of which is sparse with respect to a generic (but known) basis. That is, one seeks to recover $w$ and $x$ from their circular convolution $y = w {\ast} x$. In this talk, we prove a restricted isometry property for this problem, which then entails convergence guarantees for the non-convex sparse power factorization algorithm via recent work by Lee et al.

Deloitte & Touche GmbH Wirtschaftsprüfungsgesellschaft

Speaker(s): 
Dr. Jörg Kienitz, Director (Deloitte Düsseldorf)
Dr. Karl F. Bannör, Manager (Deloitte Berlin)
Date: 
Thursday, January 14, 2016 - 4:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

Bewertung von exotischen Derivaten, Modellierung von Finanzkennzahlen, Quantifizierung von Markt- und Kreditrisiken, Erfüllen von regulatorischen Anforderungen, Entwicklung von quantitativen Tools – die Liste an Tätigkeiten im Quantitative-Finance-Bereich liest sich lang und abwechslungsreich. Wir laden Sie zu einem Workshop ein, bei dem sie erste Praxisluft aus dem Beratungsalltag schnuppern können.

Robust and nonparametric detection of shifts using two-sample U-statistics and U-quantiles

Speaker(s): 
Roland Fried (TU Dortmund)
Date: 
Wednesday, January 13, 2016 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

Tests for detecting level shifts in near epoch dependent time series are studied. The popular CUSUM test is not robust to outliers and can be improved in case of non-normal data, particularly for heavy-tails. The CUSUM test can be modified using the Hodges-Lehmann 2-sample estimator, which is the median of all pairwise differences between the samples. It is highly robust and has a high efficiency under normality.

Asymptotic distribution of some robust and non-parametric change-point tests for time series

Speaker(s): 
Herold Dehling (Ruhr-Universität Bochum)
Date: 
Wednesday, January 13, 2016 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

In my talk, I will present recent results on the asymptotic distribution of some robust and non-parametric test statistics for the detection of change-points in time series. This leads to the study of two-sample U-processes, empirical U-processes, and two-sample U-quantiles.We will present limit theorems for these processes, both in the case of short range as well as long range dependent data.
(Joint work with Roland Fried, Martin Wendler, Murad Taqqu, Aeneas Rooch, and Isabel Garcia)

Distribution of Linear Statistics of Singular Values of the Product of Random Matrices

Speaker(s): 
Alexey Naumov (Moscow State University)
Date: 
Wednesday, January 6, 2016 - 10:00am
Location: 
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

In my talk I will consider the products of random matrices. This topic is one of the most active in Random matrix theory in the last five years. I will be mostly interested in the limiting behavior of eigenvalues and singular values of such matrices. In particular, I will prove the central limit theorem for linear statistics of singular values. Some applications to statistics and theory of telecommunications will be discussed as well. This talk is based on the joint results with F. Goetze and A. Tikhomirov.

Nash equilibria of threshold type for two-player nonzero-sum games of stopping

Speaker(s): 
Giorgio Ferrari (Universität Bielefeld)
Date: 
Thursday, December 17, 2015 - 5:15pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.115

In this talk I consider two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of Itô and McKean, p. 108). I show that Nash equilibria are realised by stopping the diffusion at the first exit time from suitable intervals whose boundaries solve a system of algebraic equations. Under mild additional assumptions we also prove uniqueness of the equilibrium.

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