Stochastic Analysis and Stochastic Finance Seminar

Insider trading, arbitrage profits and honest

Speaker(s): 
Claudio Fontana (INRIA Paris)
Date: 
Thursday, December 12, 2013 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Numerical scheme for quasilinear SPDE's via Backward doubly SDE's

Speaker(s): 
Anis Matoussi (Universite du Maine)
Date: 
Thursday, December 12, 2013 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

On a stochastic Fourier transformation

Speaker(s): 
Shigeyoshi Ogawa (Ritsumeikan University)
Date: 
Thursday, November 28, 2013 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Strong Supermartingales and Portfolio Optimisation under Transaction Costs

Speaker(s): 
Christoph Czichowski (London School of Economics and Political Science)
Date: 
Thursday, November 28, 2013 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Simulation of conditional diffusions via forward--reverse stochastic representations

Speaker(s): 
Christian Bayer (WIAS Berlin)
Date: 
Thursday, October 31, 2013 - 4:15pm
Location: 
Rudower Chaussee 25, Room 1.115

An equilibrium model for commodity spot and forward prices

Speaker(s): 
Michail Anthropelos (University of Piraeus)
Date: 
Thursday, October 17, 2013 - 5:15pm
Location: 
Rudower Chaussee 25, Room 1.115

Decentralized Exchange

Speaker(s): 
Semyon Malamud (Ecole Polytechnique Fédérale de Lausanne)
Date: 
Thursday, July 4, 2013 - 5:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

We develop an equilibrium model of decentralized trading that accommodates any coexisting exchanges including networks and more general, common market structures represented by hypergraphs. The model allows for any number of strategic traders and multiple divisible assets. We characterize equilibrium and welfare, and develop comparative statics with respect to preferences, assets, and market structures. Changes in market structure that increase price impact may increase total welfare.

Model-independent pricing and hedging in discrete time

Speaker(s): 
Beatrice Acciaio (London School of Economics)
Date: 
Thursday, July 4, 2013 - 4:00pm
Location: 
TU Berlin, Straße des 17. Juni 136, 10623 Berlin, Raum MA 041

We study the problem of pricing and hedging path-dependent options in discrete time in a model-independent context. This means that no model is assumed for the underlying asset and no probabilistic structure is a priori given. The first issue to consider is the concept of arbitrage in such a framework. I will discuss the different notions of model-independent arbitrage so-far introduced in literature, and compare the results thereby obtained.

Pages

Subscribe to Stochastic Analysis and Stochastic Finance Seminar