Mathematical Finance Seminar – Fall 2018

Schedule for Fall 2018

Seminars are on Thursdays
Time: 4:10pm – 5:25pm
Location: Columbia University, 903 SSW (1255 Amsterdam Ave, between 121st and 122nd Street)

Organizers: Ioannis Karatzas, Marcel Nutz, Philip Protter

MAFN Seminar Archive

9/20/18

Julio Backhoff-Veraguas (Vienna)

Title: Model uncertainty in mathematical finance and the role of causal Wasserstein distances

Abstract: The problem of model uncertainty in financial mathematics has received considerable attention in the last years. This is particularly so for parametric models. In this talk I will follow a non-parametric point of view , focusing on the discrete-time case. I will argue that an insightful approach to model uncertainty should not be based on the familiar Wasserstein distances. I will then provide evidence supporting the better suitability of the recent notion of causal Wasserstein distances (also known as Nested Distances in the literature). Unlike their more familiar counterparts, these transport metrics take the role of information/filtrations explicitly into account. This talk is based on joint work with M. Beiglböck and D. Bartl.

9/27/18

Peter Carr (NYU)

Title: Valgebra

Abstract:
Arbitrage-free valuation of derivative securities is often an exercise in applied probability. However, when the underlying stochastic process is Markovian, it is well known that semi-groups arising in abstract algebra can be applied. We consider the possibility of using other algebraic structures for arbitrage-free valuation purposes.
We give an example  of arbitrage-free valuation which relies purely on deforming an algebraic structure. In our example, our purely algebraic approach leads to simpler valuation formulas than would arise by choosing simple stochastic processes. Joint work with Lin Yang.

 
 
10/4/18 Mark Podolskij (Aarhus)
10/11/18

Johannes Muhle-Karbe (CMU) at 4:10 pm

Charles-Albert Lehalle (CFM) at 5:05 pm

10/18/18 Luciano Campi (LSE)
10/25/18 Ruodu Wang (Waterloo)

11/1/8

Scott Robertson (Boston University)

 
11/15/18 Ulrich Horst (HU Berlin)
11/22/18 No seminar (Thanksgiving)
11/29/18

Yuchong Zhang (U Toronto)

 
 
12/6/18