Mathematical Finance Seminar Fall 2017

Schedule for Fall 2017

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, Yuchong Zhang

MAFN Seminar Archive

9/14/17

 Antoine Jacquier (Baruch Collge, CUNY – Imperial)

Title: Perturbation analysis of sub/super hedging problems

Abstract: We investigate the links between various no-arbitrage conditions and the existence of pricing functionals in general markets, and prove Fundamental Theorem of Asset Pricings therein. When the market consists only of European Call options, we refine the analysis by weakening the no-arbitrage conditions, and in particular, in the case of finitely many traded options, by showing how to complete the market according to precise implied volatility extrapolation. We finally perform a rigorous perturbation analysis of the infinite-dimensional (primal and dual) optimisation problems, and highlight, with numerical evidence, the influence of smile extrapolation on the bounds of exotic options. Joint work with Sergey Badikov and Mark H.A. Davis.

9/21/17

 Ibrahim Ekren (Michigan)

Title: Portfolio choice with transient and temporary transaction costs

In this talk we study the problem of optimal portfolio choice with transient and temporary transaction costs. In a general Markovian model the objective of the agent is to maximise the discounted value of the future excess return penalised for risk. We establish an expansion of the value function of this problem when the transaction costs go to zero. We obtain a characterisation of the asymptotically optimal portfolio. The talk is based on a joint work with Johannes Muhle-Karbe.

9/28/17  No Seminar
10/5/17

 Xiaolu Tan (Paris Dauphine)

10/12/17

 Jin Ma (USC)

10/19/17

 Blanka Horvath (Imperial)

10/26/17

 Michael Ludkovski (UC Santa Barbara)

11/2/17

 Kay Giesecke (Stanford)

11/9/17

 Yu-Jui Huang (Colorado)

11/16/17  No Seminar
11/23/17  No Seminar

11/30/17

 Damiano Brigo (Imperial)