Further Developments in Quantitative Finance
Jul 09, 2007 - Jul 13, 2007
ICMS, 14 India Street, Edinburgh
Organisers
Name | Institution |
---|---|
Cairns, Andrew | Heriot-Watt University |
Frittelli, Marco | Università degli Studi di Milano |
Hobson, David | University of Warwick |
Monoyios, Michael | University of Oxford |
Schweizer, Martin | ETH Zurich |
Short Report
Much of the research presented fell naturally into broad themes, such as illiquid markets, transaction costs (TC), incomplete information, credit risk, and analysis of risk preferences such as forward utilities and risk measures. Talks on the same theme were often grouped together. Many delegates commented that they liked this format.
There were talks on other areas, such as problems related to optimal stopping, and on modelling the observed implied volatility surface of market option prices.
The common theme was the extension of classical, perfect models of financial markets to incorporate one or more realistic and important market imperfections. The practical importance of such research is that it is essential to understanding how market failures can arise, and how to deal with the resulting risks. The recent turmoil in financial markets has arisen due to defaults on home loans in the United States (and is thus an instance of credit risk), and has resulted in lack of liquidity in interbank lending markets. The practical importance of the research therefore cannot be overstated.
The mathematical challenges involve techniques of functional and stochastic analysis, new techniques of stochastic control such as backward stochastic differential equations (BSDEs), and techniques of singular control, impulse control, and numerical and asymptotic analysis of partial differential equations (PDEs), often in high dimensions.
It is difficult to pick a single highlight, but the research on transaction costs, by Jan Kallsen, and on the dynamics of risk preferences, by Thaleia Zariphopoulou, generated a great deal of discussion and potential for future collaboration.
Participants list and links to available presentations are further down this page.
Download the pdf file of the full report
Original Details
The aims of the meeting are to build on the successes of the recent Developments in Quantitative Finance (DQF) programme at the Isaac Newton Institute for Mathematical Sciences (INIMS), Cambridge, by inviting some of the participants of that programme to reconvene, to further the advances and achievements of that programme and to describe more recent progress.
There has been a major expansion in the number of researchers working in the field of Financial Mathematics over recent years, and a further objective is to provide a forum for UK academics who are early in their career to listen to the most recent research and to present their work to an audience of senior researchers.
The outcomes of the meeting are expected to be progress in understanding the applications of the above mathematical techniques (robust control, partial differential equations, backward stochastic differential equations, martingale methods, convex duality techniques) to the management of new types of risk associated with the increasingly sophisticated products being offered by financial institutions, as well as to the computational challenges of valuing new products dependent on a large number of correlated assets. The interaction between distinguished senior academics and younger UK-based researchers will be a major stimulus to the UK Financial Mathematics community.
Arrangements
Participation
Participation is by invitation only. The workshop will begin with registration and coffee on Monday 9 July and finish on Friday 13 July 2007.
Venue
The workshop will take place at the head-quarters of ICMS, 14 India Street, Edinburgh. This house is the birthplace of James Clerk Maxwell and is situated in the historic New Town of Edinburgh, near the city centre.
The ICMS travel pages contain advice on how to travel to Edinburgh. For local information the finding ICMS page shows the location of ICMS and contains useful maps of the city centre.
The seminar room at ICMS has whiteboards, 2 overhead projectors, a data projector and laptop.
Wireless access is available throughout the ICMS building. There are also several public PCs which may be used at any time for internet access and to check email.
Accommodation
For those who have asked ICMS to arrange accommodation, we have booked rooms in The Holiday Inn Edinburgh, which is conveniently located for the airport and is only about a 10 minute bus journey and a short walk from ICMS. For information about travel to the Holiday Inn, Corstorphine Road, Edinburgh please click here.
Alternatively, participants are free to make their own arrangements and claim back the cost, with receipts, up to a maximum of £70.00 per night bed and breakfast. A list of Edinburgh accommodation of various sorts and prices is available here. Sections 1-3 are particularly relevant.
Registration
Registration will take place between 09.00 and 09.50 on Monday 9 July, with refreshments provided. The talks will start at 10.00.
Meals and Refreshments
Morning and afternoon refreshments together with a buffet lunch will be provided throughout the workshop.
There will be an informal wine reception after the close of lectures on Monday 9 July evening.
An evening meal will be provided in a Nargile Turkish Restaurant on Tuesday 10 July. The workshop dinner will take place at First Coast Restaurant on the evening of Thursday 12 July.
On arrival you will be given a ‘welcome pack’ which contains a list of local restaurants and eating places.
Excursions
Following the talks on Wednesday 11 July, participants are invited to attend a one-hour tour at the Whisky Heritage Centre on Edinburgh's Royal Mile. Further information is available here . There is no cost to participants for this tour, which includes a whisky tasting and souvenir gift.
Financial Arrangements
Unless otherwise specified in your invitation letter, the workshop grant will cover the cost of your hotel accommodation, lunch each day, the informal wine reception and evening meals on 2 nights (see ‘Meals and Refreshments’ section above).
We wish to thank participants who have agreed to cover some or all of their own travel. For others, we are able to reimburse the travel costs estimated on your registration form and specified by email.
Reimbursement will take place after the workshop. At Registration you will be given an expenses claim form. Please note that a receipt is required for each item claimed. E-tickets for travel will be accepted if the name and amount paid is clearly shown.
Under the terms of our EPSRC funding we are required to charge a 30.00 GBP registration fee to cover costs not admissible under the grant. The fee will be payable on arrival at the workshop payment may be by cash, sterling cheque or credit/debit card.
Programme
Monday 9 July09.00 - 09.50 | Registration |
09.50 - 10.00 | Welcome |
10.00 - 10.45 | Dmitry Kramkov (Carnegie Mellon University) A model for a large investor who trades at utility indifference prices of market makers Presentation |
10.45 - 11.15 | Coffee/Tea |
11.15 - 12.00 | Huyên Pham (Université Paris 7 Diderot) Impulse control problems on finite horizon with execution delay Presentation |
12.00 - 12.45 | Dirk Becherer (Imperial College London) Optimal asset liquidation in illiquid markets with finite resiliency |
12.45 - 14.15 | Lunch |
14.15 - 15.00 | Chris Rogers (University of Cambridge) Illiquidity revisited Presentation |
15.00 - 15.45 | Mark Owen (Heriot-Watt University) Utility-based approaches to asset pricing Presentation |
15.45 - 16.15 | Coffee/Tea |
16.15 - 17.00 | Martin Schweizer (ETH Zurich) Implied volatilities (preliminary title) Presentation |
17.00 - 17.45 | Jan Obloj (Imperial College London) Using options to complete markets with stochastic volatility and jumps Presentation |
18.00 - 19.00 | Wine reception at ICMS, 14 India Street |
Tuesday 10 July
09.30 - 10.15 | Xin Guo (University of California, Berkeley) Connecting singular and switching controls with applications to (ir)reversible investment Presentation |
10.15 - 11.00 | Peter Friz (University of Cambridge) On the Black-Scholes implied volatility at extreme strike Presentation |
11.00 - 11.30 | Coffee/Tea |
11.30 - 12.15 | Mihail Zervos (London School of Economics) Itô semi-diffusion processes |
12.15 - 13.00 | Tim Johnson (Heriot-Watt University) The optimal timing of investment decisions Presentation |
13.00 - 14.30 | Lunch |
14.30 - 15.15 | Tomas Björk (Stockholm School of Economics) Optimal investments under partial information |
15.15 - 16.00 | Michael Monoyios (University of Oxford) To be confirmed Presentation |
16.00 - 16.30 | Coffee/Tea |
16.30 - 17.15 | Tom Hurd (McMaster University) Credit risk models based on time changed Brownian motion Presentation |
17.15 - 18.00 | Arne Lokka (King’s College London) Pricing and hedging of credit derivatives |
19.00 | Informal group supper at Nargile Turkish Restaurant, 73 Hanover Street |
Wednesday 11 July
09.30 - 10.15 | Matheus R Grasselli (McMaster University) Combining real options and games in incomplete markets Presentation |
10.15 - 11.00 | Michael Tehranchi (University of Cambridge) A characterisation of dynamic forward utilities Presentation |
11.00 - 11.30 | Coffee/Tea |
11.30 - 12.15 | Jan Kallsen (Technische Universität München) Mean-variance hedging for jump processes Presentation |
12.15 - 13.00 | Anke Wiese (Heriot-Watt University) Mean-variance hedging in stochastic volatility models driven by Lévy processes Presentation |
13.00 - 14.30 | Lunch |
14.30 - 15.15 | Andrew Lim (University of California, Berkeley) Robust decision making with relative entropy Presentation |
15.15 - 16.00 | Alex Cox (University of Bath) Robust hedging of options based on the local time Presentation (NB - large file) |
16.00 - 16.30 | Coffee/Tea |
17.15 - 18.30 | Optional tour of the Scotch Whisky Heritage Centre |
Thursday 12 July
09.30 - 10.15 | Hans Föllmer (Humboldt Universität Berlin) On the dynamics of convex risk measures |
10.15 - 11.00 | Giacomo Scandolo (University of Firenze) Robustness and sensitivity analysis of risk measurement procedures Presentation |
11.00 - 11.30 | Coffee/Tea |
11.30 - 12.15 | Walter Schachermayer (Technische Universität Wien) Consistent price systems and face-lifting pricing under transaction costs |
12.15 - 13.00 | Miklós Rásonyi (Hungarian Academy of Sciences/Vienna University of Technology) The fundamental theorem of asset pricing for continuous processes under small transaction costs |
13.00 - 14.30 | Lunch |
14.30 - 15.15 | Stefan Ankirchner (Humboldt Universität Berlin) Smoothness of indifference prices and quadratic BSDEs Presentation |
15.15 - 16.00 | Mihai Sîrbu (Columbia University) Asymptotic analysis of utility-based hedging strategies for small number of contingent claims |
16.00 - 16.30 | Coffee/Tea |
16.30 - 17.15 | Vicky Henderson (University of Warwick) Investment timing, incomplete markets & corporate control Presentation |
19.00 | Workshop Dinner at First Coast Restaurant, 99-101 Dalry Road, Edinburgh |
Friday 13 July
09.30 - 10.15 | Thaleia Zariphopoulou (University of Texas at Austin) Forward performance processes and their optimal allocations Presentation |
10.15 - 11.00 | Gordan Zitkovic (University of Texas at Austin) Market equilibria and the stability of demand Presentation |
11.00 - 11.30 | Coffee/Tea |
11.30 - 12.15 | Martijn Pistorius (King's College London) On a simple model for ruin of two insurance companies Presentation |
12.15 - 13.00 | Harry Zheng (Imperial College London) A counterexample of subdifferential valued optimal wealth Presentation |
13.00 - 14.30 | Lunch |
14.30 - 15.15 | David Hobson (University of Warwick) Utility maximisation, discretionary stopping and asset sales Presentation |
15.15 - 15.45 | Coffee/Tea |
Presentations:
Presentation Details | |
---|---|
Ankirchner, Stefan | |
Smoothness of indifference prices and quadratic BSDEs | |
View Abstract | |
Becherer, Dirk | |
Optimal asset liquidation in illiquid markets with finite resiliency | |
View Abstract | |
Björk, Tomas | |
Optimal investments under partial information | |
View Abstract | |
Cox, Alex | |
Robust hedging of options based on the local time | |
View Abstract | |
Föllmer, Hans | |
On the dynamics of convex risk measures | |
View Abstract | |
Friz, Peter | |
On the Black-Scholes implied volatility at extreme strike | |
View Abstract | |
Grasselli, Matheus R | |
Combining real options and games in incomplete markets | |
View Abstract | |
Guo, Xin | |
Connecting singular and switching controls: with applications to (ir)reversible investment | |
View Abstract | |
Henderson, Vicky | |
Investment timing, incomplete markets and corporate control | |
View Abstract | |
Hobson, David | |
Utility maximisation, discretionary stopping and asset sales | |
View Abstract | |
Hurd, Tom R | |
Credit risk models based on time changed Brownian motion | |
View Abstract | |
Johnson, Timothy C | |
The optimal timing of investment decisions | |
View Abstract | |
Kallsen, Jan | |
Mean-variance hedging for jump processes | |
View Abstract | |
Kramkov, Dmitry | |
A model for a large investor who trades at utility indifference prices of market traders | |
View Abstract | |
Lim, Andrew | |
A new duality result for robust and risk-sensitive control | |
View Abstract | |
Lokka, Arne | |
Pricing and hedging of credit derivatives | |
View Abstract | |
Monoyios, Michael | |
Optimal hedging under partial information | |
View Abstract | |
Obloj, Jan | |
Using options to complete markets with stochastic volatility and jumps | |
View Abstract | |
Owen, Mark P | |
Utility-based approaches to asset pricing | |
View Abstract | |
Pham, Huyên | |
Hedging and optimal investment with execution delay | |
Pistorius, Martijn | |
On a simple model for ruin of two insurance companies | |
View Abstract | |
Rásonyi, Miklós | |
The fundamental theorem of asset pricing for continuous processes under small transaction costs (joint work with P. Guasoni and W. Schachermayer) | |
View Abstract | |
Rogers, Chris | |
Illiquidity revisited | |
View Abstract | |
Scandolo, Giacomo | |
Robustness and sensitivity analysis of risk measurement procedures | |
View Abstract | |
Schachermayer, Walter | |
Consistent price systems and face-lifting pricing under transaction costs | |
View Abstract | |
Schweizer, Martin | |
Implied volatilities: where and why not to use them | |
View Abstract | |
Sîrbu, Mihai | |
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims | |
View Abstract | |
Tehranchi, Michael | |
A characterization of dynamic forward utilities | |
View Abstract | |
Wiese, Anke | |
Mean-variance hedging in stochastic volatility models driven by Lévy processes | |
View Abstract | |
Zariphopoulou, Thaleia | |
Forward performance processes and their optimal allocations | |
View Abstract | |
Zervos, Mihail | |
Itô semi-diffusion processes | |
View Abstract | |
Zheng, Harry | |
A counterexample of subdifferential valued optimal wealth | |
View Abstract | |
Zitkovic, Gordan | |
Market equilibria and the stability of demand | |
View Abstract |
Participants
Name | Institution |
---|---|
Ankirchner, Stefan | Humboldt Unversität Berlin |
Bank, Peter | Columbia University |
Becherer, Dirk | Imperial College London |
Björk, Tomas | Stockholm School of Economics |
Cairns, Andrew | Heriot-Watt University |
Cox, Alex | University of Bath |
Drapeau, Samuel | University of Berlin |
Föllmer, Hans | Humboldt Universität Berlin |
Frittelli, Marco | Università degli Studi di Milano |
Friz, Peter | TU Berlin |
Grasselli, Matheus R | McMaster University |
Guo, Xin | University of California, Berkeley |
Henderson, Vicky | Warwick Business School |
Hobson, David | University of Warwick |
Hurd, Tom R | McMaster University |
Johnson, Timothy C | Heriot-Watt University |
Kallsen, Jan | Technische Universität München |
Kramkov, Dmitry | Carnegie Mellon University |
Lim, Andrew | University of California, Berkeley |
Lokka, Arne | King's College London |
Monoyios, Michael | University of Oxford |
Obloj, Jan | Imperial College London |
Owen, Mark P | Heriot-Watt University |
Pham, Huyên | Université Paris 7 Diderot |
Pistorius, Martijn | Imperial College London |
Rásonyi, Miklós | Hungarian Academy of Sciences/Vienna University of Technology |
Rogers, Chris | University of Cambridge |
Scandolo, Giacomo | University of Firenze |
Schachermayer, Walter | Vienna University of Technology |
Schweizer, Martin | ETH Zurich |
Sîrbu, Mihai | Columbia University |
Tehranchi, Michael | University of Cambridge |
Wiese, Anke | Heriot-Watt University |
Zariphopoulou, Thaleia | University of Texas at Austin |
Zervos, Mihail | London School of Economics |
Zheng, Harry | Imperial College London |
Zitkovic, Gordan | University of Texas at Austin |