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Autumn Semester 2023

Date / Time Speaker Title Location
7 September 2023
17:15-18:15		 Dr. David Itkin
Imperial College London
Event Details

Talks in Financial and Insurance Mathematics

Title Rank-based volatility stabilized models for equity markets
Speaker, Affiliation Dr. David Itkin,Imperial College London
Date, Time 7 September 2023, 17:15-18:15
Location HG G 43
Abstract Building on the previously proposed volatility stabilized models (Fernholz & Karatzas, 2005) in the framework of stochastic portfolio theory, we propose a rank-based extension to model an equity market over long time horizons. In this extended model, a collection of d stock capitalizations is driven by rank-dependent drift and diffusions coefficients normalized by their inverse market weight. Under an explicit condition on the parameters, we establish global weak existence to the market weight system as well as ergodicity of the induced ranked market weights. We also establish uniqueness of the reflected stochastic differential equation that the ranked system satisfies. Moreover, we show that the model admits relative arbitrage; that is the market portfolio can be outperformed with probability one in finite time. We then calibrate the model to three stable features of US equity data: (i) volatility of the ranked market capitalizations, (ii) frequency and intensity of "collisions" (i.e. changes in rank) and (iii) the capital distribution curve. Despite having only two parameters per asset to fit three distinct criteria, we are able to show that the model parsimoniously fits these stylized features of long-term US equity modelling. To the best of our knowledge this is the first model exhibiting relative arbitrage that has statistically been shown to have a good quantitative fit with the empirically estimable features (i)-(iii) above. We also generate simulated sample paths of the calibrated model and compare them to historical trajectories, both in and out of sample. Based on joint work in progress with Martin Larsson.
Rank-based volatility stabilized models for equity marketsread_more
HG G 43
15 September 2023
14:00-18:25
Event Details

Talks in Financial and Insurance Mathematics

Title Risk Day
Speaker, Affiliation
Date, Time 15 September 2023, 14:00-18:25
Location HG E 7
更多的信息 https://risklab.ethz.ch/news-and-events/risk-day.html
Risk Dayread_more
HG E 7
18 September 2023
17:15-18:15		 Prof. Dr. Dacheng Xiu
Booth School of Business, University of Chicago
Event Details

Talks in Financial and Insurance Mathematics

Title The Statistical Limit of Arbitrage
Speaker, Affiliation Prof. Dr. Dacheng Xiu,Booth School of Business, University of Chicago
Date, Time 18 September 2023, 17:15-18:15
Location HG D 3.2
更多的信息 https://finsuretech.ethz.ch/events/finsuretech-talks-.html
The Statistical Limit of Arbitrageread_more
HG D 3.2
21 September 2023
17:15-18:15
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 21 September 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
28 September 2023
17:30-19:00
Event Details

Talks in Financial and Insurance Mathematics

Title Karl Brunner Distinguished Lecture
Speaker, Affiliation
Date, Time 28 September 2023, 17:30-19:00
Location HG F 30
Karl Brunner Distinguished Lecture
HG F 30
5摄氏度tober 2023
17:15-18:15		 Prof. Dr. Marcus C. Christiansen
Universität Oldenburg
Event Details

Talks in Financial and Insurance Mathematics

Title A journey through multi-state modelling in life insurance
Speaker, Affiliation Prof. Dr. Marcus C. Christiansen,Universität Oldenburg
Date, Time 5 2023年10月,17岁:15-18:15
Location HG G 43
Abstract What is the probabilistic core of life insurance modelling? What kind of mathematical objects are premiums and reserves? Which modelling assumptions are really necessary and which are not? The presentation will take the audience on a journey through old concepts and modern interpretations. Traditions will be challenged and alternative views presented.
A journey through multi-state modelling in life insuranceread_more
HG G 43
12 October 2023
17:15-18:15		 Prof. Dr. Benjamin Jourdain
CERMICS
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Benjamin Jourdain,CERMICS
Date, Time 12 October 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
19 October 2023
17:15-18:15		 Dr. Eyal Neuman
Imperial College London
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Dr. Eyal Neuman,Imperial College London
Date, Time 19 October 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
26 October 2023
17:15-18:15		 Prof. Dr. Ying Chen
National University of Singapore
Event Details

Talks in Financial and Insurance Mathematics

Title Optimal Market Making under Model Uncertainty: A Robust Reinforcement Learning Approach
Speaker, Affiliation Prof. Dr. Ying Chen,National University of Singapore
Date, Time 26 October 2023, 17:15-18:15
Location HG G 43
Abstract We study the optimal market making problem in order-driven electronic markets, with a focus on model uncertainty. We consider ambiguity in order arrival intensities and derive a robust strategy that can perform under various market conditions. To achieve this, we introduce a tractable model for the limit order book using Markov Decision Processes and develop robust Reinforcement Learning to solve the complex optimization problem. This approach enables us to accurately represent the order book dynamics with tick structures, as opposed to the usual price dynamics modeled in stochastic approaches. This is a joint work with Hoang Hai Tran, Julian Sester and Yijiong Zhang.
Optimal Market Making under Model Uncertainty: A Robust Reinforcement Learning Approachread_more
HG G 43
2 November 2023
17:15-18:15		 Prof. Dr. Alexander McNeil
University of York
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Alexander McNeil,University of York
Date, Time 2023年11月2日,17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
9 November 2023
17:15-18:15		 Prof. Dr. Andrea Macrina
University College London
Prof. Dr. Miquel Oliu Barton
Université Paris Dauphine
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Andrea Macrina,University College London
Prof. Dr. Miquel Oliu Barton,Université Paris Dauphine
Date, Time 9 November 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
2023年11月16日
17:15-18:15		 Prof. Dr. Denis Belomestny
Duisburg-Essen University
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Denis Belomestny,Duisburg-Essen University
Date, Time 2023年11月16日, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
23 November 2023
17:15-18:15		 Prof. Dr. Sergio Pulido
ENSIIE, Évry, France
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Sergio Pulido,ENSIIE, Évry, France
Date, Time 23 November 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
30 November 2023
17:15-18:15		 Prof. Dr. Anthony Réveillac
INSA Toulouse
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Prof. Dr. Anthony Réveillac,INSA Toulouse
Date, Time 30 November 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
7 December 2023
17:15-18:15		 Nicola Muça Cirone
Imperial College London
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation Nicola Muça Cirone,Imperial College London
Date, Time 7 December 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
14 December 2023
17:15-18:15
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 14 December 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43
21 December 2023
17:15-18:15
Event Details

Talks in Financial and Insurance Mathematics

Title Title T.B.A.
Speaker, Affiliation
Date, Time 21 December 2023, 17:15-18:15
Location HG G 43
Title T.B.A.
HG G 43

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