### The 2014-15 London Mathematical Finance Seminar Series will be hosted by King's College London in the first term of the academic session.

To subscribe the seminar email list: https://mailman.kcl.ac.uk/mailman/listinfo/fm-seminars-a

**Date: 9 October 2014**

**Speaker: Sam Cohen, University of Oxford **

Time: 16:30-17:30

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: **Ergodic BSDEs with Lévy noise and time dependence**

Abstract: In many control situations, particularly over the very long term, it is sensible to consider the ergodic value of some payoff. In this talk, we shall see how this can be studied in a weak formulation, using the theory of ergodic BSDEs. In particular, we shall consider the case where the underlying stochastic system is infinite dimensional, has Lévy-type jumps, and is not autonomous. We shall also see how this type of equation naturally arises in the valuation of a power plant.

**Speaker: Sergei Levendorskiy, University of Leicester**

Time: 17:45-18:45

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: **Efficient Laplace and Fourier inversions and Wiener-Hopf factorization in financial applications**

Abstract: A family of (quasi-) parabolic contour deformations increases the speed and accuracy of calculation of fairly complicated oscillatory integrals in option pricing formulas in many cases when standard approaches are either too slow or inaccurate or both. Variations: quasi-asymptotic formulas that are simple and much faster than general formulas, and which, for typical parameter values, are fairly accurate starting from relatively small distances from the barrier and maturities more than a year. When several Laplace and Fourier inversions are needed, it is necessary to use a family of contour transformations more flexible than Talbot's deformation of the contour in the Bromwich integral. Further step in a general program of study of the efficiency of combinations of one-dimensional inverse transforms for high-dimensional inversions [Abate-Whitt, Abate-Valko and others].

Calculations of Greeks and pdf can be made much more accurate; the latter can be used for fast Monte-Carlo simulations (faster than Madan-Yor method). Examples when insufficiently accurate pricing procedures may prevent one to see a good model (“sundial calibration”) or to see a local minimum of the calibration error when there is none, and the model may be unsuitable (“ghost calibration”) will be presented.

**Date: 23 October 2014**

**Speaker: Jan Kallsen, University of Kiel**

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: **On portfolio optimization and indifference pricing with small transaction costs **

Abstract: Portfolio Optimization problems with frictions as e.g. transaction costs are hard to solve explicitly. In the limit of small friction, solutions are often of much simpler structure. In the last twenty years, considerable progress has been made both in order to derive formal asymptotics as well as rigorous proofs. However, the latter usually rely on rather strong regularity conditions, which are hard to verify in concrete models. Some effort is still needed to make the results really applicable in practice. This talk is about a step in this direction. More specifically, we discuss portfolio optimization for exponential utility under small proportional transaction costs. As an example, we reconsider the Whalley-Willmott results of utility-based pricing and hedging in the Black-Scholes model. We relax the conditions required by Bichuch who gave a rigorous proof for smooth payoffs under sufficiently small risk aversion.

**Speaker: Martijn Pistorius, Imperial College London**

Time: 17:45-18:45

Title: *Optimal time to sell a stock with a jump to default *

Abstract: We consider the problem of identifying the optimal time to sell a defaultable asset in the sense of minimizing the "prophet's drawdown" which is the ratio of the ultimate maximum (up to a random default time) and the value of the asset price at the moment of sale. We assume that default occurs at a constant rate, and that at the moment of default there is a random recovery value of $\rho(100)\%$. This problem is transformed to an optimal stopping problem, which we solve explicitly in the case that the asset price before default is modelled by a spectrally negative exponential Levy process. This is joint work with A. Mijiatovic.

**Date: 6 November 2014**

**Speaker: Martin Schweizer, ETH Zurich**

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: TBC

Abstract: TBC

**Speaker: Knut Aase, Norwegian School of Economics**

Time: 17:45-18:45

Title: *Beyond the local mean-variance analysis in dynamic economics: Recursive utility etc *

Abstract: I derive the equilibrium interest rate and risk premiums using recursive utility for jump-diffusions. Compared to to the continuous version, including jumps allows for a separate risk aversion related to jump size risk in addition to risk aversion related to the continuous part. We consider the version of recursive utility which gives the most unambiguous separation of risk preference from time substitution, and use the stochastic maximum principle to analyze the model. This method uses forward/backward stochastic differential equations. The model with jumps is shown to have a potential to give better explanation of empirical regularities than the recursive models based on merely continuous dynamics. Deviations from normality in the conventional model are also treated.

**Date: 20 November 2014**

**Speaker: Gordan Zitkovic, University of Texas at Austin**

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: TBC

Abstract: TBC

**Speaker: TBC**

Time: 17:45-18:45

Title: TBC

Abstract: TBC

**Date: 4 December 2014**

**Speaker: Ragnar Norberg, University Lyon 1**

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: *On Marked Point Processes: Modelling, Stochastic Calculus, and Computational Issues*

Abstract: The talk starts with a friendly introduction to marked point processes and their associated counting processes and martingales. Then it proceeds to three distinct, still intertwined, aspects of the theory: *Modelling* is a matter of specifying the intensities, which are the fundamental model entities with a clear interpretation as instantaneous transition probabilities; *Prediction* is a matter of calculating conditional expected values of functionals of the process, which involves stochastic calculus (can be made simple); *Computation* is a matter of solving Ordinary or Partial Integral-Differential Equations, looking for shortcuts (ODEs replacing PDEs) and looking out for pitfalls (non-smoothness points that cannot be detected by inspection of the equations). The unifying powers and the versatility of the model framework are demonstrated with examples from risk theory, life insurance, and non-life insurance.

**Speaker: ****Michael Kupper, University of Konstanz**

Time: 17:45-18:45

Title: TBC

Abstract: TBC

**Date: 11 December 2014**

**Speaker: ****Peter Imkeller, Humboldt University Berlin**

Time: 16:30-17:30

Place: Strand Campus, S-1.27 (1st basement, Strand Building)

Title: TBC

Abstract: TBC

**Speaker: Steven Kou, National University of Singapore**

Time: 17:45-18:45

Title: TBC

Abstract: TBC