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


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

Time: 16:30-17:30

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

Title: TBC

Abstract: TBC


Speaker:  Marek Musiela, University of Oxford

Time: 17:45-18:45

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

Title: TBC

Abstract: TBC


Date: 6 November 2014

Speaker: Martin Schweizer, ETH Zurich

Time: 16:30-17:30

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

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

Title: TBC

Abstract: TBC


Date: 20 November 2014

Speaker: Gordan Zitkovic, University of Texas at Austin

Time: 16:30-17:30

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

Title: TBC

Abstract: TBC


Speaker: TBC

Time: 17:45-18:45

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

Title: TBC

Abstract: TBC


Date: 4 December 2014

Speaker: Ragnar Norberg, University Lyon 1

Time: 16:30-17:30

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

Title: TBC

Abstract: TBC


Speaker: Michael Kupper, University of Konstanz

Time: 17:45-18:45

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

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

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

Title: TBC

Abstract: TBC