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X-WR-CALNAME:Mathematical Finance
X-ORIGINAL-URL:https://www.math.ttu.edu/mathematicalfinance
X-WR-CALDESC:Events for Mathematical Finance
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TZID:America/Chicago
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TZOFFSETFROM:-0600
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DTSTART:20240310T080000
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DTSTART:20241103T070000
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DTSTART;TZID=America/Chicago:20240112T120000
DTEND;TZID=America/Chicago:20240112T130000
DTSTAMP:20260410T044132
CREATED:20231122T181152Z
LAST-MODIFIED:20231205T191625Z
UID:1252-1705060800-1705064400@www.math.ttu.edu
SUMMARY:Convergence of the fixed-point iteration for the Bass Local Volatility model
DESCRIPTION:Speaker Dr. Gudmund Pammer\, Dept. of Mathematics\, ETH Zürich \nAbstract: The Bass local volatility model introduced by Backhoff-Veraguas–Beiglböck–Huesmann–Källblad is a Markov model perfectly calibrated to vanilla options at finitely many maturities\, that approximates the Dupire local volatility model. Conze and Henry-Labordère show that its calibration can be achieved by solving a fixed-point nonlinear integral equation. We complement the analysis and show\, under suitable assumptions\, existence and uniqueness of the solution to this equation\, and establish that the fixed-point iteration scheme converges at linear rate. \nThe talk is based on joint work with Beatrice Acciaio and Antonio Marini.
URL:https://www.math.ttu.edu/mathematicalfinance/event/convergence-of-the-fixed-point-iteration-for-the-bass-local-volatility-model/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/12/pammer-scaled.jpg
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240119T120000
DTEND;TZID=America/Chicago:20240119T130000
DTSTAMP:20260410T044132
CREATED:20231113T163912Z
LAST-MODIFIED:20231113T164137Z
UID:1201-1705665600-1705669200@www.math.ttu.edu
SUMMARY:Risk budgeting portfolios: Existence and computation
DESCRIPTION:Speaker:  Prof. Olivier Guéant\, Department of Applied Mathematics\, Université Paris 1 Panthéon-Sorbonne \n Abstract:  Modern portfolio theory has provided for decades the main framework for optimizing portfolios. Because of its sensitivity to small changes in input parameters\, especially expected returns\, the mean-variance framework proposed by Markowitz (1952) has however been challenged by new construction methods that are purely based on risk. Among risk-based methods\, the most popular ones are Minimum Variance\, Maximum Diversification\, and Risk Budgeting (especially Equal Risk Contribution) portfolios. Despite some drawbacks\, Risk Budgeting is particularly attracting because of its versatility: based on Euler’s homogeneous function theorem\, it can indeed be used with a wide range of risk measures. This paper presents mathematical results regarding the existence and the uniqueness of Risk Budgeting portfolios for a very wide spectrum of risk measures and shows that\, for many of them\, computing the weights of Risk Budgeting portfolios only requires a standard stochastic algorithm.
URL:https://www.math.ttu.edu/mathematicalfinance/event/risk-budgeting-portfolios-existence-and-computation/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/gueant.jpg
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BEGIN:VEVENT
DTSTART;TZID=America/Chicago:20240126T120000
DTEND;TZID=America/Chicago:20240126T130000
DTSTAMP:20260410T044132
CREATED:20231114T173732Z
LAST-MODIFIED:20231115T151421Z
UID:1214-1706270400-1706274000@www.math.ttu.edu
SUMMARY:On subordinated generalizations of 3 classical models of option pricing
DESCRIPTION:Speaker: Dr. Grzegorz Krzyżanowski\, Hugo Steinhaus Center\, Faculty of Pure and Applied Mathematics\, Wroclaw University of Science and Technology \nAbstract: We will investigate the relation between Bachelier and Black-Scholes models driven by the infinitely divisible inverse subordinators. Such models\, in contrast to their classical equivalents\, can be used in markets where periods of stagnation are observed. We will introduce the subordinated Cox-Ross-Rubinstein model and prove that the price of the underlying in that model converges in distribution and in Skorokhod space to the price of underlying in the subordinated Black-Scholes model. Motivated by this fact we will price the selected option contracts using the binomial trees. The comparison to other numerical methods will be provided.
URL:https://www.math.ttu.edu/mathematicalfinance/event/on-subordinated-generalizations-of-3-classical-models-of-option-pricing/
LOCATION:via Zoom
CATEGORIES:Seminars,Spring 2024
ATTACH;FMTTYPE=image/jpeg:https://www.math.ttu.edu/mathematicalfinance/wp-content/uploads/2023/11/gk-scaled.jpg
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