None scheduled, Due to Mathematical Finance and Partial Differential Equations Conference
"Off-site One Day Conference"
Time: 8:00 AM
Location: Heldrich Hotel, New Brunswick
Abstract: Mathematical Finance and Partial Differential Equations Conference
Time: Friday, 8:00 am - 8:00 pm
Location: Heldrich Hotel, New Brunswick
No Seminar due to conference. The Mathematical Finance Program is sponsoring a one-day conference on mathematical
finance, computational finance and partial differential equations at the Heldrich Hotel, New Brunswick, New Jersey.
The conference will be of interest to academic and industry researchers alike.
Please visit the conference website for details.
Tuesday, November 24th
Lingfei Li, Northwestern University
"Commodity Derivatives Models with Mean-Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach"
Time: 1:45 PM
Location: Hill 705
Abstract: We construct a novel class of pure jump and jump-diffusion commodity models with state dependent mean-reverting jumps and stochastic volatility by applying time changes to the classical commodity models based on mean-reverting diffusions. The initial futures curve is an input into the model, and the dynamics of the futures curves over time exhibits mean-reverting jumps and stochastic volatility. Time inhomogeneous behavior such as seasonality can also be modeled by applying a deterministic time change. We obtain analytical solutions for the pricing of commodity options on futures through the spectral expansion methodology. The models are flexible enough to capture a variety of implied volatility smile patterns observed in energy, metals, and agricultural commodities futures options. This is joint work with Vadim Linetsky.
Friday, November 6th
Viorel Costeanu, JP Morgan Chase
"Hybrid Monte Carlo"
Time: 3:00 PM
Location: Hill 525
Abstract: We describe a method that combines Monte Carlo and numerical quadrature.
Tuesday, October 27th
Jose Figueroa-Lopez, Purdue University
"Nonparametric Estimation of Time-Changed Levy Models"
Time: 1:45 PM
Location: Hill 525
Abstract: Volatility clustering and leverage are two of the most prominent features of the dynamics of asset prices. In order to incorporate these features as well as the typical fat-tails of the return distributions, several types of exponential Levy models with random clocks have been proposed in the literature. In this talk we study the problem of estimating the parameters controlling the jump behavior of the process as well as the underlying random clock. We obtain consistent estimation of the relevant parameters when both the sampling time-horizon and frequency get larger. The performance of the estimators is illustrated by MC simulations and empirically.
Tuesday, October 13th
Moustapha Pemy, Towson University
"Liquidation of a large block of stock with regime switching"
Time: 1:45 PM
Location: Hill 705
Abstract: Stock-selling rules are mainly concerned with liquidation of the security within a short period of time. In practice, this is feasible when a relatively smaller number of shares of a stock is involved. Selling a large position in a market place normally depresses the market if sold in a short period of time, which would result in poor filling prices. Comparing to the existing results in the literature, this work has two distinct features. First, the underlying stock price is modeled using a geometric Brownian motion formulation with regime switching in which the jump rate depends on the selling intensity. Secondly, we consider the liquidation strategy for selling a large block of stock by selling much smaller number of shares over a longer period of time. By using a fluid model, in which the number of shares is treated as fluid (continuous), we treat the selling rule problem where the corresponding liquidation is dictated by the rate of selling over time. Our objective is to maximize the expected overall return. Thus it may be formulated as a stochastic control problem with state constraints. Method viscosity solution is used to characterize the dynamics governing the optimal reward function and the associated boundary conditions. Numerical examples are reported.
Friday, October 2nd
Petter Kolm, NYU
"Algorithmic Trading: A Buy-Side Perspective"
Time: 3:00 PM
Location: Hill 525
Abstract: The traditional view of portfolio construction, risk analysis, and execution holds that these three functions of money management are separable. Portfolios are constructed without incorporating the costs of execution, and execution is conducted without considering portfolio level risk. This is of course suboptimal. With the explosive growth of algorithmic trading, several mathematical and computational methodologies have been proposed for unifying and improving traditional money management functions. This presentation addresses important developments in this area, including:
·Incorporating market impact costs into portfolio optimization
·Multi-period dynamic portfolio analysis
·High-frequency simulation for dynamic portfolio analysis
·The high-frequency arms race (time permitting)
Tuesday, September 29th
Erhan Bayraktar, University of Michigan
"Strict Local Martingale Deflators and Pricing American Call-Type Options"
Time: 1:45 PM
Location: Hill 705
Abstract: We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
Joint work with Kostas Kardaras and Hao Xing.
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