Seminar Paolo Di Tella – Feb 11, 2020

Feb 11 2020

Paolo Di Tella – Technische Universitat – Dresden

Semistatic and sparse variance-optimal hedging

Tuesday February 11, 2020, 10:30 am – “Aula Seminari MOX” VI Floor

Abstract

We consider the problem of hedging a contingent claim with a “semistatic” strategy composed of a dynamic position in one asset and static (buy?and?hold) positions in other assets. We give general representations of the optimal strategy and the hedging error under the criterion of variance optimality and provide tractable formulas using Fourier integration in case of the Heston model. We also consider the problem of optimally selecting a sparse semistatic hedging strategy, i.e., a strategy that only uses a small subset of available hedging assets and discuss parallels to the variable?selection problem in linear regression. The methods developed are illustrated in an extended numerical example where we compute a sparse semistatic hedge for a variance swap using European options as static hedging assets. (Joint work with M. Haubold, M. Keller-Ressel)

Seminar Martin Glanzer (University of Vienna) – Jan 21, 2020

Jan 21 2020

Si avvisa che in data 21/1/2020, alle ore 11:00 precise, presso Aula Seminari Terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Stochastic Optimization with Multiple Time Scales

Relatore: Martin Glanzer, University of Vienna

Abstract:
Real-world multistage stochastic optimization problems are often characterized by the fact that the decision maker may take actions only at specific points in time, even if relevant data can be observed much more frequently. In such a case there are not only multiple decision stages present but also several observation periods between consecutive decisions, where profits/costs occur contingent on the stochastic evolution of some uncertainty factors. We present a tailor-made modeling framework for such problems, which allows for a computationally efficient solution. We first establish new results related to the approximation of (Markovian) stochastic processes by scenario lattices. In a second step, we incorporate the multiscale feature by leveraging the theory of stochastic bridge processes. The ingredients to our proposed modeling framework are elaborated explicitly for various popular examples, including both diffusion and jump models. In particular, we present new results related to the simulation of compound Poisson bridges. Finally, we discuss a valuation problem of a thermal power plant, where implementing our multiscale modeling framework turned out to be particularly convenient. If time permits, we incorporate model ambiguity into the power plant valuation problem and show some numerical results.

Seminar Omar El Euch October 22nd, 2019

Oct 22 2019

Si avvisa che in data 22/10/2019, alle ore 14:15 , presso Aula seminari del terzo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario:

Titolo: Pricing and hedging in rough Heston models
Relatore: Omar El Euch, Spire Europe Limited

Seminar: Prof. Peter Carr (New York University), September 13th 2019

Sep 13 2019

Si avvisa che in data 13/09/2019, alle ore 12:15 , presso la sala consiglio del settimo piano, nell’ambito delle iniziative della sezione di Finanza Quantitativa, si svolgerà il seguente seminario con:

Titolo: Algebraic Option Pricing
Relatore: Prof. Peter Carr, New York University

Abstract:
Optionality arises whenever an investor can choose between owning either of two
assets. We treat the value of optionality as a modified sum. We then explore
options on options as sums of sums. This viewpoint allows us to derive a simple
closed form formula for a Bermudan option.

Percorso executive in Finanza Quantitativa

Jun 25 2019

La 10^ edizione del Percorso executive in Finanza Quantitativa si rivolge a neolaureati e laureandi in discipline scientifiche, economiche, finanziarie e aprofessionisti del settore che desiderano acquisire ed aggiornare le proprie competenze per poter operare all’interno dei vari ambiti della finanza quantitativa: gestione dei portafogli, valutazione dei prodotti finanziari,trading e gestione del rischio.

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