Activities

VIF Brown Bag Seminar (Wednesday, 14:00-15:00, SR 5th Floor)

The VIF Brown Bag Seminar is a platform where associated and visiting researchers talk about their ongoing research. The meeting is informal and results may be preliminary.

Upcoming talks

Past talks

• September, 24th
  
  Speaker: Andrea Macrina (King's College London & Kyoto University)
  
  Talk: "Heat Kernel Models for Information-Sensitive Interest Rates"
  
  Abstract: We propose a framework for the dynamics of the pricing kernel based on a heat kernel approach under incomplete information. A so-called propagator is introduced that we define by a function of time and the information about economic factors which is available to market participants. The partial market information is modelled by a wide class of continuous time-inhomogeneous Markov processes which may also include jumps. The constructed pricing kernel models are used to price discount bonds and interest rate derivatives in closed form. We then consider pricing kernels for multivariate assets. Here partial information may also be modelled by time-inhomogeneous Markov processes with different distributions. The multivariate models produce naturally correlated asset prices which include stochastic interest rates in their dynamics.
  
  (Joint work with Jiro Akahori, Ritsumeikan University)
  
  
• August, 27th
  
  Speaker: Thorsten Schmidt (Technical University of Chemnitz, Germany)
  
  Talk: "Market Models for CDOs with Statistics in View"
  
  Abstract: The credit crisis showed the importance of sophisticated modelling of credit portfolio products. Our starting point is the dynamic modelling of collateralized debt obligations from Filipovic, Overbeck and Schmidt (2009). However, we assume that only CDOs with certain maturities are traded and analyse conditions for absence of arbitrage and the pricing of derivatives. As market data consists only of CDOs for a fixed number of maturities, this step is crucial for statistics and calibration.
  
  This is joint work with Zorana Grbac.
  
  
• July, 15th
  
  Speaker: Tom Hurd (McMaster University, Canada)
  
  Talk: "Structural models for credit and equity"
  
  Abstract: We extend the structural credit modelling approach of Black and Cox to a unification of equity products (written on the stock price) and credit products like bonds and credit default swaps (CDS). This ``hybrid'' model and its extensions involving time-changed Brownian motions are capable of reproducing well known equity models such as the variance gamma model, at the same time producing the stylized facts about default stemming from structural models of credit.
  
  
• June, 25th
  
  Speaker: Markus Riedle (University of Manchester)
  
  Talk: "Cylindrical Wiener and Lévy processes"
  
  Abstract:
  
  Cylindrical Wiener processes are a well known and often used source of random noise for models in infinite dimensional spaces. In this talk we use the classical theory of cylindrical processes and cylindrical measures to define cylindrical Wiener processes and we relate this approach to the more common definitions in literature. Once we have seen the charm of this approach we define analogously cylindrical Lévy processes.
  
  The cylindrical approach allows a straightforward definition of a stochastic integral in both cases of a cylindrical Wiener and cylindrical Lévy process without any geometric constraints on the underlying Banach space. We use this integral to develop a theory of cylindrical differential equations and demonstrate its practicalness by presenting some basic facts on the cylindrical Ornstein-Uhlenbeck process driven by a cylindrical Lévy process.
  
  (This is joint work with Dave Applebaum)
  
  
• May, 27th
  
  Speaker: Emanuela Rosazza Gianin
  
  Talk: "Representation of the penalty term of dynamic time-consistent convex risk measures" (joint work with F. Delbaen and S. Peng)
  
  Abstract:
  
  Starting from the well known representation of dynamic convex risk measures, in a Brownian setting with finite horizon we will provide a characterization of the penalty functional in such a representation.
  
  More precisely, such a characterization is deduced by applying the theory of Backward Stochastic Differential Equations (in particular, of the so called g-expectations) and by the fact that the minimal penalty term admits a càdlàg modification.
  
  
• May, 20th
  
  Speaker: Michael Kupper
  
  Talk: "Quasi-Convex Risk Measures"
  
  Abstract: We study complete quasi-convex duality theory in the spirit of Cerreia et al.. As an application, a dual representation result for quasi-convex risk measures is given. The results are illustrated by several examples. It is based on joint work with Samuel Drapeau.
  
  
• April, 29th
  
  Speakers: Ronald Hochreiter and David Wozabal (University of Vienna)
  
  Talk: "A Coupled Markov Chain Approach to Risk Analysis of Credit Default Swap Index Products"
  
  
• April, 22nd
  
  Speaker: Vilimir Yordanov
  
  Talk: "Dynamic CDO modeling"
  
  
• February, 25th
  
  Speaker: Gregor Svindland
  
  Talk: "Optimal Risk Sharing with Different Reference Probabilities"
  
  Abstract: We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a theoretical point of view, and give sufficient conditions for the existence of Pareto optimal allocations in this framework. Our results are illustrated by several examples.
  
  
• February, 4th
  
  Speaker: Nicolas Vogelpoth
  
  Talk: "Approaches to Conditional Risk"
  
  
• December, 10th
  
  Speaker: Robert Stelzer
  
  Talk: "Multivariate Levy driven Stochastic Volatility Models - OU type and COGARCH"
  
  Abstract: Multivariate extensions of two continuous time stochastic volatility models driven by Levy processes - the Ornstein-Uhlenbeck type and the COGARCH model - are introduced. First, Ornstein-Uhlenbeck type processes taking values in the positive semi-definite matrices are defined using matrix subordinators (special matrix-valued Levy processes) and a special class of linear operators. Naturally these processes can be used to describe the random evolvement of a covariance matrix over time and we therefore use them in order to define a multivariate stochastic volatility model for financial data which generalises the popular univariate model introduced by Barndorff-Nielsen and Shephard. For this model we show that the conditional characteristic function can be calculated explicitly and is affine in the initial values, which illustrates that the model is affine with the state space being the product of the d-dimensional Euclidean space and the positive semi-definite matrices. Moreover, we derive results regarding the second order structure, especially regarding the returns and squared returns, which leads to a GMM estimation scheme. Finally, we discuss extensions allowing to model long memory phenomena. Thereafter, an alternative stochastic volatility model driven only by a single d-dimensional Lévy process - the multivariate COGARCH process - is introduced and analysed. After giving conditions for the finiteness of moments and the existence of stationary distributions for the volatility process, we establish asymptotic second order stationarity and show that the log-returns over consecutive intervals of the same length have the autocovariance structure of an ARMA(1,1) process.
• November, 12th
  
  Speaker: Samuel Drapeau
  
  Talk: "Conditional Robust Utility Representation",
  
  Abstract: "Many problems arise when looking at dynamic risk measures or utility optimization concerning the intertemporal consistency behavior. We will first look at some results enlightening this problematic. Then, in order to get a better insight, we will come back to the axiomatic level of preference orders and their related robust representation in a dynamic setting."
  
  
• (Monday) October, 20th (14:00, Seminar Room 4)
  
  Speaker: Mike Ludkovski
  
  Talk: "Optimal Risk Sharing under Distorted Probabilities",
  
  Abstract: "We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing house for the agents. Risk sharing under third-party constraints is also considered. We obtain an explicit formula for Pareto optimal allocations. In particular, we find that a stop-loss or deductible risk sharing is optimal in the case of two agents and several common distortion functions. This extends recent result of Jouini et al. (2006) to the problem with unbounded risks and market frictions. This is joint work with Jenny Young (U of Michigan)."
  
  
• September, 24th
  
  Speaker: Barbara Rüdiger
  
  Talk: "Existence and uniqueness of solutions of infinite dimensional stochastic differential equations".
  
  
• August, 6th
  
  Speaker: Eberhard Mayerhofer
  
  Talk: "Order preserving semi-flows",
  
  Abstract: "We discuss well known theorems characterizing order preserving semi-flows on convex subset of n-dimensional euclidean space."
  
  
• July, 2nd
  
  Speaker: Gregor Svindland
  
  Talk: "Sigma-additive equilibrium pricing rules for law-invariant convex risk measures".
  
  
• June, 25th
  
  Speaker: Eberhard Mayerhofer (jointly with Christa Cuchiero)
  
  Talk: "Affine processes with matrix state-space",
  
  
• June, 4th
  
  Speaker: Eberhard Mayerhofer
  
  Talk: "Simplifying diffusion functions of affine processes",
  
  Abstract: "We characterize the Dai-Singleton class of affine models within the general affine framework (Duffie, Filipovic and Schachermayer)."
  
  
• (Thursday) May, 29th
  
  Speaker: Andrea Macrina (King's College London)
  
  Talk: "Dynamic Forward State Price Surfaces",
  
  
• May, 14th
  
  Speaker: Damir Filipovic
  
  Talk: "Dynamic CDO Term Structure Modelling", paper
  
  
• May, 7th
  
  Speaker: Zehra Eksi
  
  Talk: "Inflation Linked Derivatives: Pricing Model for a Multi-Country Setting"
  
  
• April 23rd
  
  Speaker: Michael Kupper
  
  Talk: "On Law Invariant Time Consistent Functions"
  
  Abstract: We show that every dynamic risk measure which is law invariant and time consistent is the entropic one. Moreover, every normalized, strictly monotone, continuous, law invariant and time consistent function on the space of bounded random variables is of the form u^{-1}(E[u(X)]) for some strictly increasing, continuous function u. It is joint work with Walter Schachermayer.
  
  
• April 2nd
  
  Speaker: Irina Slinko
  
  Talk: "Joint term structures of nominal and real interest rates in a two-country setting"
  
  
• March 5th
  
  Speaker: Vilimir Yordanov
  
  Talk: "Multicurrency Sovereign Bonds Arbitrage".

• February 27th
  
  Speaker: Martin Keller-Ressel
  
  Talk: "An alternative approach to affine processes and sufficient conditions for regularity"
  
  Abstract: In this talk I will present some preliminary results from my current research.
  The first part deals with an alternative proof for one of the main results of Duffie,
  Filipovic & Schachermayer (2003) -- the characterization of a regular affine process in
  terms of the admissible parameters. The proof should be especially appealing for people
  familiar with Levy processes or infinite divisibility. In the second part of the talk
  some sufficient conditions for regularity of an affine process are discussed.
  

Copyright © 2008 VIENNA INSTITUTE OF FINANCE · www.vif.ac.at