Серия встреч с ведущими российскими и зарубежными учеными в области финансовой и актуарной математики
За три года работы семинар стал ключевым событием финансовой математики в России
Формат: онлайн
Язык: русский / английский
Более 50 спикеров
Докладчики — ведущие мировые ученые и специалисты из индустрии
География экспертов и слушателей — от Лос-Анджелеса до Сиднея
Семинар является открытым для всех, кому интересна финансовая математика
Кабанов Юрий Михайлович
д.ф.-м.н., профессор
Председатель Совета директоров
Научный директор Фонда
Член Academia Europaea

21 | 10 | 2023
Константин Боровков
Parisian ruin with random deficit-dependent delays for spectrally negative Lévy processes
13:00 (МСК)
University of Melbourne

We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative Lévy process. The distinctive feature of this extension is that the distribution of the random implementation delay windows’ lengths can depend on the deficit at the epochs when the risk reserve process turns negative, starting a new negative excursion. This includes the possibility of an immediate ruin when the deficit hits a certain subset. In this general setting, we derive a closed-form expression for the Parisian ruin probability and the joint Laplace transform of the Parisian ruin time and the deficit at ruin.
28 | 10 | 2023
Масааки Фукасава
Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers
13:00 (МСК)
Osaka University

We consider Geometric Mean Market Makers — a special type of Decentralized Exchange — with two types of users: liquidity takers and arbitrageurs. Liquidity takers trade at prices that can create arbitrage opportunities, while arbitrageurs align the exchange's price with the external market price. We show that in Geometric Mean Market Makers charging proportional transaction fees, Impermanent Loss can be super-hedged by a model-free rebalancing strategy. A joint work with Basile Maire, Marcus Wunsch.
11 | 11 | 2023
Useful Properties of Probability Distributions in Stochastic Financial Models
15:00 (МСК)
Bulgarian Academy of Sciences and Shandong University
Any model in finance is based on random variables and stochastic processes of any kind: continuous or discrete, one-dimensional or multi-dimensional, etc. The answer to any question arising is given via variety of properties of the involved probability distributions.

The following topics will be discussed: role of the moments of positive integer orders, infinite divisibility, nonlinear (Box-Cox) transformations, limit theorems. One of the goals is to explain why some distributions are M-determinate and others M-indeterminate. It is more than useful to see a complete picture of existing uncheckable and checkable conditions for either M-determinacy or M-indeterminacy. Here is an exciting question: How to “fight” with the M-indeterminacy in the most popular models such as Black-Scholes and others? The main ideas, techniques and results can and will be demonstrated by analysing in detail two of the most important distributions, the normal and the lognormal, and related classes of SDEs. Some facts are not so-well known and even look a little surprising. Along with classical results for M-(in)determinacy (Cramer, Hardy, Carleman, Krein, Heyde, Berg, Pakes), a few recent results will be reported. Challenging open questions will be outlined.
14 | 11 | 2023
Mean field game of cross-holding with common noise
15:30 (МСК)
New York University

We consider the mean field game modeling of optimal cross-holding within a population of investors endowed with some idiosyncratic risk process. In this talk, we consider the extension to the situation where the individual risks are correlated through some common noise. Unlike the uncorrelated case, we recover here the trade off between average returns and risks, which is the main novel difficulty to solve the problem. Our main finding is that the mean field no-arbitrage condition imposes some structure restrictions on the model, which turn out to play a crucial role. Under these conditions, we provide a quasi-explicit solution for the mean field game of crossholding.
25 | 11 | 2023
Thorough mathematical modeling and analysis of Uniswap v3
École polytechnique

16:00 (МСК)
Automated Market Makers have emerged quite recently, and Uniswap is one of the most widely used platforms. This protocol is challenging from a quantitative point of view, as it allows participants to choose where they wish to concentrate liquidity. In this talk, we revisit Uniswap v3’s principles in detail to build an unambiguous knowledge base; we analyze the Impermanent Loss of a liquidity provider without assumptions about swap trades or other liquidity providers; we introduce the notion of a liquidity curve and show how to statistically replicate options with Uniswap v3; last, we provide a closed-form approximation formula for the collected fees.
02 | 12 | 2023
Эммануэль Лепинетт
Alternative approach to price European options in general discrete-time models without no-arbitrage condition
16:00 (МСК)
Université Paris Dauphine

My talk is about recent results we have obtained to evaluate super-hedging prices in general models without no-arbitrage condition. This is motivated by the desire to efficiently compute the prices as the traditional approach gives a dual characterization which is difficult to handle. Actually, our method is interesting because it is also relevant for non linear models.
9 | 12 | 2023
Боалем Джехише
Nonlinear reserving in life insurance - An overview
15:00 (МСК)
Royal Institute of Technology, Stockholm
I will review some recent results on claims reserving for life insurance policies with reserve-dependent payments driven by multi-state jump processes. As application I will discuss reserving under contract modification with and without maintaining actuarial equivalence.
If time permits, I will also discuss aggregation of prospective reserves for large and homogeneous insurance portfolios through mean-field approximations.
16| 12 | 2023
Миряна Григорова

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