2024 London Mathematical Finance Seminar Series

Autumn 2024 (Oct-Dec) @ King's College London

Date: Thursday, October 10, 2024

Time:  16:00-17:00

Location: Room FWB 1.70, Franklin Wilkins Building, KCL (Waterloo Campus)
Speaker: John Armstrong (King's College London)

Title: Rough paths and gamma hedging

Abstract: We will show how the gamma-hedging trading strategy natural emerges from the theory of rough paths. Since rough-path theory is non-probabilistic, this gives sure convergence results for the discrete-time gamma-hedging strategy that depend only on the regularity of the signal. As an example, we show that European options can be replicated using the gamma-hedging strategy so long as the stock price process and the implied volatility process of the hedging option are sufficiently regular, but without any probabilistic assumptions on the signal. We will examine how these results generalize to path-dependent options.

Date: Thursday, October 10, 2024

Time:  17:00-18:00

Location: Room FWB 1.70, Franklin Wilkins Building, KCL (Waterloo Campus)
Speaker: Seyoung Park (Nottingham University Business School)

Title: Income Disaster Model with Optimal Consumption

Abstract: We propose a continuous-time income disaster model with optimal consumption. We endogenously determine the stochastic discount factor (SDF) in an incomplete market caused by income disaster. We then derive optimal consumption decisions for two types of agents, one who is exposed to income disaster and another who is not. We find a large incomplete-markets precautionary savings term between the two agents, which pushes the interest rate down and helps to resolve the risk-free rate puzzle. Interestingly, with income disaster the equilibrium interest rate is a decreasing function of risk aversion while the equity premium is an increasing function. Finally, our model can better match empirical marginal propensities to consume numbers and explain the low-consumption-high-savings puzzle.

Date: Thursday, October 24, 2024

Time:  16:00-17:00

Location: Room FWB 1.70, Franklin Wilkins Building, KCL (Waterloo Campus)
Speaker: Moris Strub (Warwick Business School)

Title: 

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Date: Thursday, October 24, 2024

Time:  17:00-18:00

Location: Room FWB 1.70, Franklin Wilkins Building, KCL (Waterloo Campus)
Speaker: Dylan Possamaï (ETH Zürich)

Title: 

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Date: Thursday, November 7, 2024

Time:  16:00-17:00

Location: Room K-1.15, King's Building, KCL (Strand Campus)
Speaker: Nicole Baeuerle (Karlsruhe Institute of Technology)

Title: 

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Date: Thursday, November 7, 2024

Time:  17:00-18:00

Location: Room K-1.15, King's Building, KCL (Strand Campus)
Speaker: Hirbod Assa (University of Essex)

Title: 

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Date: Thursday, November 21, 2024

Time:  16:00-17:00

Location: Room K-1.15, King's Building, KCL (Strand Campus)
Speaker: Mathias Beiglböck (University of Vienna)

Title: 

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Date: Thursday, November 21, 2024

Time:  17:00-18:00

Location: Room K-1.15, King's Building, KCL (Strand Campus)
Speaker: Tiziano De Angelis (University of Torino)

Title: 

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Date: Thursday, December 5, 2024

Time:  16:00-17:00

Location: Room K-1.15, King's Building, KCL (Strand Campus)
Speaker: Nils Detering (Heinrich Heine University Düsseldorf)

Title: 

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Date: Thursday, December 5, 2024

Time:  17:00-18:00

Location: Room K-1.15, King's Building, KCL (Strand Campus)
Speaker: Claudia Ceci (University of Rome – La Sapienza)

Title: 

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