Autumn 2025 @ UCL (Oct-Dec)
Date: Thursday, October 16, 2025
Time: 4-5pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Sam Cohen (University of Oxford)
Title: Neural networks, PDEs and control
Abstract: Optimal control problems often involve the solution of high dimensional nonlinear PDEs, which is a key computational bottleneck. In this talk we will consider how neural networks can be used as a computational tool for these problems, how simple test cases can work deceptively well, and how fine details of the approach can lead to different results. Based on joint work with Justin Sirignano, Deqing Jiang and Jackson Hebner.
Date: Thursday, October 16, 2025
Time: 5-6pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Julien Hok + Sergei Kucherenko (Investec Bank + Imperial)
Title: The unreasonable effectiveness of Randomized Quasi-Monte Carlo in option pricing and risk analysis
Abstract: This paper explores the application of Monte Carlo (MC), Quasi-Monte Carlo (QMC), and Randomized Quasi-Monte Carlo (RQMC) methods in the context of option pricing and risk analysis under the time-homogeneous hyperbolic local volatility (HLV) model. While standard MC methods suffer from slow convergence, QMC techniques leverage low-discrepancy sequences to achieve superior convergence rates, particularly for problems with low effective dimension. However, the deterministic nature of QMC prevents reliable error estimation, a limitation overcome by RQMC through randomized sequences such as Owen’s nested scrambling. The study incorporates variance reduction techniques such as Brownian Bridge (BB) and Principal Component Analysis (PCA) to reduce effective dimension and enhance convergence. Numerical experiments on Asian options demonstrate significant accuracy gains using RQMC over MC and QMC, especially when PCA is used. The paper also analyzes the convergence behavior and effective dimensions of price and Greeks (Delta, Gamma), confirming that RQMC-PCA offers the best performance in high dimensional settings.
Date: Thursday, October 30, 2025
Time: 4-5pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Christa Cuchiero (University of Vienna)
Title: Dynamic universal approximation via signature controlled differential equations
Abstract: Among the different methods proposed to lift path-dependent dynamics to infinite-dimensional Markovian frameworks, the use of signatures appears especially natural, as linear functionals of the signature can approximate any continuous path functional (with respect to suitable Hölder/variation topologies) arbitrarily well. While such universal approximation results at the level of the vector fields are well established, we go further and consider solutions of generic path-dependent controlled differential equations (CDEs). We then show that, under mild regularity assumptions, any such path-dependent system can be approximated by a suitable signature CDE. To this end we first establish well-posedness and stability of path-dependent systems using weighted space topologies for Hölder continuous paths. We then transfer these results to signature CDEs, deriving in particular well-posedness conditions and a dynamic universal approximation theorem when the vector fields are real-analytic functions of the signature. This talk is based on joint work with Tomas Carrondo, Paul Hager, and Fabian Harang.
Date: Thursday, October 30, 2025
Time: 5-6pm
Location: Room 228, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Steven Campbell (Columbia University)
Title: A mathematical study of the excess growth rate
Abstract: The excess growth rate is a fundamental concept in portfolio theory: it captures the profit of a portfolio due to rebalancing and quantifies the intrinsic volatility of a stock market. In this talk, we undertake an in-depth mathematical study of this object and explore its connections to familiar concepts in information theory like the relative, Rényi and cross entropies, the Helmholtz free energy, L. Campbell's measure of average code length, and large deviations. Our main results consist of three characterization theorems for the excess growth rate in terms of (i) the relative entropy, (ii) the gap in Jensen's inequality, and (iii) the logarithmic divergence which is a generalization of the Bregman divergence. We also discuss the maximization of the excess growth rate and compare it with the growth optimal portfolio. Our results not only provide theoretical justifications of its significance, but also establish new connections between information theory and quantitative finance. Based on joint work with Ting-Kam Leonard Wong.
Date: Thursday, November 13, 2025
Time: 4-5pm
Location: Room M3, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Giulia di Nunno (University of Oslo)
Title: Memory and roughness in SVV models: Characteristics, pricing, hedging
Abstract: SVV models, or Sandwiched Volterra Volatility models, are a class of dynamics able to capture both the long memory and the rough aspects of volatility as well as complying with several typical stylised features of volatilities. At the same time, they are treatable enough to allow for a rigorous and explicit analysis of pricing and hedging. We present this class of models with their features and potentials. We discuss pricing and hedging of financial derivatives in this framework. Specifically, we focus on the quadratic hedging approach, providing insight on the computational challenges related to the optimal strategy. The explicit optimal hedging solution is identified by means of the non-anticipating derivative, while its numerical counterpart is articulated by means of Markovian approximations.
Date: Thursday, November 13, 2025
Time: 5-6pm
Location: Room M3, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Emilio Barucci (Politecnico di Milano)
Title: Sovereign Debt Default and Climate Risk
Abstract: We explore the interplay between sovereign debt default and climate risk. Pollution (e.g., pollution from land use, natural resource exploitation) contributes to the likelihood of natural disasters and influences economic growth rates. The country can default on its debt at any time while also deciding whether to invest in pollution abatement. The framework provides insights into the credit spreads of sovereign bonds and explains the observed relationship between bond spread and country's climate vulnerability. Through calibration for developing and low-income countries, we show that there is limited incentive for these countries to address climate risk, and the sensitivity of bond spreads to climate vulnerability is limited. Climate risk does not play a relevant role on the decision to default on sovereign debt. Financial support for climate abatement expenditures can effectively foster climate adaptation actions, instead renegotiation conditional upon pollution abatement does not produce any effect.
Date: Thursday, November 27, 2025
Time: 4-5pm
Location: Room M3, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: David Hobson (University of Warwick)
Title: Non-zero sum Dynkin games, convertible bonds and manipulation
Abstract: With a convertible bond, in addition to coupon payments, the bondholder has the right to convert a bond into shares. Meanwhile, if the coupon payments become too expensive the shareholders have the right to end payments by declaring bankruptcy. This makes the convertible bond problem an archetypal non-zero sum Dynkin game. Often in non-zero sum Dynkin games it is assumed that each player would prefer that if the game is stopped, then stopping was done by the opponent. We consider games outside this paradigm, and what it means for the optimal strategies for the players. Joint work with Edward Wang and Gechun Liang
Date: Thursday, November 27, 2025
Time: 5-6pm
Location: Room M3, UCL School of Pharmacy, 29-39 Brunswick Square
Speaker: Rüdiger Frey (Vienna University of Economics and Business)
Title: A Mean-Field Game Analysis of Systemic Risk under Capital Constraints
Abstract: We analyze the effect of regulatory capital constraints on financial stability in a large homogeneous banking system using a mean-field game (MFG) model. Each bank holds cash and a tradable risky asset. Banks choose absolutely continuous trading rates in order to maximize expected terminal equity, with trades subject to transaction costs. Capital regulation requires equity to exceed a fixed multiple of the position in the tradable asset; breaches trigger forced liquidation. The asset drift depends on changes in average asset holdings across banks, so aggregate deleveraging creates contagion effects, leading to an MFG. We discuss the coupled forward–backward PDE system characterizing equilibria of the MFG, and we solve the constrained MFG numerically. Experiments demonstrate that capital constraints accelerate deleveraging and limit risk-bearing capacity. In some regimes, simultaneous breaches trigger liquidation cascades.
The last part of the presentation is devoted to the mathematical analysis of a model with time-smoothed contagion as in, e.g., Hambly, Ledger and Sojmark (2019) or Campi and Burzoni (2024). We characterize optimal strategies for a given evolution of the system and establish the existence of an MFG equilibrium.
PLEASE NOTE: The building for December 11 is different from the previous weeks!
It is
Room C3.09 in the
UCL Institute of Education (IOE), 20 Bedford Way.
Date: Thursday, December 11, 2025
Time: 4-5pm
Location: Room C3.09, UCL Institute of Education (IOE), 20 Bedford Way.
Speaker: Jingjie Zhang (University of International Business and Economics)
Title: Goal-based portfolio selection with fixed transaction costs
Abstract: We study a goal-based portfolio selection problem in which an investor aims to meet multiple financial goals, each with a specific deadline and target amount. Trading the stock incurs a strictly positive transaction cost. Using the stochastic Perron’s method, we show that the value function is the unique viscosity solution to a system of quasi-variational inequalities. The existence of an optimal trading strategy and goal funding scheme is established. Numerical results reveal complex optimal trading regions and show that the optimal investment strategy differs substantially from the V-shaped strategy observed in the frictionless case.
Date: Thursday, December 11, 2025
Time: 5-6pm
Location: Room C3.09, UCL Institute of Education (IOE), 20 Bedford Way.
Speaker: René Aïd (Paris-Dauphine University)
Title: Agency cost, hedging and futures market equilibrium
Abstract: We analytically examines the impact of demand uncertainty on a principal-agent relationship. We model the contracting problem of a monopolistic firm that employs an agent to exert effort aimed at managing the production of a commodity, which is subsequently sold at the market price on a pre-specified date. Our analysis assumes the firm maximizes its revenues under conditions of both uncertain demand and supply. Furthermore, this paper develops an equilibrium model of agency stemming from the monopoly firm owner's ability to sell at initial time a portion of the output under managerial private control, on the futures market. We characterize the optimal contract and optimal hedging policy, investigating their implications for firm value and managerial pay-performance sensitivity. We find that the risk-sharing premium can outweight the information rent captured by the agent, making the firm better off delegating production to an even more risk averse agent than herself. Besides, delegation exerts an upward pressure on futures prices as it reduces the principal willingness for hedging. We extend our model to dynamic hedging and provide comparative static of the effect of principal-agent relationship on futures price volatility. Joint work with Nizar Touzi (NYU) and Stéphane Villeneuve (TSE).
Winter 2025 @ LSE (Jan-Mar)
Date:
Thursday,
January 23, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: David Prömel (University of Mannheim)
Title: A pathwise stability analysis of optimal portfolios
Abstract: Classical approaches to optimal portfolio selection problems are based on probabilistic models for the asset returns or prices. However, by now it is well observed that the performance of optimal portfolios is highly sensitive to model misspecifications. To account for various type of model risk, robust and model-free approaches have gained increasing importance in portfolio theory.
In this talk, we develop a pathwise framework and methodology to analyze the stability of well-known 'optimal' portfolios in local volatility models under model uncertainty. In particular, we study the pathwise stability of the classical log-optimal portfolio with respect to the model parameters and investigate the pathwise error created by trading with respect to a time-discretized version of the log-optimal portfolio.
The talk is based on joint works with Andrew Allan, Anna Kwossek and Chong Liu.
Date: Thursday, January 23, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Nazem Khan (University of Oxford)
Title: Chain or Channel? Payment Optimization with Heterogeneous Flow
Abstract: Compared with existing payment systems, Bitcoin’s throughput is low. Designed to address Bitcoin’s scalability challenge, the Lightning Network is a protocol allowing two parties to secure bitcoin payments and escrow holdings between them. Payment-channel networks such as the Lightning Network enable off-chain payments secured by the channels' balances as alternatives to on-chain transactions. This paper solves the optimal channel management problem for two agents who pay each other arbitrarily distributed amounts. Agents optimally choose the channel's size and whether to make each payment on-chain or on-channel, depending on their current balance. This work, in collaboration with Paolo Guasoni, characterizes optimal channels and payment policies, describing an algorithm to obtain them, given payments' frequency and distribution.
Date: Thursday, February 6, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Salvatore Federico (University of Bologna)
Title: Mean-Field Games for Optimal Investment: From Market Dynamics to Climate Challenges
Abstract: This talk is divided into two parts, each focusing on the application of Mean-Field Games (MFG) methodology to optimal investment problems in distinct contexts. In the first part, we establish the existence and uniqueness of equilibrium in a mean-field game of optimal investment for a representative firm interacting with a mass of identical firms. The analysis covers both finite and infinite time horizons, where the equilibrium price is characterized as a nonlinear function of the firm's optimally controlled production capacity. The second part investigates investment decisions in "brown" production under the impact of climate change. Firms face stochastic capital evolution and seek to maximize discounted profits while accounting for damages caused by aggregate greenhouse gas emissions. We will present the proof of existence and uniqueness of equilibrium and explore how firms' investment strategies adapt based on environmental dynamics. Both parts illustrate the usefulness of the MFG framework in addressing complex, large-scale decision-making problems in economics and sustainability. The talk is based on joint works with R. Aid (Paris Dauphine), A. Calvia (Politecnico di Milano), G. Ferrari (Bielefeld University), F. Gozzi (LUISS University, Rome), N. Rodosthenous (UCL).
Date: Thursday, February 6, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Peter Bank (TU Berlin)
Title: How much should we care what others know? Jump signals in
optimal investment under relative performance concerns
Abstract: We investigate equilibria in continuous-time optimal
investment problems where investors receive idiosyncratic signals about
impending price shocks and interact through relative performance
concerns. We use Meyer-sigma-fields to introduce signal-driven
strategies and describe investor behavior in both a multi-agent and a
mean-field game setting. Existence of equilibria in both cases is proven
under suitable conditions on the investors' types, including the
frequency and realiability of their signal processes. Numerical
experiments allow us to investigate properties of these equilibria from
a financial-economic perspective and help us answer the question how
much investors care about what is known by their peers. This is joint
work with Gemma Sedrakjan.
Date: Thursday, February 20, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Celine Esser (Liège University)
Title: Regularity of Weighted tensorized fractional Brownian textures
Abstract: In this presentation, we introduce a new model of textures, obtained as realizations of a new class of fractional Brownian fields. These fields are obtained by a relaxation of the tensor-product structure that appears in the definition of fractional Brownian sheets. We study statistical properties such as self-similarity, stationarity of rectangular increments and regularity properties. Additionally, we introduce natural functional spaces associated with these processes and propose a wavelet characterization of these spaces.
Date: Thursday, February 20, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Patrick Cheridito (ETH Zurich)
Title: Sentiment-Based Asset Pricing
Abstract: We propose a continuous-time equilibrium model featuring a representative agent influenced by stochastically fluctuating sentiments which dynamically respond to past price movements and experience jumps that occur more frequently the more sentiments are disconnected from underlying fundamentals. Our analysis suggests that in equilibrium, sentiments affect prices even though they have no direct impact on the asset’s fundamentals. Empirically, the equilibrium risk premia and risk-free rate respond to measurable shifts in sentiments in the direction predicted by the model.
Date: Thursday, March 6, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Ulrich Horst (Humboldt University of Berlin)
Title: Path-Dependent Fractional Volterra Equations, Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility
Abstract: We consider microstructure foundations for rough volatility models driven by Poisson random measures. In our model the volatility is driven by self-exciting arrivals of market orders as well as self-exciting arrivals of limit orders and cancellations. The impact of market order on future order arrivals is captured by a Hawkes kernel with power law decay, and is hence persistent. The impact of limit orders on future order arrivals is temporary, yet possibly long-lived. After suitable scaling the volatility process converges to a fractional Heston model driven by an additional Poisson random measure. The random measure generates occasional spikes in the volatility process and substantially increases volatility smiles. Our results are based on novel existence and uniqueness of solutions results for stochastic path-dependent Volterra equations driven by Poisson random measures and novel C-tightness results for of càdlàg processes. The talk is based is based on joint work with Wei Xu and Rouyi Zhang.
Date: Thursday, March 6, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Martin Larsson (Carnegie Mellon University)
Title: Rank-based models with listings and delistings: theory and calibration
Abstract: Rank-based models for equity markets are reduced-form models where the return dynamics of each asset depend on its rank in the investment universe. These models have been studied extensively over the past 25 years, and are able to reproduce certain stylized macroscopic properties of equity markets, most notably the stability of the distribution of capital. Rank-based models generate this stability through a high-growth small-cap “Atlas stock”. However, in recent empirical work, Campbell and Wong (2024) study a very different driver of stability: listings and delistings of stocks. In the present work, we develop and calibrate rank-based models with listings and delistings. We find that an “Atlas stock” is not necessary to generate stability. We also identify and remove certain severe biases in standard estimates of rank switching (“collision”) rates. We find that our corrected estimates are remarkably consistent with the relationship between volatilities, local correlations, collision rates, and particle densities predicted by a very simple “local model” of the dynamics near any particular rank. This is joint work with David Itkin and Licheng Zhang.
Date: Thursday, March 20, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Claudio Fontana (University of Padova)
Title: Data-driven Heath-Jarrow-Morton models
Abstract: We develop a data-driven formulation of Heath-Jarrow-Morton models in the context of interest rate modeling. We consider models driven by a linear functional of the yield curve, such as a family of representative forward rates, possibly augmented by a set of economic factors. The volatility is parameterized by a neural network, the parameters of which are learned by calibration to market yield curves. This results in a data-driven arbitrage-free model for the generation of yield curves. Our setup allows for the possibility of scheduled jumps, which can arise from to monetary policy decisions. We illustrate our deep learning procedure by reconstructing and forecasting the Euro area yield curves. The talk is based on joint work with Christa Cuchiero (University of Vienna) and Alessandro Gnoatto (University of Verona).
Date: Thursday, March 20, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Jan Kallsen (Kiel University)
Title: Should I invest in the market portfolio? - A parametric approach
Abstract: This study suggests a parsimonious stationary diffusion model for the dynamics of stock prices relative to the entire market. Its aim is to contribute to the question how to choose the relative weights in a diversified portfolio and, in particular, whether the market portfolio behaves close to optimally in terms of the long-term growth rate. Specifically, we introduce the elasticity bias as a measure of the market portfolio's suboptimality. We heavily rely on the observed long-term stability of the capital distribution curve, which also served as a starting point for the Stochastic Portfolio Theory in the sense of Fernholz
