London Mathematical Finance Seminar Series
Autumn 2025 @ UCL (Oct-Dec)
NOTE: please always check the room. It may not be the same every time.
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: TBA
Abstract: TBA
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: TBA
Abstract: TBA
Date: Thursday, December 11, 2025
Time: 4-5pm
Location: TBA
Speaker: Thaleia Zariphopoulou (UT Austin)
Title: TBA
Abstract: TBA
Date: Thursday, December 11, 2025
Time: 5-6pm
Location: TBA
Speaker: René Aïd (Paris-Dauphine University)
Title: TBA
Abstract: TBA
