2025 London Mathematical Finance Seminar Series
Winter 2025 (Jan-Mar) @ LSE
Please note: the seminars all take place at 5-7pm
Date:
Thursday, January 23, 2025
Time: 5pm
Location: 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: 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)
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Date: Thursday, February 6, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Peter Bank (TU Berlin)
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Date: Thursday, February 20, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Celine Esser (Liège University)
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Date: Thursday, February 20, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Patrick Cheridito (ETH Zurich)
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Date: Thursday, March 6, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Ulrich Horst (Humboldt University of Berlin)
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Date: Thursday, March 6, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Martin Larsson (Carnegie Mellon University)
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Date: Thursday, March 20, 2025
Time: 5pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Claudio Fontana (University of Padova)
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Date: Thursday, March 20, 2025
Time: 6pm
Location: PAN.G.01 (Ground Floor of Pankhurst House), LSE
Speaker: Jan Kallsen (Kiel University)
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