LMF Seminars
Winter 2026 @ LSE (Jan-Mar)
Date:
Thursday,
January 29, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Leonard Wong (University of Toronto)
Title: Adapted optimal transport: the Gaussian case
Abstract: We study adapted optimal transport - a framework for comparing stochastic processes, in the Gaussian discrete-time setting where explicit computation is possible. We introduce a space of filtered Gaussian processes, where the randomness and the flow of information are driven by a Gaussian white noise process. On this space, we derive explicitly the adapted 2-Wasserstein distance AW_2, and establish various results including metric completeness and geodesic convexity. We also prove that this space is the AW_2-completion of the space of Gaussian distributions. In particular, the adapted 2-Wasserstein distance can be expressed in terms of a constrained Procrustes problem between the Cholesky factors. Next, we study the adapted Brenier coupling which is the multivariate analogue of the Knothe-Rosenblatt coupling and can be viewed as a myopic solution to the adapted transport problem. We compare its transport cost with the adapted 2-Wasserstein distance in a random matrix setting. Finally, we show that Gelbrich's lower bound of the 2-Wasserstein distance does not generally hold in the adapted setting, and provide a martingale difference condition under which it holds.
Joint work with Madhu Gunasingam.
Date: Thursday, January 29, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Johannes Wiesel (University of Copenhagen)
Title: Dynamic characterization of barycentric optimal transport problems and their martingale relaxation
Abstract: We extend the Benamou-Brenier formula from classical optimal transport to weak optimal transport and show that the barycentric optimal transport problem studied by Gozlan and Juillet has a dynamic analogue. We also investigate a martingale relaxation of this problem, and relate it to the martingale Benamou-Brenier formula of Backhoff-Veraguas, Beiglböck, Huesmann and Källblad.
This talk is based on joint work with Ivan Guo and Severin Nilsson.
Date: Thursday, February 12, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Alessandro Calvia (Politecnico di Milano)
Title: Short rate models with stochastic discontinuities: a PDE approach
Abstract: In the ongoing reform of interest rate benchmarks, risk-free rates (RFRs), such as the Secured Overnight Financing Rate (SOFR) in the U.S. or the Euro Short-Term Rate (€STR) in Europe, play a pivotal role. An observed characteristic of RFRs is the occurrence of jumps and spikes at regular intervals, due to regulatory and liquidity constraints. In this paper, we consider a general short-rate model featuring discontinuities at fixed times with random sizes. Within this framework, we introduce a PDE-based approach to price interest rate derivatives. For affine models, we also derive (quasi) closed-form solutions. Finally, we develop numerical methods to price interest rate derivatives in general cases.
This is joint work with Marzia De Donno (Catholic University of Milan), Chiara Guardasoni (University of Parma), and Simona Sanfelici (University of Parma).
Date: Thursday, February 12, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Emmanuel Gobet (LPSM, Sorbonne Université)
Title: Modeling the risks within the lending-borrowing protocol Aave
Abstract: Decentralized Finance (DeFi) lending and borrowing protocols enable investors to take leveraged long and short positions on digital assets without centralized intermediaries, but expose them to a distinctive form of risk: on-chain liquidation triggered by debt and collateral value fluctuations. In this talk, we provide a detailed formalization of Aave's lending, borrowing, and liquidation mechanisms, grounded in the protocol's open-source implementation. In doing so, we propose a mathematical modelling of the risks, including some stochastic approximations with the purpose of efficient analysis, with different applications. Among them, portfolio optimization problem. Joint work with Louis Latournerie (Ecole polytechnique, ENSAE).
Date: Thursday, February 26, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Agostino Capponi (Columbia University)
Title: Auctioning Time to Mitigate Latency Races: Theory and Evidence from Blockchains
Abstract:
Abstract: High-frequency trading, in both traditional and decentralized markets, induces latency races and redundant order flow as traders spend resources to win time-sensitive opportunities. We show that auctioning artificial time priority can redirect resources away from wasteful speed races toward auction payments. While such waste is difficult to measure in traditional markets, blockchain transactions provide transparent records of these competitive costs through observable duplicate submissions. We study the introduction of Timeboost, a time-priority auction mechanism on Arbitrum, a blockchain that batches transactions before settlement on Ethereum, as a natural experiment. We find that redundant transactions decrease and platform revenue increases relative to comparable networks, consistent with our theoretical predictions. Joint work with Brian Zhu.
Date: Thursday, February 26, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Josef Teichmann (ETH Zurich)
Title: Stochastic factors can matter: improving robust growth under ergodicity
Abstract: We investigate the influence of knowledge about factor processes under drift uncertainty of traded assets on long term optimal growth. Surprisingly simple strategies realize the obtained robust rates emphasizing again the significance of functionally generated portfolios. Joint work with Balint Binkert, David Itkin, Paul Mangers.
Date: Thursday, March 12, 2026
Time: 4-5pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Sergey Nadtochiy (Carnegie Mellon University)
Title: Exponential stability of stochastic filters without global mixing
Abstract: In hidden Markov models, the conditional marginal distribution of the unobserved component (a.k.a. signal) of a Markov state process, given the history of the observed component (a.k.a. observation), is called a stochastic filter. Such filters provide the best approximation of the signal, given the observation, and they are used in a wide variety of important applications. One of the most desirable properties of a filter is its stability: i.e., the property that the distance between two filters started from different initial distributions (i.e., different priors) vanishes as the time horizon increases (i.e., as we collect more observations). In many classical models, the filter enjoys exponential stability: i.e., the aforementioned distance decays exponentially fast. All previously established proofs of such exponential stability either rely on (a version of) global mixing property of the signal, or work only in special/restrictive classes of models. In particular, the exponential stability has remained an open question for general partially observed diffusion models (observed continuously or at discrete times) set up in unbounded domains (e.g., in R^d). In this talk, I will describe a new method for proving the exponential stability of stochastic filters, which does not require the global mixing property and which succeeds for general diffusion models in unbounded domains, provided that the signal is ergodic and has a non-degenerate diffusion component. Joint work with D. Noelck.
Date: Thursday, March 12, 2026
Time: 5-6pm
Location: FAW 2.04, LSE Pankhurst House and Fawcett House
Speaker: Gero Junike (LMU Munich)
Title: TBA
Abstract: TBA
Date: Thursday, March 26, 2026
Time: 4-5pm
Location: Provisionally FAW 2.03, LSE Pankhurst House and Fawcett House
Speaker: Dörte Kreher (HU Berlin)
Title: TBA
Abstract: TBA
Date: Thursday, March 26, 2026
Time: 5-6pm
Location: Provisionally FAW 2.03, LSE Pankhurst House and Fawcett House
Speaker: Alexander Cox (Bath)
Title: TBA
Abstract: TBA
