BACHELIER FINANCE SOCIETY ONE WORLD SEMINARS (ONLINE)

Started during the pandemic, we want to keep the active spirit of our whole scientific community going and to continue solving financial problems of our times and keep our online seminars going.

We organise an online talk on the last Thursday of a month (with a few exceptions), alternating with the talks set up by the SIAM activity group on financial mathematics and engineering (http://wiki.siam.org/siag-fm/index.php/Current_events).

Find the list of the BFS One World Seminars below.

2024

Date: Thursday, 21 March 2024

Speaker: Daniel Lacker (Columbia University)

Title: TBA

Abstract: TBA

Thursday, 21 March 2024, 19:00 (GMT +1)

Link to registration:
will be published in due course

Date: Thursday, 25 April 2024

Speaker: Johannes Ruf (LSE)

Title: TBA

Abstract: TBA

Thursday, 25 April 2024, 19:00 (GMT +2)

Link to registration:
will be published in due course

Date: Thursday, 23 May 2024

Speaker: Samuel Cohen (University of Oxford)

Title: TBA

Abstract: TBA

Thursday, 23 May 2024, 19:00 (GMT +2)

Link to registration:
will be published in due course

Date: Thursday, 27 June 2024

Speaker: Alvaro Cartea (University of Oxford)

Title: TBA

Abstract: TBA

Thursday, 27 June 2024, 19:00 (GMT +2)

Link to registration:
will be published in due course

Date: Thursday, 26 September 2024

Speaker: TBA

Title: TBA

Abstract: TBA

Thursday, 26 September 2024, 19:00 (GMT +2)

Link to registration:
will be published in due course

Date: Thursday, 24 October 2024

Speaker: TBA

Title: TBA

Abstract: TBA

Thursday, 24 October 2024, 19:00 (GMT +2)

Link to registration:
will be published in due course

Date: Thursday, 28 November 2024

Speaker: TBA

Title: TBA

Abstract: TBA

Thursday, 28 November 2024, 19:00 (GMT +1)

Link to registration:
will be published in due course

Date: Thursday, 22 February 2024

Speaker: Carole Bernard (Grenoble Ecole de Management)

Title: Multivariate Portfolio Choice via Quantiles

Abstract: We first show how the quantile approach used for univariate optimal portfolio choice can be also useful to solve the multivariate case. When the multivariate risk sharing problem (in the absence of a financial market) can be solved explicitly, the multivariate optimal portfolio choice reduces to a one-dimensional problem using the quantile approach. In the general case, we develop a numerical approach to obtain approximate solutions for the multivariate optimal portfolio selection problem. In the case of an optimization of a sum of distortion risk measures (e.g., RVaR) we discuss optimal explicit solutions of the multivariate portfolio choice.

Joint work with Andrea Perchiazzo and Steven Vanduffel

Thursday, 22 February 2024, 19:00 (GMT +1)

Slides to talk:
slides_bernard_240222

Date: Thursday, 25 January 2024

Speaker: Marcel Nutz (Columbia University)

Title: Unwinding Stochastic Order Flow: When to Warehouse Trades

Abstract: We study how to unwind stochastic order flow with minimal transaction costs. Stochastic order flow arises, e.g., in the central risk book (CRB), a centralized trading desk that aggregates order flows within a financial institution. The desk can warehouse in-flow orders, ideally netting them against subsequent opposite orders (internalization), or route them to the market (externalization) and incur costs related to price impact and bid-ask spread. We model and solve this problem for a general class of in-flow processes, enabling us to study in detail how in-flow characteristics affect optimal strategy and core trading metrics. Our model allows for an analytic solution in semi-closed form and is readily implementable numerically. Compared with a standard execution problem where the order size is known upfront, the unwind strategy exhibits an additive adjustment for projected future in-flows. Its sign depends on the autocorrelation of orders; only truth-telling (martingale) flow is unwound myopically. In addition to analytic results, we present extensive simulations for different use cases and regimes, and introduce new metrics of practical interest. (Joint work with Kevin Webster and Long Zhao; preprint available at https://ssrn.com/abstract=4609588)

Thursday, 25 January 2024, 19:00 (GMT +1)

Slides to talk:
slides_nutz_240125


One World Seminars of previous years

2023

2022

2021

2020