Meetings, workshops and conferences have been cancelled worldwide: senior researcher as well as young PhD students can only interact virtually. To keep the active spirit of our whole scientific community going and to continue solving financial problems of our times, we provide virtual ways of scientific exchange for the time being.

We organise an online talk every second Thursday, alternating with the talks set up by the SIAM activity group on financial mathematics and engineering (

Find the list of the BFS One World Seminars below.


Date: Thursday, 24 November 2022

Speaker: Nils Detering (UCSB)

Title: TBA

Abstract: TBA

Thursday, 24 November 2022, 19:00 (GMT +1)

Date: Thursday, 27 October 2022

Speaker: Hao Ni (UCL)

Title: TBA

Abstract: TBA

Thursday, 27 October 2022, 19:00 (GMT +2)

Date: Thursday, 22 September 2022


Date: Thursday, 23 June 2022

Speaker: Luitgard Veraart (LSE)

Title: Systemic Risk in Markets with Multiple Central Counterparties

Abstract: We provide a framework for modelling risk and quantifying payment shortfalls in cleared markets with multiple central counterparties (CCPs). Building on the stylised fact that clearing membership is shared among CCPs, we show that stress in this shared membership can transmit across markets through multiple CCPs. We provide stylised examples to lay out how such stress transmission can take place, as well as empirical evidence to illustrate that the mechanisms we study could be relevant in practice. Furthermore, we show how stress mitigation mechanisms such as variation margin gains haircutting by one CCP can have spillover effects on other CCPs. The framework can be used to enhance CCP stress-testing, which currently relies on the “Cover 2” standard requiring CCPs to be able to withstand the default of their two largest clearing members. We show that who these two clearing members are can be significantly affected by higher-order effects arising from interconnectedness through shared clearing membership.

This is joint work with Iñaki Aldasoro (Bank for International Settlements).

Thursday, 23 June 2022, 19:00 (GMT +2)

Date: Thursday, 26 May 2022

Speaker: Charles-Albert Lehalle (Abu Dhabi Investment Authority (ADIA) and Visiting Professor at Imperial College London)

Title: Mathematics Of Data Curation For Financial Applications

Abstract: The emergence of alternative data (satellite images, texts, credit cards, vessels positions, etc) opened the door to nowcasting a few years ago.
Nowcasting targets to understand the current state of the physical and economic world, collecting information everywhere it is available.
Hence, when used properly, these datasets can shed light on investment decisions and on the valuation of tradable instruments.

I am working with such datasets for more than six years now, managing teams of researchers using such them to feed investment strategies.
It appears to me that dealing with such datasets for financial applications is very subtle, and that it requires to carefully identify their bias a way that is not needed for other applications.
Besides, an important challenge is to be able to combine these datasets, or datasets of different origins describing the same phenomenon.
For instance, the supply chain for companies is partially known by observing factories, or by picking the right information in the quarterly reports of the companies, and by observing the positions of vessels and ships on the oceans.

More recently I started to collect formal knowledge on the process of Data Curation, around concepts like Post-Stratification, Active Learning, Covariate Shift, Causality and Semi-Supervised Learning.
During this talk I will share my understanding of these fields and how I see them providing solutions for nowcasting.

Thursday, 26 May 2022, 19:00 (GMT +2)

Slides to talk:

Date: Thursday, 28 April 2022

Speaker: Lisa Goldberg (University of California, Berkeley)

Title: James Stein for eigenvectors

Abstract: Estimated covariance matrices are widely used to construct portfolios with variance-minimizing optimization, yet the embedded sampling error produces portfolios with systematically underestimated variance. This effect is especially severe when the number of securities greatly exceeds the number of observations. In this high dimension low sample size (HL) regime, we show that a dispersion bias in the leading eigenvector of the estimated covariance matrix is a material source of distortion in the minimum variance portfolio. We correct the bias with the data-driven GPS (Global Positioning System) shrinkage estimator, which improves with the size of the market, and which is structurally identical to the James Stein estimator for a collection of averages. We illustrate the power of the GPS estimator with a numerical example, and conclude with open problems that have emerged from our research.

Background reading:

Thursday, 28 April 2022, 19:00 (GMT +2)

Slides to talk:

Date: Thursday, 24 March 2022

Speaker: Claudio Fontana (University of Padova)

Title: Term structure modeling with overnight rates beyond stochastic continuity

Abstract: In the current reform of interest rate benchmarks, a central role is played by risk-free rates (RFRs), such as SOFR (secured overnight financing rate) in the US. A key feature of RFRs is the presence of jumps and spikes at periodic time intervals as a result of regulatory and liquidity constraints. This corresponds to stochastic discontinuities (i.e., jumps occurring at predetermined dates) in the dynamics of RFRs. In this work, we propose a general modelling framework where RFRs and term rates can have stochastic discontinuities and characterize absence of arbitrage in an extended HJM setup. When the term rate is generated by the RFR itself, we show that it solves a BSDE, whose driver is determined by the HJM drift restrictions. We develop a tractable specification driven by affine semimartingales, also extending the classical short rate approach to the case of stochastic discontinuities. In this context, we show that a simple specification allows to capture stylized facts of the jump behavior of overnight rates. In a Gaussian setting, we provide explicit valuation formulas for bonds and caplets. Finally, we study hedging in the sense of local risk-minimization when the underlying term structures have stochastic discontinuities.

Based on joint work with Zorana Grbac and Thorsten Schmidt.

Thursday, 24 March 2022, 19:00 (GMT +1)

Slides to talk:

Date: Thursday, 24 February 2022

Speaker: Matteo Burzoni (University of Milan)

Title: A unifying approach to viability and arbitrage

Abstract: In this talk we address fundamental questions of both mathematical finance and financial economics by means of the concept of viability. We briefly present the ideas of Harrison and Kreps and how they posed the basis for the classical mathematical finance literature built on the existence of a reference probability measure. We discuss the need for an extension of such a theory, even in the probabilistic case, and construct a unifying framework based on a common order able to encompass classical probabilistic models as well as modern non probabilistic models of Knightian Uncertainty. We derive the equivalence of economic viability of asset prices and absence of arbitrage, under suitably revised notions, and a version of the fundamental theorem of asset pricing using the notion of sublinear pricing measures. Different versions of the Efficient Market Hypothesis can be formulated within our framework and we show that they are related to the assumptions one is willing to impose on the common order.

This talk is mainly based on a joint work with F. Riedel and H.M. Soner.

Thursday, 24 February 2022, 19:00 (GMT +1)

Slides to talk:

Date: Thursday, 27 January 2022

Speaker: Johannes Muhle-Karbe (Imperial College London)

Title: Liquidity Risk and Asset Prices

Abstract: How do asset prices depend on liquidity, that is, the ease with which the assets can be traded? And what is the impact of liquidity risk, that is, unpredictable changes of liquidity over time? To address such questions, we study equilibrium asset pricing models with transaction costs. In this context, the market clearing equilibrium prices and the corresponding optimal trading strategies can be generally characterised by systems of forward-backward stochastic differential equations. Even though these systems are multidimensional and fully coupled, surprisingly explicit results can still be obtained by approximating the solution for small transaction costs. This leads to a range of explicitly solvable settings that allow to study the interplay of liquidity risk, trading needs, and asset prices.

(Joint work in progress with Agostino Capponi and Xiaofei Shi.)

Thursday, 27 January 2021, 19:00 (GMT +1)

Link to recorded talk:

Slides to talk:

One World Seminars of previous years