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.
2023
Date: Thursday, 30 March 2023
Speaker: Stefano de Marco (Ecole Polytechnique)
Title: Fractional forward variance models – volatility surfaces and other features
Abstract: We present some features of a class of forward variance models embedding rough volatility models (the archetypal example being the so-called rough Bergomi model): the structure of model-generated VIX smiles, the shapes of model-generated volatility surfaces on the spot price, both implied and local, with a focus on the at-the-money volatility skew, and the ability of such models to capture this specific feature of market Equity data over different time horizons. We present related numerical methods for option pricing and their efficiency, from Monte Carlo to asymptotic methods. If time permits, we will discuss some dynamic properties of such models, looking at the dynamics of implied volatilities they generate.
Thursday, 30 March 2023, 19:00 (GMT +1)
Link to registration:
https://ethz.zoom.us/meeting/register/u5IpfuCspzwvHdFk2XRGJPuEnDcalt5Tn_-O
Date: Thursday, 27 April 2023
Speaker: Kostas Kardaras (LSE)
Title: TBA
Abstract: TBA
Thursday, 27 April 2023, 19:00 (GMT +2)
Link to registration:
will be published in due time
Date: Thursday, 25 May 2023
Speaker: Anna Aksamit (University of Sydney)
Title: TBA
Abstract: TBA
Thursday, 25 May 2023, 19:00 (GMT +2)
Link to registration:
will be published in due time
Date: Thursday, 22 June 2023
Speaker: Umut Çetin (LSE)
Title: TBA
Abstract: TBA
Thursday, 22 June 2023, 19:00 (GMT +2)
Link to registration:
will be published in due time
Date: Thursday, 28 September 2023
Speaker: Josef Teichmann (ETH Zurich)
Title: TBA
Abstract: TBA
Thursday, 28 September 2023, 19:00 (GMT +2)
Link to registration:
will be published in due time
Date: Thursday, 26 October 2023
Speaker: Igor Cialenco (Illinois Institute of Technology)
Title: TBA
Abstract: TBA
Thursday, 26 October 2023, 19:00 (GMT +2)
Link to registration:
will be published in due time
Date: Thursday, 23 November 2023
Speaker: Hao Xing (Bosten University)
Title: TBA
Abstract: TBA
Thursday, 23 November 2023, 19:00 (GMT +1)
Link to registration:
will be published in due time
Date: Thursday, 23 February 2023
Speaker: Dylan Possamaï (ETH Zurich)
Title: Moral hazard for time-inconsistent agents, BSVIEs and stochastic targets
Abstract: We address the problem of Moral Hazard in continuous time between a Principal and an Agent that has time-inconsistent preferences. Building upon previous results on non-Markovian time-inconsistent control for sophisticated agents, we are able to reduce the problem of the principal to a novel class of control problems, whose structure is intimately linked to the representation of the problem of the Agent via a so-called extended Backward Stochastic Volterra Integral equation. We will present some results on the characterization of the solution to problem for different specifications of preferences for both the Principal and the Agent, and relate the general setting to control problems with Volterra stochastic target constraints.
Thursday, 23 February 2023, 19:00 (GMT +1)
Slides to talk:
slides_possamai_230223
Date: Thursday, 26 January 2023
Speaker: Antoine Jacquier (Imperial College London)
Title: Quantum algorithms in Finance
Abstract: We introduce several algorithms from Quantum Computing technologies aimed at providing speedup compared to their classical counterparts. We shall highlight in particular how quantum entanglement provides potential expressive explanatory power for neural networks. Time permitting, we will showcase further applications to linear systems and PDEs and to optimisation problems.
Thursday, 26 January 2023, 19:00 (GMT +1)
Slides to talk:
slides_jacquier_230126