Type: Seminar

Distribution: World

Expiry: 18 Feb 2020

CalTitle1: On Piles of Sand and Exotic Derivatives: An Introduction to Robust Finance

Auth: wenqi@dora.maths.usyd.edu.au

Hello all, The next MaPSS talk of this semester will be at 17:00 on Mon 19th of August in Carslaw 535. It’s a great opportunity to meet fellow postgrads, listen to an interesting talk, and of course get some free pizza! ************************************************************************************** Speaker: Zacharia Issa Title: On Piles of Sand and Exotic Derivatives: An Introduction to Robust Finance Abstract: The field of robust finance was born in the wake of the global financial crisis, partly due to mathematical models employed by practitioners at the time being unable to adequately account for downside risks present in some financial assets. One of the key insights in this field was highlighting the link between no-arbitrage bounds for exotic payoffs and the optimal transportation problem of Gaspard Monge, which was first posed in 1781. This link allowed for many of the well-established techniques in optimal transport to be adapted for use in a financial context. My motivation for this talk is to help give an intuition between why the problems of financial risk management and optimal transportation are so closely related. I will first explain some financial concepts, followed by a discussion of the Monge-Kantorovich optimal transport problem. Finally, I will then show how the robust finance problem marries these two seemingly disparate fields of research. Note I am not assuming any understanding of financial mathematics or probability/measure theory; although, a background in either of these two fields will be helpful. ************************************************************************************** See you there! Details can also be found on the school’s Postgraduate Society website: http://www.maths.usyd.edu.au/u/MaPS/mapss.2019.html Cheers, Wenqi