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DTSTART;TZID=Europe/Helsinki:20251120T100000
DTEND;TZID=Europe/Helsinki:20251120T230000
DTSTAMP:20260710T203757
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SUMMARY:Sara SVALUTO-FERRO (University of Verona)  "Signature-based models: theory\, calibration\, and expansions"
DESCRIPTION:Mathematical Finance\nTime: 10.00 am\nDate:20th of November 2025\nRoom 3001 \nSara SVALUTO-FERRO (University of Verona) “Signature-based models: theory\, calibration\, and expansions” \nAbstract:\nSignature methods provide a non-parametric approach to extracting features from trajectories\, offering versatile applications in finance. The structure of signature components enables the use of advanced mathematical tools and the construction of highly general models capable of capturing diverse behaviors.\nIn this talk\, we introduce the concept of the signature and its key properties\, illustrating its potential through two financial applications.\nThe first application examines the local-in-time expansion of a continuous-time process and its conditional moments\, including the characteristic function. By leveraging the time-extended Itôsignature—composed of iterated integrals of deterministic and stochastic signals (time\, multiple correlated Brownian motions\, and compound Poisson processes)—we derive automated expansions to any order with explicit coefficients. This provides stochastic representations suitable for asymptotic analysis in the short-time limit.\nThe second application focuses on a stochastic volatility model where volatility dynamics are described by linear functions of the (time-extended) signature of a primary process. When this process is of polynomial type\, its truncated signature retains this structure\, allowing for closed-form expressions of the squared VIX. By incorporating the Brownian motion driving the stock price\, both the log-price and the squared VIX can be expressed linearly in terms of the signature of the augmented process\, achieving highly accurate calibration results for SPX and VIX options.\nJoint work with Federico Bandi\, Roberto Renò\, Christa Cuchiero\, Guido Gazzani\, Janka Möller. \nOrganizers:  Roxanna DUMITRESCU – Jean-François CHASSAGNEUX \n  \n
URL:https://crest.science/event/sara-svalutto-university-of-verona-t-b-a/
CATEGORIES:Finance-Insurance,Mathematical Finance,Seminars
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DTSTART;TZID=Europe/Helsinki:20251120T110000
DTEND;TZID=Europe/Helsinki:20251120T120000
DTSTAMP:20260710T203757
CREATED:20250806T090239Z
LAST-MODIFIED:20251117T141928Z
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SUMMARY:Julio BACKHOFF (University of Vienna)  "Exciting games and the specific relative entropy "
DESCRIPTION:Mathematical Finance\nTime: 11.00 am\nDate:20th of November 2025\nRoom 3001 \nJulio BACKHOFF (University of Vienna) “Exciting games and the specific relative entropy ” \nAbstract : The laws of two continuous martingales will typically be singular to each other and hence have infinite relative entropy. But this does not need to happen in discrete time. This suggests defining a new object\, the specific relative entropy\, as a scaled limit of the relative entropy between the discretized laws of the martingales. This definition goes all the way back to Gantert’s PhD thesis\, and in recent time Föllmer has rekindled the study of this object by for instance obtaining a novel transport-information inequality. \nIn this talk I will first discuss recent results on explicit formulae (or bounds) for the specific relative entropy in terms of the quadratic variation processes of the martingales involved. Next I will describe an application of this object to prediction markets. Concretely\, D. Aldous asked in an open question to determine the ‘most exciting game’\, i.e. the prediction market with the highest entropy. We formalize this question as a problem of specific relative entropy optimization and completely characterize its optimizer. As a crucial step\, we make an unexpected connection to the field of Monge-Ampère equations. \nOrganizers:  Roxanna DUMITRESCU – Jean-François CHASSAGNEUX \n  \n
URL:https://crest.science/event/julio-backhoff-university-of-vienna-t-b-a/
CATEGORIES:Finance-Insurance,Mathematical Finance,Seminars
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