Session Time & Room : 4D (Aug.24, 15:30-17:10) @D505
Type : Proposal of Minisymposium
Abstract : The mini-symposium is devoted to the recent developments in stochastic modelling in finance. It will include stochastic modelling of big data in finance, portfolio optimization problems in incomplete stochastic volatility financial markets, driven by both Brownian motion and a jump processes, as well as a Heston 1/2 component and a 3/2 component the state-of-the-art 4/2 stochastic volatility models, and also new modelling involving Parrondo’s paradox and its financial applications.
00468 (1/1) : 4D @D505 [Chair: Anatoliy Swishchuk, University of Calgary, Calgary, AB, Canada]
[01313] Portfolio optimization in the family of 4/2 stochastic volatility models.
Format : Online Talk on Zoom
Author(s) :
Marcos Escobar-Anel (Western University, Department of Statistical and Actuarial Sciences.)
Abstract : The state-of-the-art 4/2 stochastic volatility model was recently proposed by Grasselli in 2017 and has gained great attention ever since. This model is a superposition of a Heston (1/2) component and a 3/2 component, bringing the best of the two nested models. This talk gives an overview of recent progress in the application of the model, as well as a multivariate generalization, to portfolio optimization, in particular within expected utility theory. The work includes the study of CRRA and HARA utilities, the presence of consumption, as well as considerations about complete/incomplete markets and ambiguity-aversion. All is complemented with the analysis of wealth-equivalent losses to gain insight into popular suboptimal strategies.
[01486] Parrondo's paradox and financial applications
Format : Online Talk on Zoom
Author(s) :
Bruno N Remillard (HEC Montreal)
Abstract : In this talk, I will start by giving an introduction to Parrondo's paradox, then I will present recent results on this topic, and finally I will talk about financial applications.
[01304] Optimal portfolio analysis on finite and small-time horizons
Format : Online Talk on Zoom
Author(s) :
Indranil SenGupta (North Dakota State University)
Abstract : In this presentation, we consider the portfolio optimization problem in a financial market under a general utility function. We consider an incomplete stochastic volatility market model that is driven by both Brownian motion and jump process. We obtain a closed-form formula for an approximation to the optimal portfolio in a small-time horizon. This is obtained by finding the associated Hamilton-Jacobi-Bellman integro-differential equation and then approximating the value function by constructing appropriate supersolution and subsolution.
[01292] Stochastic Modelling of Big Data in Finance
Format : Talk at Waseda University
Author(s) :
Anatoliy Swishchuk (University of Calgary)
Abstract :
This talk will review some recent results in stochastic modelling of big data in finance, including semi-Markov modelling, modelling with Hawkes processes, multivariate modelling, to name a few. Numerical results are used to explain, visualize and justify the proposed models, and are based on real data such as LOBster, CISCO, Xetra and Francfurt markets stocks and other data.
