Videos

Tens of trillions of US dollars in opportunity over time will be possible for proactive businesses of all sizes that engage in robust action on climate change. Huge capital investment and operations opportunities, transitioning with all deliberate speed from fossil fuels to renewables, will have positive impacts perhaps greater than the industrial revolution and the digital revolution.

The vision for this climate action is to conserve a liveable planet for our children; a secure planetary home. The mission is for the present generation to ramp up robust climate action urgently – substantially and quickly, with opportunity – to fulfil the vision.

The FX Derivatives market has widened long since, beyond currency hedging solutions for international corporates, tailored hedging for institutions and the retail market.

A market making bank distributing its FX derivatives through an electronic trading platform will have to ensure fast, robust and prices pricing of vanilla and exotic contracts. We will compare vanna-volga, local volatility, stochastic volatility, stochastic-local volatility and mixed local volatility, identify the pros and cons and shed some light on model risk. It turns out that the class of mixed local volatility (MLV) models can be considered at common market practice. We will illustrate some live examples of pricing first generation exotics with various models.

This talk will provide an overview of the DMS Software Reengineering Tookit, a general purpose program transformation system usuable at industrial scale. The talk will have several parts: 1) a practical discussion of the DMS engine, some general applications such as COBOL migrations, 2) applications relevant to the high-performance computing space. This includes massive C++ refactoring tasks, code generation for vector machines using a variation of C++ called VectorC++, and 3) the ambitious notion of changing how (scientific) software is built/more importantly modified, using formal refinement as a basis, building on the idea of program transformations.

This talk is based on the book Time-Inconsistent Control Theory with Finance Applications (https://www.springer.com/gp/book/9783030818425)

Whenever we need to make an optimal decision in a dynamic context, the standard toolkit consists of the Bellman optimality principle and dynamic programming. However, the toolkit fails in a number of important economic situations. If we have an explicit dependence on the initial point of our problem, either for the state variable or for the exact time, the Bellman optimality principle fails. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. Famous examples of time inconsistency include dynamic mean-variance portfolio choice, any relaxation of the usual exponential discounting framework and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. In this talk, a time-inconsistent problem is viewed as a non-cooperative game between the agent’s current and future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. Specific examples will be solved and explained.