Videos

Andrea Barbon: Gamma Fragility

by Admin
2021-11-142021-11-14

We document a link between large aggregate dealers’ gamma imbalances and intraday momentum/reversal of stock returns, arising from the potential feedback effects of delta-hedging in derivative markets on the underlying market.

This channel relies on limited liquidity of the underlying market, but it is distinct from information frictions (adverse selection and private information) and funding liquidity frictions (margin requirement shocks). We test our joint hypothesis using a large panel of equity options that we use to compute a proxy of stock-level gamma imbalance.

Agostino Capponi:Adoption of Blockchain-Based Decentralized Exchange

by Admin
2021-11-092022-08-16

Decentralized finance (DeFi) is a disruptive distributed peer to peer system operating through smart contracts. Through the large number of services provided, including lending and borrowing, exchanges trading, margin trading, payments, insurance, and NFT marketplaces, the DeFi ecosystem currently accounts for more than $53 billion USD. In this talk, we discuss the market microstructure of Automated Market Makers (AMMs), the prominent type of blockchain-based decentralized exchanges which makes up for half of the DeFi ecosystem’s market capitalization. Through a game theoretical model, we show that liquidity providers lose money to higher gas fee bidding arbitrageurs if exchange rates are volatile. AMMs are adopted only if their token pairs are highly correlated or of high personal use for investors, otherwise a liquidity freeze occurs. We argue that a pricing curve with higher convexity makes the arbitrage problem less severe but also decreases investors’ surplus. We also show that pooling multiple tokens exacerbates the arbitrage problem. We provide statistical support for our main model implications using transaction-level data of AMMs. (Joint work with Ruizhe Jia)

Marek Capinski: Three stories on mathematical finance

by Admin
2021-10-302021-10-30

When you write a textbook you may be faced with tricky decisions and be forced to do some unexpected research, despite many sources available, the topic being classic.

The first story is about the definition of admissible strategy in Black-Scholes model. This affects the scope of the no-arbitrage principle and its fundamental consequences.

Next, the question of existence and uniqueness of the risk-neutral probability in the simplest version of the credit risk model, surprisingly turns out to be open.

The last story is not related to book writing and it is about the choice of probability space from the point of view of teaching.

$Bruno Bouchard-Denize: Dupire-Ito's formula for C^{0,1} functionals$

Bruno Bouchard-Denize: Dupire-Ito’s formula for C^{0,1} functionals

by Admin
2021-10-152022-01-23

We first provide versions of the Itô’s formula that are valid for path-dependent functionals that are only once differentiable (or concave) in space, in the sense of Dupire, and show how they can be used in the context of robust hedging or hedging with market impact in mathematical finance. We also explain how regularity results can be obtained by using an approximation argument that gives rise to a notion of approximate solution of path-dependent PDEs. For the latter, we provide a general existence result for fully non-linear PDEs.

Bilal Hafeez (Macro Hive): How Macro Can Help Quants

by Admin
2021-09-292022-01-23

The data problem – understanding it, cleaning it and avoiding garbage in, garbage out

The explanation problem – empiricism is not science, avoiding data mining

The regime problem – how to better understand regime changes.