Workshop on Data Science, Mathematical Modelling and Quantitative Finance


Date: From the 25th to the 29th of November 

Time and Location: Monday and Tuesday talks  are scheduled at 10:30 in Room 407-H of the Institute of Mathematics and Statistics (IME-UFF). Friday will be of more general interest. These talks are schedule starting at 10:30 and the IME-UFF Auditorium -- Ground Floor of Building G.



This will be a series of  talks that will present  different viewpoints on these subjects -- with an emphasis on Mathematical Finance. This Workshop is open to all interested in these Mathematics (pure or applied) and on these specific applications.





Monday - 25th


A Splitting Strategy for the Calibration of Jump-Diffusion Models

Jorge Zubelli (Khalifa University, Abu Dhabi)


This talk concerns the calibration of Dupire's model in the presence of jumps.
We present a detailed analysis and implementation of a splitting strategy to identify simultaneously
the local-volatility surface and the jump-size distribution from quoted European prices. 
The underlying model consists of a jump-diffusion driven asset with time and price dependent volatility.
Our approach uses a forward Dupire-type partial-integro-differential equation for the option prices 
to produce a parameter-to-solution map. The ill-posed inverse problem for such map is then solved by 
means of a Tikhonov-type convex regularization. We present numerical examples that substantiate 
the robustness of the method  both for synthetic and real data. This is joint work with Vinicius Albani (UFSC).



Tuesday - 26th

Mean-field game of optimal traders vs. a market maker

David Envagelista (FGV, Rio de Janeiro)

We develop a mean-field game (MFG) of interacting strategies in the context of optimal execution of portfolio transactions. We study the interactions between investors that seek to trade optimally and are affected by the behavior of a market maker. This market maker monitors the market liquidity and trades to meet her objective to clear the price. In turn, the reference price is (endogenously) af- fected permanently by the trading rate of the market maker; thus, the market maker influences the prices to clear the liquidity. First, we formulate the MFG under heterogeneous and identical prefer- ences. Second, we study the identical preferences case without per- manent impact in closed-form. Third, we recover the Cardaliaguet and Lehalle’s model of crowd impact. Finally, we numerically solve the MFG model under identical preferences and illustrate the be- havior of optimal traders facing a market maker.



Friday - 29th



From Black-Scholes to Path-Dependent Volatility: a brief history of volatility modeling

Julien Guyon (Bloomberg, Columbia University and NYU, New York)


We review the history of volatility modeling, from Black-Scholes to Local Volatility to Stochastic Volatility to Stochastic Local Volatility to Path-Dependent Volatility. We explain the benefits and limitations of each model class and motivate their successive introductions. In particular, we focus on path-dependent volatility models, which have drawn little attention so far. Like the local volatility model, they are complete and can fit exactly the market smile of the underlying asset. Like stochastic volatility models, they can produce rich joint dynamics of spot and implied volatility. Path-dependent volatility models also capture prominent historical patterns of volatility, such as volatility depending on the recent trend of the underlying asset. We give examples and show many graphs to demonstrate their great capabilities.


Short Bio:


Julien is a senior quantitative analyst in the Quantitative Research group at Bloomberg L.P., New York. He is also an adjunct professor in the Department of Mathematics at Columbia University and at the Courant Institute of Mathematical Sciences, NYU. Before joining Bloomberg, Julien worked in the Global Markets Quantitative Research team at Societe Generale in Paris for six years (2006-2012), and was an adjunct professor at Universite Paris 7 and Ecole des ponts. He co-authored the book Nonlinear Option Pricing (Chapman & Hall, CRC Financial Mathematics Series, 2014) with Pierre Henry-Labordere. His main research interests include volatility and correlation modeling, nonlinear option pricing, and numerical probabilistic methods. Julien holds a Ph.D. in Probability Theory and Statistics from Ecole des ponts. He graduated from Ecole Polytechnique (Paris), Universite Paris 6, and Ecole des ponts. A big football fan, Julien has also developed a strong interest in sports analytics, and has published several articles on the FIFA World Cup, the UEFA Champions League, and the UEFA Euro in top-tier newspapers such as The New York Times, Le Monde, and El Pais, including a new, fairer draw method for the FIFA World Cup.





A Short Introduction to mean-field games

Roberto Velho (IMPA)





Mean-field games (MFG) is a recent area that emerged both from mathematical and engineering fields. Its ideas come from statistical mechanics and its application range from city planning to economics, to finance. The main idea is to provide an approximation for the description of a system with many particles/agents/players evolving in time while in equilibrium under a non-collaborative differential game. The ingredients are (stochastic) optimal control and Fokker-Planck equations. Surprisingly, many PDEs can be regarded as a kind of MFG. The goal of this talk is to introduce the notions to formulate a mean-field game problem, describe modeling through some examples and connect it with other mathematical problems. We will focus on the ideas of the construction rather than technicalities.