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Stochastic Finance @ Warwick Seminars

Unless otherwise stated the seminars will take place at 11:00am in B3.03 (Zeeman building). If you have any question, please contact the seminar organiser Martin HerdegenLink opens in a new window.

18th September

MS.05

Alfred Chong (Heriot Watt University)

Title: Pareto-efficient risk sharing in centralized insurance markets with application to flood risk

Abstract: Centralized insurance can be found in both the private and public sectors. This talk provides a microeconomic study of the risk-sharing mechanisms in these markets, where multiple policyholders interact with a centralized monopolistic insurer. With minimal assumptions on the risk preferences of the market participants, we characterize Pareto optimality in terms of the agents' risk positions and their assessment of the likelihoods associated with their loss tail events. We relate Pareto efficiency in this market to a naturally associated cooperative game. Based on our theoretical results, we then consider a model of flood insurance coverage via an illustrative example. The lessons drawn from our theoretical results and this example lead to important policy implications for the existing National Flood Insurance Program in the United States.

2nd October

Internal short presentations from SF@W group members I

Leo Baggiani

Edward Wang

Gechun Liang

9th October

Internal short presentations from SF@W group members II

Jo Kennedy

Nikolaos Constantinou

Vicky Henderson

16th October

Leandro Sánchez-Betancourt (University of Oxford)

Title: Equilibrium between Brokers and Traders

Abstract: We study the interactions between a broker and her clients. In the first part of the talk we study the imperfect information case; here, the game is formulated as a two-stage optimisation where both parties filter the information that they do not have. In the second part of the talk we study the perfect information Nash equilibrium. We conclude with an overview of the open problems within this framework.

23rd October No seminar
30th October No seminar
6th November No seminar
13th November

Fayçal Drissi (University of Oxford)

Title: The microstructure of decentralised exchanges

Abstract: The bonding curves of decentralised exchanges (DEXs) define, with mathematical formulae, the relationship between liquidity supply, price impact, and execution prices. Most DEXs use the bonding curves of constant function markets (CFMs) to clear the demand and supply of liquidity. CFMs prevent liquidity providers (LPs) from acting strategically, so they operate at a loss, on average. We generalise CFMs and introduce decentralised liquidity pools (DLPs) where dynamic bonding curves maximise the expected wealth of LPs. In the DLP, the bonding curve is determined by impact functions that encode how liquidity taking orders affect prices and by quote functions that encode how the price of liquidity is set. We develop models to find the optimal bonding curve when LTs are sensitive to the price of liquidity and when prices form in a competing trading venue, form in the DLP, or form in various venues. In fragmented markets, the DLP employs the trading flow to estimate the fundamental price and to adjust the bonding curve. Our models may be used as dynamic fee hooks in Uniswap v4 when the price impact of orders are those implied by the constant product function.

20th November

Emmet Lawless (Dublin City University)

Title: TBC

Abstract: TBC

27th November

Nazem Khan (University of Oxford)

Title: TBC

Abstract: TBC

4th December

Alessandro Doldi (Università degli Studi di Milano)

Title: TBC

Abstract: TBC