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Events

25
Nov

Enterprise Tuesday – Growing the Business: Where Process & Spirit Come Together

18:00 - 21:00 |

Trumpington St, Cambridge, Cambs, VS, CB2 1PZ

Denis Kaminskiy, Arcus Global
Emma Ratzer, Access Community Trust
Jane Dancer, F-star

Abstract to follow.

This Enterprise Tuesday is being chaired by Professor Stelios Kavadias, Margaret Thatcher Professor of Enterprise Studies in Innovation & Growth at Cambridge Judge Business School.

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27
Nov

Seminar – Robust vs Realistic: Interpolating between Model-specific & Model-free Settings for Pricing & Hedging

17:00 - 18:00 |

Trumpington St, CambridgeGB, CB2 1AG

Professor Jan Obloj, University of Oxford

Classical models in mathematical finance, even if highly complex, typically share important methodological weaknesses: failure to account for model uncertainty and failure to incorporate market information in a consistent manner. In the wake of financial crisis these have been much debated. In response, an increasingly active field of research focuses on model-free super/sub-hedging using the underlying and Vanilla options. Explicit results often rely on pathwise inequalities and embedding techniques while pricing-hedging duality is obtained using martingale optimal transport methods. However, the resulting prices and hedges are often too expensive to be practically relevant.

In this talk I show how to interpolate between the two worlds. I argue that quoted option prices should be incorporated through distributional constraints while beliefs, or past data, are most naturally included through pathwise restrictions. The resulting framework is robust and flexible. It allows for realistic outputs while quantifying the impact of making assumptions. I will present abstract results about pricing-hedging duality and then discuss examples of restrictions on future realised volatility and future option prices.

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27
Nov

Uncovering Unknown Unknowns: Towards a Baconian Approach to Management Decision-making

18:30 - 20:30 |

160 Queen Victoria St, LondonVS, EC4V 4LA

Professor Jochen Runde & Dr Alberto Feduzi, Cambridge Judge Business School

The great Canadian ice hockey player Wayne Gretzky famously observed that “a good hockey player plays where the puck is. A great hockey player plays where the puck is going to be.” Exactly the same idea applies in business: it is usually a good thing to be ahead of the trend. But the challenge is that it is often very difficult to imagine what the future might hold in terms of products, market opportunities, risks, and so on. And this is especially the case in situations of complexity, turbulence and rapid technological change.

In this talk Jochen and Alberto will introduce the ideas of “unknown unknowns” and “black swans”, and show how these relate to the challenge of imagining possible futures.

The focus will be on unknown unknowns; possible eventualities that we do not even register as possibilities when we are thinking about the future. It will be argued that many of us could do better at uncovering unknowns unknowns. Attendees will be shown a technique designed to improve performance in this regard.

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