Quantitative Finance - Toward A General Framework for Modelling Roll-Over Risk

Explore a comprehensive virtual talk series on mathematical finance and engineering in this one-hour presentation organized by the SIAM Activity Group on Financial Mathematics and Engineering. Delve into two key topics: a general framework for modeling roll-over risk in quantitative finance, presented by Mesias Alfeus from Stellenbosch University, and the exploration-exploitation trade-off in continuous-time episodic reinforcement learning with linear-convex models, discussed by Yufei Zhang from the London School of Economics. Gain insights into basis swaps, Liois spreads, arbitrage strategies, and roll-over risk, as well as learning algorithms, exploration policies, and performance gap assumptions in reinforcement learning. Hosted by Sam Cohen from the University of Oxford, this talk offers a deep dive into cutting-edge research in financial mathematics and engineering.

Introduction
Outline
Background
Basis Swap
Liois Spread
Literature
Arbitrage Strategy
RollOver Risk
Question
Presentation
Feedback Policy
Independent Trials
Learning Algorithms
Exploration Policy
PhaseBased Algorithm
Performance Gap Assumption
Numerical Result
Linear Dynamic
Exploration