Friday 10 April 2026

10.00 - 10.30: welcome coffee

10.30 - 11.15: Hansjoerg Albrecher, From optimal dividends to optimal reduction schedules of carbon emissions.

11.15 - 12.00: Tiziano De Angelis, Dynkin games with asymmetric information: martingale theory and examples.

12.00 - 12.45: Simone Scotti, Flight to quality and the gradual walk back: optimal investment under Hawkes jump dynamics and transaction costs.

12.45 - 14.30: lunch break

14.30 - 15.15: Albina Danilova, Risk aversion of insider and dynamic asymmetric information.

15.15 - 15.45: coffee break

15.45 - 16.30: Francesca Primavera, Sig-jump-diffusions and their tractability properties.

ABSTRACTS:

Hansjoerg Albrecher (University of Lausanne, CH): From optimal dividends to optimal reduction schedules of carbon emissions.

Abstract: In this talk the optimal policy for using an allocated carbon emission budget over time is investigated, with the objective to maximize profit under additional considerations of sustainability aspects. Under diffusion assumptions of the underlying budget process, we formulate and solve the associated stochastic control problems, explicitly look into the effects of present-biased preferences of decision-makers, and consider a constraint on ratcheting-down of consumption. In particular, we use and extend stochastic control techniques developed for optimal dividend strategies in insurance risk theory for the present purpose. The approach also enables to study the effects and efficiency of carbon taxation to steer emission patterns towards a certain target.

Tiziano De Angelis (University of Turin, IT): Dynkin games with asymmetric information: martingale theory and examples.

Abstract: In this talk I will consider zero-sum Dynkin games in continuous time when players have access to different filtrations. In a general non-Markovian setting I will illustrate results about the existence of the value and of a saddle point in randomised strategies, along with a dynamic characterisation of the value process and of the equilibrium strategies. Then, I will apply those results to derive a closed-form equilibrium in a game with foresight. The talk is based on joint and ongoing work with D. Hobson, N. Merkulov, J. Palczewski, J. Smith

Simone Scotti (Université Paris Cité, FR, and University of Pisa, IT): Flight to quality and the gradual walk back: optimal investment under Hawkes jump dynamics and transaction costs.

Abstract: This work contributes to the investment-consumption literature by focusing on the presence of large fluctuations clustered in time, a phenomenon frequently observed following financial announcements. We study the optimal investment and consumption problem for a risk-averse investor in a financial market consisting of a single risky asset subject to self-exciting jumps, and in the presence of proportional transaction costs. We demonstrate that the value function can be characterized as the solution to a three-dimensional system of integro-differential variational inequalities. Furthermore, we show that the problem is equivalent to a two-dimensional double singular control problem, which allows us to characterize the solution using a viscosity approach. We conclude with a numerical analysis that provides a comprehensive comparative statics, shedding light on the evolution of the optimal investment policy during and outside clusters. Our main financial finding is that, following a negative jump, the optimal strategy may involve selling the risky asset, even in the absence of short-selling opportunities. This result contrasts with a large body of the quantitative finance literature, yet aligns with empirical observations. Our model thus captures an endogenous flight-to-quality behavior during clustered jump periods, and a slow recovery toward pre-crisis levels once the cluster ends. This talk is based on joint work with Alexis Houssard and Vathana Ly Vath.

Albina Danilova (London School of Economics, UK): Risk aversion of insider and dynamic asymmetric information.

Abstract: This paper studies a Kyle-Back model with a risk-averse insider possessing exponential utility and a dynamic stochastic signal about the asset's terminal fundamental value. While the existing literature considers either risk-neutral insiders with dynamic signals or risk-averse insiders with static signals, we establish equilibrium when both features are present. Our approach imposes no restrictions on the magnitude of the risk aversion parameter, extending beyond previous work that requires sufficiently small risk aversion. We employ a strong conditioning methodology to construct a Schr¨odinger bridge between the insider's signal and the asset price process, an approach that naturally accommodates stochastic signal evolution and removes risk aversion constraints. We derive necessary conditions for equilibrium, showing that the optimal insider strategy must be continuous with bounded variation. Under these conditions, we characterize the market-maker pricing rule and insider strategy that achieve equilibrium. We obtain explicit closed-form solutions for important cases including deterministic signal volatility and static signal, demonstrating the tractability of our framework.

Francesca Primavera (Ecole Polytechnique, FR): Sig-jump-diffusions and their tractability properties.

Abstract: Signature-based models have recently entered the field of stochastic modeling, in particular in Mathematical Finance. The choice of the signature as the main building block is mainly explained by a universal approximation theorem according to which linear functionals of the time-extended signature can approximate continuous functionals of paths. Relying on these approximation results, we introduce a generic class of jump-diffusion models, called Sig-jump-diffusions, and elaborate on their tractability properties. As a special case, we focus on jump-diffusions with holomorphic characteristics, an extension of the class of polynomial processes for which expected values of holomorphic functions of the process's marginals are expressed as power series expansions in terms of the process's initial value. This talk is based on joint work with Christa Cuchiero and Sara Svaluto-Ferro.