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  • Events | Applied Financial Mathematics
    Rudower Chaussee 25 Room 1 115 5 p m Lecturer Giorgio Ferrari Universität Bielefeld In this talk I consider two player nonzero sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour in the sense of Itô and McKean p 108 3 December 2015 Backward Stochastic Partial Differential Equations in Hölder Spaces Rudower Chaussee 25 Room 1 115 5 p m Lecturer Wenning Wei Fudan University My talk is concerned with solution in Hölder spaces for linear and semi linear backward stochastic partial differential equations BSPDEs of super parabolic type 3 December 2015 Generalized Dynkin games and game options in an imperfect market with default Rudower Chaussee 25 Room 1 115 4 p m Lecturer Roxana Dumitrescu HU Berlin In the first part of the talk we introduce a generalized Dynkin game problem with non linear conditional expectation induced by a Backward Stochastic Differential Equation BSDE with jumps Und 25 November 2015 Convergence and regularity of probability laws by using an interpolation method WIAS Erhard Schmidt Saal Mohrenstraße 39 10117 Berlin 6 p m Lecturer Vlad Bally Marne la Vallée Fournier and Printems Bernoulli 2010 have recently established a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with Hölder contin 19 November 2015 On optimal transport under the causality constraint Rudower Chaussee 25 Room 1 115 4 p m Lecturer Julio Backhoff Universität Wien In this talk we shall examine causal transports and the associated optimal transportation problem under the causality constraint Pc introduced by Rémi Lasalle 19 November 2015 Optimal market making Rudower Chaussee 25 Room 1 115 5 p m Lecturer Olivier Guéant ENSAE ParisTech Market makers provide liquidity to other market participants they propose prices at which they stand ready to buy

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=1 (2016-04-24)
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  • Events | Applied Financial Mathematics
    m Lecturer Nicolas Perkowski HU Berlin I will present several results that can be obtained by analyzing the KPZ equation using paracontrolled distributions 5 August 2015 7 August 2015 11 Doktorandentreffen Stochastik HU Berlin Erwin Schrödinger Zentrum und TU Berlin Mathematik Gebäude Diese jährlich stattfindende Konferenz ist eine Veranstaltung von und für Doktorandinnen und Doktoranden der Stochastik aus dem deutschsprachigen Raum 15 July 2015 Stochastic dynamics near a change of stability Amplitude and Modulation Equations Universität Potsdam House 8 Room 0 58 5 30 p m Lecturer Dirk Blömker Universität Augsburg Modulation or Amplitude Equations are a universal tool to approximate solutions of complicated systems like partial or stochastic partial differential equations SPDEs near a change of stability wh 9 July 2015 Robust pricing hedging and investing in discrete time TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Ludovic Tangpi HU Berlin We provide a theoretical framework for pricing hedging and investing in a model independent financial market 9 July 2015 Application of PPDEs to stochastic differential games TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Ibrahim Ekren ETH Zürich In this talk we define derivatives of functionals on the space of continuous paths and give an introduction to path dependent partial differential equations PPDEs 1 July 2015 Further Advances in Nonconventional Limit Theorems TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 6 p m Lecturer Yuri Kifer Hebrew University Jerusalem Nonconventional limit theorems deal with the asymptotic behavior of sums of the form sum n 1 N F xi q 1 n xi q 2 n 25 June 2015 Benchmarked Risk Minimization TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Eckhard

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=2 (2016-04-24)
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  • Events | Applied Financial Mathematics
    symmetry breaking in a quantum 1D Coulomb system TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 6 p m Lecturer Kolloquium Sabine Jansen Bochum Jellium is a model where negatively charged electrons move in a uniform neutralizing background of positive charge 28 May 2015 Chebyshev Interpolation for Parametric Option Pricing TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Kathrin Glau Technische Universität München Function approximation with Chebyshev polynomials is a well established and thoroughly investigated method within the field of numerical analysis 6 May 2015 Central Limit Theorem for additive functionals of some Markov processes anomalous results TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 6 p m Lecturer Patrick Cattiaux Toulouse In this talk we will consider an ergodic Markov process X t t in mathbb N or t in mathbb R with unique invariant probability mu and some additive functional S t sum k 1 t 30 April 2015 Moral Hazard in Dynamic Risk Management TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Dylan Possamai Université Paris Dauphine CEREMADE We consider a contracting problem in which a principal hires an agent to manage a risky project 22 April 2015 The KPZ Kardar Parisi Zhang equation and its universality class Universität Potsdam House 8 Room 0 58 5 p m Lecturer Herbert Spohn TU München The one dimensional KPZ equation is a stochastic PDE which describes the dynamics of surface growth It is one representative of a much larger universality class 16 April 2015 Pricing under Rough Volatility TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Christian Bayer WIAS Berlin From an analysis of the time series

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=3 (2016-04-24)
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  • Events | Applied Financial Mathematics
    variable In this talk I will start with recalling J M Bismut s Ph 29 January 2015 Second order Pontriagin s principle for stochastic control problems VORTRAG ENTFÄLLT Rudower Chaussee 25 Room 1 115 5 p m Lecturer F Frédéric Bonnans INRIA Saclay Ecole Polytechnique We discuss stochastic optimal control problems whose volatility does not depend on the control and which have finitely many equality and inequality constraints on the expected value 15 January 2015 Non Implementability of Arrow Debreu Equilibria by Continuous Trading under Knightian Uncertainty Rudower Chaussee 25 Room 1 115 4 p m Lecturer Frank Riedel Universität Bielefeld Under risk Arrow Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long lived securities 7 January 2015 The non zero velocity regime of a random walk in random environment at low disorder Rudower Chaussee 25 Room 1 115 6 p m Lecturer Alejandro Ramirez Pontificia Universidad Católica de Chile We consider a random walk whose jump probabilities are i i d perturbations of those of the simple symmetric random walk 18 December 2014 Arbitrage Free Pricing of XVA Rudower Chaussee 25 Room 1 115 4 p m Lecturer Agostino Capponi Columbia University New York We introduce a framework for computing the total valuation adjustment XVA of an European claim accounting for funding spreads counterparty risk and collateral mitigation 18 December 2014 Hawkes processes microstructure and market impact Rudower Chaussee 25 Room 1 115 5 p m Lecturer Mark Hoffmann Université Paris Dauphine I will first shortly review the issue of obtaining simple lattice price models for assets observed at fine temporal scales that are 1 able to reproduce microstructure effects like variance noise or t 10 December 2014 Stable Processes Absolute continuity and singularity under a purely discontinuous Girsanov transform Rudower Chaussee 25 Room

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=4 (2016-04-24)
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  • Events | Applied Financial Mathematics
    stochastic processes 20 November 2014 Martingale Optimal Transport Rudower Chaussee 25 Room 1 115 5 p m Lecturer H Mete Soner ETH Zürich In the original transport problem we are given two measures of equal mass and then look for an optimal map that takes one measure to the other one and also minimizes a given cost functional 12 November 2014 A primal dual algorithm for backward SDEs Rudower Chaussee 25 Room 1 115 5 p m Lecturer Christian Bender Universität des Saarlandes Numerical methods for backward stochastic differential equations BSDEs typically consist of two steps 12 November 2014 Time Homogeneous Processes with Given Marginal Rudower Chaussee 25 Room 1 115 6 p m Lecturer John M Noble University of Warsaw In this talk I consider the following problem given a probability measure mu over R with well defined expected value and given deterministic time does there exist a gap diffusion with the presc 6 November 2014 BSDEs of Counterparty Risk and Invariant Times Rudower Chaussee 25 Room 1 115 4 p m Lecturer Stéphane Crépey Evry University This work is motivated by the need to generalize the classical credit risk reduced form modeling approach for counterparty risk applications 29 October 2014 Diffusive limits for stochastic kinetic equations Rudower Chaussee 25 Room 1 115 5 p m Lecturer Arnoud Debussche ENS Rennes In this talk we consider kinetic equations containing random terms 29 October 2014 Anomalous random walks and their scaling limits From fractals to random media Rudower Chaussee 25 Room 1 115 6 p m Lecturer Takashi Kumagai Kyoto University In this talk I present results concerning the behavior of random walks and diffusions on disordered media 23 October 2014 On the pathwise quadratic variation and local time Rudower Chaussee 25 Room 1 115 4 p m Lecturer Pietro

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=5 (2016-04-24)
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  • Events | Applied Financial Mathematics
    ETH Zürich Based on the theory of multivariate time change for Markov processes we show how to identify affine processes as solutions of certain time change equations 9 July 2014 Einstein relation for random walks in random environment WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 6 p m Lecturer Xiaoqin Guo TU München The Einstein relation describes the relation between the response of a system to a perturbation and its diffusivity at equilibrium 7 July 2014 11 July 2014 New Directions in Financial Mathematics and Mathematical Economics Banff International Research Station Official Webpage 3 July 2014 Barclays Company Presentation TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Background in mathematics physics or informatics 25 June 2014 Poisson and Compound Poisson Asymptotics in Conventional And Nonconventional Setups WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 6 p m Lecturer Yuri Kifer Hebrew University Jerusalem The Poisson limit theorem which appeared in 1837 seems to be the first law of rare events in probability 24 June 2014 27 June 2014 Minicourse on Random Interlacements TU Berlin HU Berlin Lecturer Alexander Drewitz Columbia University In these lectures we will give an introduction to the model of random interlacements that has been 19 June 2014 Valuation in illiquid markets TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Ernst Eberlein Albert Ludwigs Universität Freiburg After a long period with an abundance of liquidity in the markets the 2007 2009 financial crisis illustrated in a dramatic way how fundamental liquidity risk is 19 June 2014 Fundamental theorem of asset pricing without reference measure TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Ludovic Tangpi Universität Konstanz When a financial market is governed by a single

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=6 (2016-04-24)
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  • Events | Applied Financial Mathematics
    interacting particle systems their dynamic law of large numbers and the dynamic central limit for the fluctuations stressing bo 26 May 2014 30 May 2014 Minicourse on Lévy Processes and Optimal Stopping HU Berlin TU Berlin WIAS Berlin Lecturer Erik Baurdoux LSE We start with the classical secretary problem where our aim is to choose the best candidate out of a number of applicants appearing in front of us in a random order without having the option of goin 21 May 2014 24 May 2014 Berlin Singapore Workshop on Quantitative Finace WIAS and Jacob und Wilhelm Grimm Zentrum The First Berlin Singapore Workshop on Quantitative Finance and Financial Risk is the first of a series of workshops with the aim of establishing a sustainable cooperation between Sin 21 May 2014 Interplay Between the Nonlinear and Nonlocal Components of Diffusions Driven by Levy Processes WIAS Berlin Mohrenstraße 39 Erhard Schmidt Hörsaal 5 30 p m Lecturer Wojbor A Woyczynski Case Western Reserve University One of the motivations of our program was to develop understanding of the interplay between the nonlinear and nonlocal components in evolution equation driven by the infinitesimal generators of stocha 19 May 2014 20 May 2014 Humboldt Distinguished Lecture Series in Applied Mathematics Rudower Chaussee 26 Room 0 307 4 p m 6 30 p m Lecturer Paul Glasserman Columbia Business School These lectures will cover problems of mathematical modeling that arise from efforts to enhance the stability of the financial system They take place 14 May 2014 Overview on results and open problems related to heavy tailed distributions TU Berlin Room MA041 Straße des 17 Juni 136 6 p m Lecturer Sergey Foss Heriot Watt University Edinburgh I will speak about various topics related to heavy tails formulate some results and hypotheses and introduce a number of

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=7 (2016-04-24)
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  • Events | Applied Financial Mathematics
    model we explore the origins of utility 24 April 2014 High Resilience Limits of Block Shaped Order Books TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Johannes Muhle Karbe ETH Zürich We show that wealth processes in the block shaped order book model of Obizhaeva and Wang converge to their counterparts in the reduced form model of Almgren and Chriss as the resilience of the order b 23 April 2014 Critical percolation in some random fractal gaskets WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 5 p m Lecturer Wendelin Werner ETH Zürich We will survey some recent work and work in progress with Jason Miller and Scott She eld on coupling between various conformal loop ensembles these are natural random collection of loops in a two dim 22 April 2014 25 April 2014 Minicourse on some new aspects of Backward Stochastic Differential Equations theory and application to Finance HU Berlin WIAS Berlin TU Berlin Lecturer Anthony Reveillac Université Paris Dauphine The main goal of this course is to provide an introduction to the theory of Backward Stochastic Di fferential Equations BSDEs and to its strong connection to Finance 16 April 2014 Arbitrage of the first kind and Filtration Enlargements in Semimartingale Financial Models WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 5 p m Lecturer Beatrice Acciaio LSE I will discuss the stability of the No Arbitrage of the First Kind NA1 or equivalently No Unbounded Profit with Bounded Risk condition in a general semimartingale financial model under initial 16 April 2014 Regularization by noise for dispersive equation WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 6 p m Lecturer Khalil Chouk TU Berlin We discuss local and global existence for dispersive equation with irregular modulated dispersion and we show in some case that

    Original URL path: http://horst.qfl-berlin.de/newsandevents?page=8 (2016-04-24)
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