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the Department of Operartions Research an 19 March 2009 CASE QPL Distinguished Lecture Series This lecture series on Recent Developments in Measuring and Modeling Financial Market Volatility is given by Torben G Andersen and Tim Bollerslev 8 January 2009 9 January 2009 Humboldt Distinguished Lecture Series in Applied Mathematics The lectures by R Terry Rockafellar discuss recent developments in optimization convex analysis and their applications to mathematical finance 16 October 2008 17 October 2008 Hermann Otto Hirschfeld Lecture These lectures by Yacine Ait Sahalia will discuss recent developments in the econometrics of high frequency financial data http www case hu berlin de events HOH08 index html 6 October 2008 7 October 2008 Workshop on Mathematical Finance for Young Researchers Jointly organized by Humboldt Universität zu Berlin Technische Universität Berlin and the Quantitative Products Laboratory the workshop brings together senior scientists young research http www qplab com EN showpage asp pageid 85 6 October 2008 Workshop on Mathematical Finance for Young Researchers This workshop provides an opportunity for PhD students postdoctoral fellows and young faculty members to present and discuss their work in an informal environment The keynote speakers are 30 June 2008 11 July 2008 Perceiving Measuring and Managing Risk Illiquidity Long Term Risk Natural Resources This summer school is organized jointly with the Pacific Institute for the Mathematical Sciences and takes place at the University of British Columbia in Vancouver 27 October 2007 28 October 2007 Humboldt Princeton Conference Semiparametric meets mathematical finance http www case hu berlin de events Archive HU Princeton2007 Non colliding Ornstein Uhlenbeck bridges and symmetry breaking in a quantum 1D Coulomb system TU Berlin Room MA 041 Straße des 17 Juni Berlin Lecturer Kolloquium Sabine Jansen Bochum Jellium is a model where negatively charged electrons move in a uniform neutralizing background of positive charge

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Search this site You are here Home Humboldt Distinguished Lecture Series in Applied Mathematics Humboldt Distinguished Lecture Series in Applied Mathematics 20 October 2015 21 October 2015 Kategorie Lecture Series Rudower Chaussee 25 Room 1 013 Freddy Delbaen ETH Zürich These lectures will cover the theory of monetary utility functions or risk measures The one period case together with duality arguments will give us the representation theorem The more period case especially the time consistent one will make the bridge to Backward Stochastic Differential Equations Some special topics that might be covered depending on time are Law determined utility functions Mackey continuous convex functions and the relation with functional analysis Uniqueness and Existence of solutions for special BSDE BSDE with unbounded terminal values The lectures take place October 20th 17 15 18 45 October 21st 16 15 17 15 and 17 45 18 45 News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates both internships and permanent positions Please use the following Link if you

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17 oo and 17 3o 18 3o RUD 26 Room 0 307 Thuesday May 20th 16 oo 17 oo and 17 3o 18 3o RUD 26 Room 0 307 The first two lectures will address contingent capital for banks in the form of debt that converts to equity when a bank nears financial distress Contingent capital offers a promising potential solution to the problem of banks that are too big to fail but the design of these securities and the trigger for conversion turns out to be surprisingly delicate and raises interesting questions of broader scope Next we will consider the design of risk weights for regulatory capital requirements We observe than in a simple portfolio selection model ideal risk weights should be proportional to asset profitability rather than asset risk and we analyze an adaptive implementation in which risk weights are adjusted in response to changes in bank portfolios Finally we consider the problem of gauging the magnitude of network effects on contagion and loss amplification in interbank networks We develop bounds on the potential magnitude of network effects that do not rely on detailed knowledge of network topology This years lecture is delivered by Paul Glasserman Paul is is the Jack R Anderson Professor of Business at Columbia Business School where he is research director of the Program on Financial Studies Since 2011 he has also served as a consultant to the Office of Financial Research a new agency within the U S Treasury department created to collect data and undertake research and analysis to enhance financial stability and promote best practices in risk management His research recognitions include the INFORMS Lanchester Prize an IMS Medallion from the Institute of Mathematical Statistics and the Erlang Prize in Applied Probability He is also a recipient of Risk magazine s

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Applied Mathematics Humboldt Distinguished Lecture Series in Applied Mathematics 10 June 2013 11 June 2013 Kategorie Lecture Series RUD 25 Room 1 115 Xunyu Zhou This lecture series is intended for graduate students in mathematics and economics This year it is given by a pioneer in stochastic optimization and renowned financial mathematician The talks take place June 10th 16 oo 17 oo and 17 30 18 3o Johann v Neumann Haus Room 1 115 June 11th 16 00 17 oo and 17 30 18 3o Johann v Neumann Haus Room 1 115 Topics covered include but are not limited to Introduction to Behavioural Finance Expected utility theory expected utility theory challenged behavioural theories RDUT CPT and SP A Behavioural Portfolio Choice Models quantile formulation solutions continuous time and time inconsistency Market Equilibrium and Asset Pricing under RDUT An Arrow Debreu economy individual optimality representative agent CCAPM and interest rate equity premium and risk free rate puzzles News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p d fine job opportunities d fine continuously offers job opportunities for students and university graduates

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and renowned financial mathematician The talks take place at the compus Adlersfof April 25th 16 oo 17 oo and 17 30 18 3o Johann v Neumann Haus Room 1 013 April 26th 16 00 17 oo and 17 30 18 3o Johann v Neumann Haus Room 1 013 There will be four talks Lecture 1 Risk Aggregation Besides the choice of an appropriate risk measure a key question concerns What to do with it In this talk we will discuss some issues related to the aggregation of risk Lecture 2 Copula Theory and Applications Quo Vadis Since their introduction into finance and insurance around 1997 copulas have permeated both theory on and applications in quantitative risk management at all levels In this talk we will stress some more mathematical research issues especially for high dimensional problems Lecture 3 Four Theorems and a Financial Crisis Mathematics has been partially blamed for some aspects of the 2007 2009 credit crisis Using four theorems we will highlight the useful role to be played by mathematics going forward Lecture 4 The Modeling of Rare Events from Methodology to Practice and Back As the title says this is a talk on the historical development of

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Lecture Series The 2011 Humboldt Distinguished Lecture Series in Applied Mathematics is given by Ivar Ekeland on Asymmetry of Information in Finance Prof Ekeland is a fellow of the Royal Society of Canada and a member of the Norwegian and Palestinian Academies of Sciences He was president of the University of Paris Dauphine and director of the Pacific Institute for the Mathematical Sciences and has made pioneering contributions to optimization symplectic topology microeconomics and finance He is well known for the Ekeland variational principle and the Ekeland Hofer capacities The talks take place April 12 16 oo 17 oo and 17 3o 18 3o Johann v Neumann Haus Room 1 115 April 13 17 oo 18 oo and 18 3o 19 30 Johann v Neumann Haus Room 1 115 and covers the following topics Asymmetrie of information adverse selection moral hazard the principal agent problem Adverse Selection generalized convexity the principal s problem as an optimization problem with convexity constraints existence theory Moral Hazard limited liability in finance Sannikov s method News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs with Princeton University and NUS Young researcher worksho p

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16 30 17 30 Erwin Schrödinger Zentrum Room 0 310 Search for Counterparties and Negotiation of Prices in Over The Counter Markets June 24th 15 oo 16 oo and 16 3o 17 3o Johann v Neumann Haus Room 1 013 Information Percolation in Over The Counter Markets Keywords Search markets over the counter markets dynamic asset pricing information percolation Boltzmann equation The slides are here Lecture 1 Lecture 2 Lecture

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to the measuring and forecasting financial market volatility The quantification of an asset s or a market s volatility is a central aspect in financial practice It is of enormous importance for asset pricing portfolio allocation and risk management The lecture series deals with recent developments in the areas of implied and realized volatility modelling Besides implications for forecasting newest insights into the relations between both volatility concepts will be

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