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  • Humboldt-Princeton Conference 2013 | Applied Financial Mathematics
    Humboldt Princeton Conference 2013 1 November 2013 2 November 2013 Kategorie Workshop and Conferences Princeton University ORFE Department http orfe princeton edu conferences ph13 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

    Original URL path: http://horst.qfl-berlin.de/humboldt-princeton-conference-2013 (2016-04-24)
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  • Richard-von-Mises Lecture | Applied Financial Mathematics
    Mises Lecture 14 June 2013 Kategorie Workshop and Conferences Louis H Y Chen National University of Singapore http www qfl berlin com richard von mises lecture 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

    Original URL path: http://horst.qfl-berlin.de/richard-von-mises-lecture (2016-04-24)
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  • 4th Berlin Workshop on Mathematical Finance for Young Researchers | Applied Financial Mathematics
    2012 Kategorie Workshop and Conferences The 4th Berlin Workshop on Mathematical Finance for Young Researchers provides a forum for PhD students postdoctoral researchers and young faculty members from all over the world to discuss their research in an informal atmosphere Keynote lectures will be given by Freddy Delbaen Zurich Rüdiger Frey Vienna Steven Shreve Pittsburgh We also invite up to 15 contributed papers from young researchers Accommodation expenses for speakers will be covered Very limited support for travel expenses may also be available upon request The closing date for submissions to finance math hu berlin de is June 15th 2012 Notification of acceptance will be sent by July 15th 2012 The workshop takes place at the Humboldt Graduate School Luisenstr 56 10117 Berlin here is a map Registration is required a conference fee of 50 including the conference dinner applies Further information will be posted here as it becomes available We look forward to meeting you in Berlin The Organizers Jana Bielagk Selim Gökay Christoph Mainberger Peter Bank Peter Friz Ulrich Horst Michael Kupper 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

    Original URL path: http://horst.qfl-berlin.de/4th-berlin-workshop-mathematical-finance-young-researchers (2016-04-24)
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  • 3rd Humboldt-Princeton Conference | Applied Financial Mathematics
    It takes place Friday Oct 28th at Heilig Geist Kapelle School of Business and Economics Spandauer Strasse 1 10178 Berlin Saturday Oct 29th at Room 125 School of Business and Economics Spandauer Strasse 1 10178 Berlin For further information please visit http www case hu berlin de events events Archive events Archive HU Pri News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU

    Original URL path: http://horst.qfl-berlin.de/3rd-humboldt-princeton-conference (2016-04-24)
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  • Workshops and Conferences | Applied Financial Mathematics
    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 27 October 2007 28 October 2007 Humboldt Princeton Conference Semiparametric meets mathematical finance http www case hu berlin de events Archive HU Princeton2007 first previous 1 2 News Computer klüger als der Mensch

    Original URL path: http://horst.qfl-berlin.de/workshop-conferences?page=1 (2016-04-24)
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  • Stochastic geometry and stochastic analysis: Poisson U-statistics | Applied Financial Mathematics
    A Poisson U statistic with kernel f is the sum of f x 1 x k over all k tuples of X Poisson U statistics play an important role in Stochastic Geometry Many functionals of interest can be written as U statistics We investigate some elementary properties of Poisson U statistics and the limit behaviour of Poisson U statistics central limit theorems and concentration inequalities News Computer klüger als der

    Original URL path: http://horst.qfl-berlin.de/stochastic-geometry-and-stochastic-analysis-poisson-u-statistics (2016-04-24)
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  • Volatility estimation under one-sided errors with applications to limit order books | Applied Financial Mathematics
    order books Volatility estimation under one sided errors with applications to limit order books 17 December 2015 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 4 p m Markus Bibinger Universität Mannheim We consider a semi martingale which forms a stochastic boundary where we have discrete observations with one sided errors A rate optimal estimator of the quadratic variation is constructed The problem is embedded in a Poisson point process framework which reveals an interesting connection to the theory of Brownian excursion areas We derive n 1 3 as optimal minimax convergence rate in a high frequency framework with n observations in mean This reveals an intriguing improved rate in comparison to the prominent model with regular noise which is standard to describe volatility estimation under market microstructure We discuss an application for the estimation of the integrated squared volatility of an efficient price process from intra day limit order book quotes joint work with Moritz Jirak and Markus Reiß 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

    Original URL path: http://horst.qfl-berlin.de/volatility-estimation-under-one-sided-errors-applications-limit-order-books (2016-04-24)
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  • Research Seminars | Applied Financial Mathematics
    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 and sell a wide variety of assets 18 November 2015 Robustness of spatialpreferentialattachment networks WIAS Erhard Schmidt Saal Mohrenstraße 39 10117 Berlin 6 p m Lecturer Peter Mörters Bath A growing family of random graphs is called robust if it retains a giant component after percolation with arbitrarily small positive retention probability 11 November 2015 Probability and Other Branches of Mathematics TU Berlin Room MA 042 Straße des 17 Juni 136 10623 Berlin 6 p m Lecturer Jordan Stoyanov Newcastle University This lecture will be addressed to a wide audience from undergraduate and graduate students in Mathematics Statistics Physics and Computer Science to MSc and PhD

    Original URL path: http://horst.qfl-berlin.de/research-seminars?page=1 (2016-04-24)
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