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- Research Seminars | Applied Financial Mathematics

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 Platen University of Technology Sydney The presentation discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark the numeraire portfolio as reference unit 25 June 2015 Dirichlet Forms Methods for Poisson Point Measures and Lévy Processes TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Laurent Denis University of Le Mans We present an approach to absolute continuity and regularity of laws of Poisson functionals based on the framework of local Dirichlet forms 17 June 2015 Rank based Markov chains self organized criticality and order book dynamics TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 6 p m Lecturer Jan Swart Prag In this talk we will take a look at some systems of interacting particles on the real line where the only spatial structure that is relevant for the dynamics is the relative order of the particles 11 June 2015 Incorporating parameter risk into derivatives prices an approach to bid ask spreads TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Karl Bannör Deloitte Touche GmbH We present a new method based on convex risk measures to incorporate parameter risk e g estimation and

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=2 (2016-04-24)

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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 of volatility using recent high frequency data Gatheral Jaisson and Rosenbaum SSRN 2509457 2014 showed that log volatility behaves essentially as a fractional 16 April 2015 Sensitivity of Optimal Comsumption Streams TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Martin Herdegen ETH Zürich We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment 12 February 2015 Markovian stochastic control with f expectation Rudower Chaussee 25 Room 1 115 4 p m Lecturer Marie Claire Quenez University Paris Diderot We study mixed optimal control stopping problems for f expectations in the Markovian framework We first establish a dynamic programming principle 12 February 2015 Asymptotic indifference pricing in Lévy models Rudower Chaussee 25 Room 1 115 5 p m Lecturer Peter Tankov Université Paris Diderot Financial markets based on Lévy processes are typically incomplete and option prices depend on risk preferences of individual agents 4 February 2015 Linear quadratic optimal control from deterministic to stochastic Rudower Chaussee 25 Room 1 115 6 p m Lecturer Shanjian Tang Fudan University Richard Kalman s work on linear quadratic optimal control theory for ordinary differential equations is a milestone in the developments of deterministic optimal control theory 29 January 2015 Multi dimensional quadratic BSDEs Rudower Chaussee 25 Room 1 115

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=3 (2016-04-24)

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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 1 115 6 p m Lecturer Rene Schilling TU Dresden We are interested in mutual absolute continuity and singularity of probability measures on the path space which are induced by an isotropic stable Lévy process and the purely discontinuous Girsanov tr 4 December 2014 Approximations of stochastic partial differential equations and applications in forward markets Rudower Chaussee 25 Room 1 115 4 p m Lecturer Andrea Barth IANS Stuttgart In this talk I present a model for a yield curve in a forward market using a stochastic partial differential equation driven by an infinite dimensional Lévy process 4 December 2014 Dealing with partial hedging or risk management constraints via BSDEs with weak reflections Rudower Chaussee 25 Room 1 115 5 p m Lecturer Romuald Elie Université Paris Est Marne la Vallée In many incomplete markets the super replication price of a given eventually non Markovian claim rewrites in terms of the minimal super solution of a well chosen Backward stochastic differential eq 20 November 2014 Convex duality in continuous time stochastic optimization Rudower Chaussee 25 Room 1 115 4 p m Lecturer Teemu Pennanen King s College London We develop a duality framework for convex optimization problems over spaces of

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=4 (2016-04-24)

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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 Siorpeas University of Vienna Föllmer has shown that one can obtain a pathwise Itô formula for paths which possess quadratic variation along a fi xed sequence of partitions this applies of course to a e 23 October 2014 Multilevel scheme for BSDEs Rudower Chaussee 25 Room 1 115 5 p m Lecturer Plamen Turkedjiev CMAP École Polytechnique Paris We develop a multilevel approach to compute approximate solutions to backward di erential equations BSDEs 17 July 2014 Backward Stochastic Partial Differential Equations and their Application to Stochastic Black Scholes Formula TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Qi Zhang Fudan University The backward SPDEs originated from the study of optimal control theory of SPDEs can be applied to mathematical finance problems 17 July 2014 Affine processes from the perspective of path space valued Lévy processes TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Nicolleta Gabrielli 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

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=5 (2016-04-24)

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is characterized by the existence of equivalent martingale or local martingale measures 11 June 2014 Master equation for mean fi eld games WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 6 p m Lecturer François Delarue Université Nice Sophia Antipolis CNRS Mean fi eld games are part of large population stochastic control 5 June 2014 Estimate nothing TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Chris Rogers University of Cambridge In the econometrics of financial time series it is customary to take some parametric model for the data and then estimate the parameters from historical data 5 June 2014 Efficient Laplace and Fourier inversions and Wiener Hopf factorization in financial applications TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 5 p m Lecturer Sergei Levendorskii Leicester University Appropriate conformal deformations increase the speed and accuracy of calculation of fairly complicated oscillatory integrals in option pricing formulas in many cases when standard approaches are eith 28 May 2014 Interacting particle systems nonlinear Markov processes and SDEs driven by nonlinear Levy noise WIAS Berlin Mohrenstraße 39 Erhard Schmidt Saal 6 p m Lecturer Vassili Kolokoltsov University of Warwick We shall discuss general approaches to the analysis of the dynamics of 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 Interplay Between the Nonlinear and Nonlocal Components of Diffusions

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=6 (2016-04-24)

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A decomposable strongly critical Galton Watson branching process with N types of particles labelled 1 2 N is considered in which a type i parent may produce individuals 30 April 2014 Discrete Non Probabilistic Market Models Arbitrage and Pricing Intervals WIAS Berlin Mohrenstraße 39 Room 406 5 p m Lecturer Sebastian Ferrando Ryerson University Toronto In the simplest discrete setting of a stock and a bank account with 0 interest rates we describe a trajectory based approach to pricing options 24 April 2014 Satiation Preferences The Case of Certainty TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Lecturer Daniel Smith Universität Mannheim Based on a neurobiological 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

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=7 (2016-04-24)

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contests Rudower Chaussee 25 Room 1 115 4 15 p m Lecturer Stefan Ankirchner Universität Bonn We consider the Skorokhod embedding problem SEP for a general time homogeneous diffusion X given a distribution is there a stopping time such that the stopped process X has the distribution 9 January 2014 Trading with Small Price Impact Rudower Chaussee 25 Room 1 115 5 15 p m Lecturer Ludowik Moreau ETH Zürich An investor trades a safe and several risky assets with linear price impact to maximize expected utility from terminal wealth In the limit for small impact costs we explicitly determine 12 December 2013 Insider trading arbitrage profits and honest times Rudower Chaussee 25 Room 1 115 5 15 p m Lecturer Claudio Fontana INRIA Paris In the context of a general continuous financial market model we study whether the additional information associated with an honest time T gives 12 December 2013 Numerical scheme for quasilinear SPDE s via Backward doubly SDE s Rudower Chaussee 25 Room 1 115 4 15 p m Lecturer Anis Matoussi Université du Maine We introduce forward backward doubly SDEs and explain their connection to quasilinear stochastic partial differential equations SPDEs in short 28 November 2013 On a stochastic Fourier transformation Rudower Chaussee 25 Room 1 115 Lecturer Shigeyoshi Ogawa Ritsumeikan University For a certain class of random functions we introduce a stochastic Fourier transformation SFT via its stochastic Fourier coefficients SFC It was shown in very earlier 28 November 2013 Strong Supermartingales and Portfolio Optimisation under Transaction Costs Rudower Chaussee 25 Room 1 115 Lecturer Christoph Czichowsky London School of Economicx and Political Science In this talk we develop a general duality theory for portfolio optimisation under proportional 31 October 2013 Simulation of conditional diffusions via forward reverse stochastic representations Rudower Chaussee 25 Room 1

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

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Dynamics of Contract Design with Screening Lecturer Jaksa Cvitanic http www qfl berlin com dynamics contract design screening 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 first previous 2 3 4 5

Original URL path: http://horst.qfl-berlin.de/research-seminars?page=9 (2016-04-24)

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