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- On the pathwise quadratic variation and local time | Applied Financial Mathematics

this site You are here Home On the pathwise quadratic variation and local time On the pathwise quadratic variation and local time 23 October 2014 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 4 p m 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 path of any given semimartingale Here we investigate the extent to which the quadratic variation can depend on the sequence of partitions Then we extend Wuermlis work and develop a pathwise Tanaka Meyer formula for continuous paths which admit pathwise local time which we prove to exist for a e path of a continuous semimartingale Finally we describe how the pathwise local time behaves under change of variable and time change 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

Original URL path: http://horst.qfl-berlin.de/pathwise-quadratic-variation-and-local-time (2016-04-24)

Open archived version from archive - Multilevel scheme for BSDEs | Applied Financial Mathematics

Multilevel scheme for BSDEs 23 October 2014 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 5 p m Plamen Turkedjiev CMAP École Polytechnique Paris We develop a multilevel approach to compute approximate solutions to backward di erential equations BSDEs The fully implementable algorithm of our multilevel scheme constructs sequential martingale control variates along a sequence of re ning time grids to reduce statistical approximation errors in an adaptive and generic way We provide an error analysis with explicit and non asymptotic error estimates for the multilevel scheme under general conditions on the forward process and the BSDE data It is shown that the multilevel approach can reduce the computational complexity to achieve precision ensured by error estimates essentially by one order in 1 in comparison to established methods which is substantial Computational examples support the validity of the theoretical analysis demonstrating e ciency improvements in practice This is a joint work with Dirk Becherer 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

Original URL path: http://horst.qfl-berlin.de/tba-12 (2016-04-24)

Open archived version from archive - Events | Applied Financial Mathematics

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 6 December 2013 7 December 2013 First Berlin Meeting of Graduate Probability and Stastistics Latinamerican Students http www mathematik hu berlin de backhoff meeting2013 html 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 1 November 2013 2 November 2013 Humboldt Princeton Conference 2013 Princeton University ORFE Department http orfe princeton edu conferences ph13 31 October 2013 Simulation of conditional diffusions via forward reverse stochastic representations Rudower Chaussee 25 Room 1 115 Lecturer Christian Bayer WIAS Berlin In this paper we derive stochastic representations for the finite dimensional distributions of a multidimensional diffusion on a fixed time interval conditioned

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

Open archived version from archive - Backward Stochastic Partial Differential Equations and their Application to Stochastic Black-Scholes Formula | Applied Financial Mathematics

this site You are here Home Backward Stochastic Partial Differential Equations and their Application to Stochastic Black Scholes Formula Backward Stochastic Partial Differential Equations and their Application to Stochastic Black Scholes Formula 17 July 2014 Kategorie Research Seminars TU Berlin Room MA 041 Straße des 17 Juni 136 10623 Berlin 4 p m Qi Zhang Fudan University The backward SPDEs originated from the study of optimal control theory of SPDEs can be applied to mathematical finance problems We demonstrate their theoretical application to stochastic Black Scholes formula in a general setting to the parameters of the model This application is based on our studies of the solvability to degenerate backward SPDEs without technical assumptions and their connection with forward backward SDEs The connection between backward SPDEs and forward backward SDEs can also be regarded as an extension of Feynman Kac formula to non Markovian framework 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

Original URL path: http://horst.qfl-berlin.de/tba-8 (2016-04-24)

Open archived version from archive - Affine processes from the perspective of path-space valued Lévy processes | Applied Financial Mathematics

for Markov processes we show how to identify affine processes as solutions of certain time change equations More precisely we are able to construct the paths of an affine process from the paths of a family of Lévy processes properly timechanged The approach relies on the construction of a universal transformation on the path space transforming the laws of a family of Lévy processes with no negative jumps to the

Original URL path: http://horst.qfl-berlin.de/tba-9 (2016-04-24)

Open archived version from archive - Einstein relation for random walks in random environment | Applied Financial Mathematics

at equilibrium It states that the derivative of the velocity with respect to the strength of the perturbation equals the diffusivity We consider random walks in an iid random environment RWRE under perturbation We obtain the derivative of the speed of the RWRE assuming one of the following i the environment has no drift and the perturbation satisfies a ballisticity condition ii the environment is ballistic This is a generalized

Original URL path: http://horst.qfl-berlin.de/einstein-relation-random-walks-random-environment (2016-04-24)

Open archived version from archive - Barclays Company Presentation | Applied Financial Mathematics

Quantitative Analytics Group at Barclays Investment Bank Quants are responsible for developing and implementing core analytics used within the Investment Bank as well as helping the desk to manage the risk During the seminar we will give an introduction to the Quantitative Analytics Group including its internship and graduate program and a technical presentation a sample quant s modelling problem The seminar is followed by a networking session where we

Original URL path: http://horst.qfl-berlin.de/barclays-company-presentation (2016-04-24)

Open archived version from archive - Poisson and Compound Poisson Asymptotics in Conventional And Nonconventional Setups | Applied Financial Mathematics

Hebrew University Jerusalem The Poisson limit theorem which appeared in 1837 seems to be the first law of rare events in probability Various generalizations of it and estimates of errors of Poisson approximations were obtained in probability and more recently this became a popular topic in dynamics in the form of study of asymptotics of numbers of arrivals at small shrinking sets by a stochastic process or by a dynamical system I will describe recent results on Poisson and compound Poisson asymptotics in a nonconventional setup i e for numbers of events of multiple returns to shrinking sets namely for numbers of combined events of the type w xi jn w in Gamma N j 1 l n N where xi k w is defined as a stochastic process from the beginning or it is built from a dynamical system by writing xi k w T k w We obtain an essentially complete description of possible limiting behaviors of distributions of numbers of multiple recurrencies to shrinking cylinders for phi mixing shifts and some of the results are new even for the widely studied single conventional recurrencies case News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research

Original URL path: http://horst.qfl-berlin.de/tba-4 (2016-04-24)

Open archived version from archive