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  • Workshop on Mathematical Finance for Young Researchers | Applied Financial Mathematics
    Jointly organized by Humboldt Universität zu Berlin Technische Universität Berlin and the Quantitative Products Laboratory the workshop brings together senior scientists young researchers and practitioners to discuss recent trends in Mathematical Finance http www qplab com EN showpage asp pageid 85 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

    Original URL path: http://horst.qfl-berlin.de/workshop-mathematical-finance-young-researchers (2016-04-24)
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  • Workshop on Mathematical Finance for Young Researchers | Applied Financial Mathematics
    postdoctoral fellows and young faculty members to present and discuss their work in an informal environment The keynote speakers are Jan Kallsen Christian Albrechts Universität zu Kiel Ioannis Karatzas Columbia University Roel C A Oomen Deutsche Bank AG London Halil Mete Soner Sabanaci University For more information please click here News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research Projects funded under HU s strategic partnership programs

    Original URL path: http://horst.qfl-berlin.de/workshop-mathematical-finance-young-researchers-0 (2016-04-24)
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  • Humboldt-Princeton Conference | Applied Financial Mathematics
    Conference 27 October 2007 28 October 2007 Kategorie Workshop and Conferences Semiparametric meets mathematical finance http www case hu berlin de events Archive HU Princeton2007 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/humboldt-princeton-conference (2016-04-24)
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  • Non-colliding Ornstein-Uhlenbeck bridges and symmetry breaking in a quantum 1D Coulomb system | Applied Financial Mathematics
    breaking in a quantum 1D Coulomb system Non colliding Ornstein Uhlenbeck bridges and symmetry breaking in a quantum 1D Coulomb system Kategorie Research Seminars TU Berlin Room MA 041 Straße des 17 Juni Berlin Kolloquium Sabine Jansen Bochum Jellium is a model where negatively charged electrons move in a uniform neutralizing background of positive charge Eugene Wigner conjectured that at low density the electrons should crystallize i e form a periodic lattice We prove that in dimension 1 in a quantum mechanics setup this actually happens for all temperatures and densities thereby extending low density results by Brascamp and Lieb 1975 and classical results by Aizenman and Martin 1980 The proof uses the Feynman Kac formula to map the quantum model to asystem of non colliding Ornstein Uhlenbeck bridges and then applies the Krein Rutman theorem an infinite dimensional version of Perron Frobenius The talk is based on joint work with Paul Jung University of Alabama at Birmingham 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

    Original URL path: http://horst.qfl-berlin.de/non-colliding-ornstein-uhlenbeck-bridges-and-symmetry-breaking-quantum-1d-coulomb-system (2016-04-24)
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  • The Skorokhod embedding problem for homogeneous diffusions and applications to stopping contests | Applied Financial Mathematics
    9 January 2014 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 4 15 p m 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 We present a solution method that makes use of martingale representations and draws on law uniqueness of weak solutions of SDEs Then we ask if there exist solutions of the SEP which are respectively nite almost surely integrable or bounded and when does our proposed construction have these properties We provide conditions that guarantee existence of nite time solutions Moreover we fully characterize the distributions that can be embedded with integrable stopping times and we derive necessary respec tively sufficient conditions under which there exists a bounded embedding Finally we apply the results to winner take all contests where agents aim at stopping a process at a highest possible value The talk is based on joint work with David Hobson and Philipp Strack 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/skorokhod-embedding-problem-homogeneous-diffusions-and-applications-stopping-contests (2016-04-24)
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  • Trading with Small Price Impact | Applied Financial Mathematics
    utility from terminal wealth In the limit for small impact costs we explicitly determine the optimal policy and welfare in a general Markovian setting allowing for stochastic market cost and preference parameters These results shed light on the general structure of the problem at hand and also unveil close connections to optimal execution problems and to other market frictions such as proportional and fixed transaction costs News Computer klüger als

    Original URL path: http://horst.qfl-berlin.de/trading-small-price-impact (2016-04-24)
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  • Insider trading, arbitrage profits and honest times | Applied Financial Mathematics
    information associated with an honest time T gives rise to arbitrage profits We show that an insider trader can typically realise arbitrage opportunities if the market does not close strictly before T while arbitrages of the first kind can only be achieved by starting to trade as soon as T occurs Finally we discuss possible extensions of the theory to the case of general semimartingale models and arbitrary random times

    Original URL path: http://horst.qfl-berlin.de/insider-trading-arbitrage-profits-and-honest-times (2016-04-24)
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  • Numerical scheme for quasilinear SPDE's via Backward doubly SDE's | Applied Financial Mathematics
    and explain their connection to quasilinear stochastic partial differential equations SPDEs in short We then investigate a numerical probabilistic method for the solution of a class of quasilinear SPDEs Our numerical scheme is based on discrete time approximation for solutions of systems of a decoupled forward backward doubly stochastic differential equations Under standard assumptions on the parameters we prove the convergence and the rate of convergence of our numerical scheme

    Original URL path: http://horst.qfl-berlin.de/numerical-scheme-quasilinear-spdes-backward-doubly-sdes (2016-04-24)
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