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- On a stochastic Fourier transformation | Applied Financial Mathematics

shown in very earlier articles of the author eg 1 2 that the SFT plays un essential rˆole in the study of stochastic integral equations of Fredholm type After 15 years the notion of SFC has reappeared implicitely in the study of volatility estimation due to P Malliavin etal eg 3 But many questions are left open conerning the SFC and SFT Among them is the question of inversibility of the SFT In this talk we discuss some basic properties of this stochastic transformation and show recent results eg 4 5 as well as its possible applications to mathematical sciences References 1 Ogawa S On the stochastic integral equation of Fredholm type in Pat terns and Waves monograph Studies in Math and Its Appl Kinokuniya vol 18 1986 pp 597 606 2 Ogawa S On a stochastic integral equation for the random fields S eminaire de Proba vol 25 Springer 1991 pp 324 339 3 Malliavin P and Thalmeyer A Stochastic calculus of variations in mathematical finance Springer Verlag 2006 4 Ogawa S On a stochastic Fourier transformation Stochastics Vol 85 2013 286 294 5 Ogawa S Uemura H On a stochastic Fourier coefficients J Theo Proba 2013 News Computer

Original URL path: http://horst.qfl-berlin.de/tba-0 (2016-04-24)

Open archived version from archive - Strong Supermartingales and Portfolio Optimisation under Transaction Costs | Applied Financial Mathematics

this talk we develop a general duality theory for portfolio optimisation under proportional transaction costs with càdlàg price processes that are not necessarily semimartingales In particular we provide examples that illustrate the new effects arising from the combination of jumps of the price process and the transaction costs The talk is based on joint work with Walter Schachermayer News Computer klüger als der Mensch Das vergessene Werkzeug der Ökonomie Research

Original URL path: http://horst.qfl-berlin.de/strong-supermartingales-and-portfolio-optimisation-under-transaction-costs (2016-04-24)

Open archived version from archive - Simulation of conditional diffusions via forward--reverse stochastic representations | Applied Financial Mathematics

Simulation of conditional diffusions via forward reverse stochastic representations 31 October 2013 Kategorie Research Seminars Rudower Chaussee 25 Room 1 115 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 on the terminal state The conditioning can be with respect to a fixed point or more generally with respect to some subset The representations rely on a reverse process connected with the given forward diffusion as introduced in Milstein et al Bernoulli 10 2 281 312 2004 in the context of a forward reverse transition density estimator The corresponding Monte Carlo estimators have essentially root N accuracy hence they do not suffer from the curse of dimensionality We provide a detailed convergence analysis and give a numerical example involving the realized variance in a stochastic volatility asset model conditioned on a fixed terminal value of the asset Joint work with John Schoenmakers 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

Original URL path: http://horst.qfl-berlin.de/simulation-conditional-diffusions-forward-reverse-stochastic-representations (2016-04-24)

Open archived version from archive - Backward Stochastic Differential Evolutionary Systems with Singular Conditions and Optimal Portfolio Liquidation | Applied Financial Mathematics

Search this site You are here Home Backward Stochastic Differential Evolutionary Systems with Singular Conditions and Optimal Portfolio Liquidation Backward Stochastic Differential Evolutionary Systems with Singular Conditions and Optimal Portfolio Liquidation 31 October 2013 Kategorie Research Seminars Rudower Chausse 25 Room 1 115 Jinniao Qiu HU Berlin In this talk we shall first introduce a class of backward stochastic differential evolutionary systems BSDES which includes backward stochastic differential equations and backward stochastic partial differential equations with singular terminal conditions By means of BSDESs with singular terminal conditions we derive the optimal trading strategies for the optimal portfolio liquidation problems in which investors can simultaneously trade at a traditional exchange and in a dark market under market impacts When the liquidation problems are not Markovian new stochastic dynamic models arise and some interesting properties will be presented Joint with Paulwin Graewe and Ulrich Horst 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 are

Original URL path: http://horst.qfl-berlin.de/backward-stochastic-differential-evolutionary-systems-singular-conditions-and-optimal-portfolio-liqu (2016-04-24)

Open archived version from archive - On arbitrages arising with honest times | Applied Financial Mathematics

honest times On arbitrages arising with honest times 11 April 2013 Kategorie Research Seminars Monique Jeanblanc http www qfl berlin com arbitrages arising honest times 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/arbitrages-arising-honest-times (2016-04-24)

Open archived version from archive - Dynamics of Contract Design with Screening | Applied Financial Mathematics

with Screening Dynamics of Contract Design with Screening 11 April 2013 Kategorie Research Seminars Jaksa Cvitanic http www qfl berlin com dynamics contract design screening 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/dynamics-contract-design-screening (2016-04-24)

Open archived version from archive - Student | Applied Financial Mathematics

site You are here Home Student Student There are currently no posts in this category 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/taxonomy/term/2 (2016-04-24)

Open archived version from archive - Alumni | Applied Financial Mathematics

Humboldt University Berlin 07 2011 Doctor in mathematics Dr rer nat at Humboldt University Berlin 12 2007 07 2011 Doctoral student and scientific employee at the Institute for Mathematics of Humboldt University Berlin 07 2007 Diploma in mathematics with minor English philology at Albert Ludwigs University Freiburg Major Research Interests Mathematical finance Stochastic control Stochastic modeling Stochastic models in epidemiology Publications Optimal liquidation in dark pools in discrete and continuous time PhD thesis Humboldt Universität zu Berlin 2011 Portfolio liquidation in dark pools in continuous time Mathematical Finance early view online 2013 49 pages with Torsten Schöneborn Hedging forward positions basis risk versus liquidity costs SIAM Journal of Financial Mathematics 4 1 668 696 2013 29 pages with Stefan Ankirchner and Thomas Kruse An explicit solution of a non linear quadratic constrained stochastic control problem with jumps optimal liquidation in dark pools with adverse selection accepted for publication in Mathematics of Operations Research 2014 28 pages Numerical methods in the context of compartmental models in epidemiology submitted 2013 21 pages with Etienne Pardoux and Brice Samegni Kepgnou Optimal liquidation in dark pools submiited 2014 37 pages with Torsten Schöneborn Optimal liquidation and adverse selection in dark pools submitted 2014 21 pages with Torsten Schöneborn Selected Presentations 12 2013 Goethe University Frankfurt seminar presentation 08 2013 CEMRACS Marseille France conference presentation 11 2012 Bachelier seminar Paris France seminar presentation 11 2012 Stochastic days Mainz conference presentation 07 2010 Rheinische Friedrich Wilhelms Universität Bonn seminar presentation 03 2010 Stochastic days Leipzig conference presentation conference presentation 10 2009 Princeton Humboldt Conference Princeton USA conference presentation 10 2009 DGF Frankfurt conference presentation 08 2009 EFA Bergen Norway conference presentation Laboratoire d Analyse Topolgie Probabilités Aix Marseille Université 39 rue Frédéric Joliot Curie 13453 Marseille cedex 13 France e Mail Adress LASTNAME math hu berlin de Dr Santiago Moreno Alumni Philosophy Doctor in Mathematics Short CV EDUCATION Ph D Mathematics University of British Columbia 2008 M S Mathematics CINVESTAV del IPN 2004 Licenciatura undergraduate studies Mathematics Universidad Nacional Autonoma de Mexico 2000 TEACHING MATH 180 Di erential Calculus Fall 2006 Semester UBC Vancouver MATH 184 Di erential Calculus Fall 2007 Semester UBC Vancouver Game Theory Seminar Winter Semester 2009 HU Berlin Introduction to General Equilibrium Theory Summer Semester 2010 HU Berlin MITACS PIMS UBC Summer School in Risk Management and Risk Sharing with Ivar Ekeland June 2010 FELLOWSHIPS CONACyT Fellow for the period September 2003 August 2004 Master Studies CONACyT Fellow for the period September 2006 August 2008 PhD Studies Alexander von Humboldt Foundation Young Researcher Fellowship October 2009 November 2010 NON ACADEMIC EXPERIENCE Part time racer Bennotto Mountain bike racing team Mexico 1995 1997 Full time racer GT Bycicles Mountain Bike Racing Team Mexico 1998 1999 Full time racer Velo Club Lagrange USA 1999 2002 Director of Operations Finca Santa Veracruz 2000 2002 Major Research Interests Optimal Derivatives Design Competitive games under asymmetric information applied to financial scenarios Differentiability properties of convex functions Investment under risk constraints European Carbon Emissions markets Publications Ekeland I

Original URL path: http://horst.qfl-berlin.de/taxonomy/term/9?page=1 (2016-04-24)

Open archived version from archive