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  • Workshops and Conferences | Applied Financial Mathematics
    in theory and applications of stochastic analysis dynamics and control 1 June 2016 4 June 2016 5th Berlin Workshop on Mathematical Finance for Young Researchers Humboldt Graduate School and Erwin Schröndinger Zentrum The 5th Berlin Workshop on Mathematical Finance for Young Researchers will take place from June 1 4 2016 5 August 2015 7 August 2015 11 Doktorandentreffen Stochastik HU Berlin Erwin Schrödinger Zentrum und TU Berlin Mathematik Gebäude Diese jährlich stattfindende Konferenz ist eine Veranstaltung von und für Doktorandinnen und Doktoranden der Stochastik aus dem deutschsprachigen Raum 7 July 2014 11 July 2014 New Directions in Financial Mathematics and Mathematical Economics Banff International Research Station Official Webpage 21 May 2014 24 May 2014 Berlin Singapore Workshop on Quantitative Finace WIAS and Jacob und Wilhelm Grimm Zentrum The First Berlin Singapore Workshop on Quantitative Finance and Financial Risk is the first of a series of workshops with the aim of establishing a sustainable cooperation between Sin 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 1 November 2013 2 November 2013 Humboldt Princeton Conference 2013 Princeton University ORFE Department http orfe princeton edu conferences ph13 14 June 2013 Richard von Mises Lecture Lecturer Louis H Y Chen National University of Singapore http www qfl berlin com richard von mises lecture 11 October 2012 13 October 2012 4th Berlin Workshop on Mathematical Finance for Young Researchers 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 28 October 2011 29 October 2011 3rd Humboldt Princeton Conference The 3rd Humboldt Prinecton Conference focusses on Risk Patterns in Economics Statistics Finance and Medicine It takes place 1 2 next last

    Original URL path: http://horst.qfl-berlin.de/workshop-conferences (2016-04-24)
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  • Research Seminars | Applied Financial Mathematics
    Michael Kupper Universität Konstanz We provide extension procedures for nonlinear expectations to the space of all bounded measurable functions 11 February 2016 Multivariate shortfall risk allocation and systemic risk Rudower Chaussee 25 Room 1 115 5 p m Lecturer Antonis Papapantoleon TU Berlin The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components such a 11 February 2016 Model Uncertainty Fréchet Bounds and Applications in Option Pricing Rudower Chaussee 25 Room 1 115 4 p m Lecturer Thibaut Lux TU Berlin We consider the problem of finding arbitrage bounds for option prices of multi asset options i e 3 February 2016 Limiting dynamics of the condensate in the reversible inclusion process on a finite set WIAS Erhard Schmidt Saal Mohrenstraße 39 10117 Berlin 6 p m Lecturer Alessandra Bianchi Padova The inclusion process is a stochastic lattice gas where particles perform random walks subjected to mutual attraction thus providing the natural bosonic counterpart of the well studied exclusio 28 January 2016 Robust super hedging of options on VIX and martingale optimal transport Rudower Chaussee 25 Room 1 115 5 p m Lecturer Stefano De Marco CMAP Ecolé Polytechnique VIX options traded on the CBOE have become popular volatility derivatives In this work we bound VIX options from S P500 vanilla options and VIX futures 14 January 2016 Deloitte Touche GmbH Wirtschaftsprüfungsgesellschaft Rudower Chaussee 25 Room 1 115 4 p m Lecturer Dr Jörg Kienitz Director Deloitte Düsseldorf Dr Karl F Bannör Manager Deloitte Berlin Bewertung von exotischen Derivaten Modellierung von Finanzkennzahlen Quantifizierung von Markt und Kreditrisiken Erfüllen von regulatorischen Anforderungen Entwicklung von quantitativen Tools d 6 January 2016 Stochastic geometry and stochastic analysis Poisson U statistics WIAS Erhard Schmidt Saal

    Original URL path: http://horst.qfl-berlin.de/research-seminars (2016-04-24)
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  • Teaching | Applied Financial Mathematics
    core courses and recommended electives for students that aim to major in financial mathematics Core courses in mathematical finance offered at Humboldt Universität Discrete Time Financial Mathematics Finanzmathematik 1 Continuous Time Financial Mathematics Finanzmathematik 2 Probability Theory Stochastik I Stochastic Processes Stochastik II Stochastic Analysis Topics in Stochastic Analysis e g Malliavin Calculus Student Seminar Finanzmathematik In addition to the corse courses we recommend to take classes in statistics Statistik II Statistik stochastischer Prozesse numerical methods for partial differential equations Numerik partieller Differentialgleichungen I II and economics Microeconomic Theory Financial Econometrics Graduate Students should also attend our regular reserach seminar Stochastische Analysis and Stochastik der Finanzmarkte which we organize in collaboration with Technical University We offer regular courses in mathematical finance on the undergraduate and graduate level and courses and seminars in mathematical economics This term we offer an introductory student seminar on game theory next term we shall offer a course in continuous time finance and equilibrium theory Here is a link to the current Math Finance course 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

    Original URL path: http://horst.qfl-berlin.de/teaching (2016-04-24)
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  • Continuous Time Finance | Applied Financial Mathematics
    variable formula Girsanov s theorem the martingale representation theorem and stochastic differential equations They constitute the building blocks of continuous time financial mathematics including the famous Black Scholes option pricing formula Armed with the necessary results from stochastic calculus we then discuss the risk neutral approach to pricing options and interest rate derivatives The second part of the course provides an introduction into stochastic optimal control with applications to utility maximization and portfolio optimization We discuss both the traditional Hamilton Jacobi Bellman approach that derives value functions and optimal strategies through PDE methods as well as more recent approaches using backward stochastic differential equations BSDEs We apply to optimal control techniques to compute portfolio optimization problems and discuss novel applications to portfolio liquidation and trading under market impact Here is a tentative outline the focus may vary with student interest Review of Brownian motion and the pathwise Ito Calculus known from Stochastic Finance I Ito calculus for Brownian motion a The Ito Integral b The martingale representation theorem c The geenralized Black Scholes model Topics in diffusion theory a Stochastic diferential equations b Girsanov Theorem Risk neutral derivative pricing a Option pricing b Term structure of interest rates Stochastic optimal control and PDEs a The dynamic programing principle b The HJB equation c Viscosity theory d Application to portfolio optimization Merton problem e Applications to trading under market impact The BSDE approach to optimal control a Backward stochastic differential equations b Comparision principle for BSDEs c Applications to portfolio optimization Mean variance optimal portfolios We meet Tuesday 11 13 RUD 26 0 310 and Thursday 11 13 RUD 25 1 013 The tutorials take place Thu 13 15 RUD 26 1 304 The course will be held in English upon request Here are tentative Lecture Notes we start with Section

    Original URL path: http://horst.qfl-berlin.de/continuous-time-finance (2016-04-24)
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  • Berufsbezogenes Fachseminar Stochastik | Applied Financial Mathematics
    Ort und Zeit Dienstag 15 17 Uhr RUD 26 Raum 1 304 Vorbesprechung Dienstag 12 April 2016 15 Uhr RUD 26 Raum 1 304 Literatur Bertsekas Dimitri P Dynamic programming and stochastic control 1976 Ross Sheldon M Introduction to stochastic dynamic programming Academic press 2014 Bellman Richard Dynamic Programming Princeton University Press Princeton NJ 1957 Waldmann Karl Heinz and Ulrike M Stocker Stochastische Modelle Eine anwendungsorientierte Einführung Springer Verlag 2012 Mögliche Vortragsthemen Einführung von Jana Bielagk Auszüge aus Bertsekas Kap 1 und Crash Kurs Optimierung Algorithmus der dynamischen Programmierung und ein Lagerhaltungsproblem Bertsekas Kap 2 1 2 2 Einblick in die dynamische Portfolioanalyse Bertsekas Kap 3 3 Optimales Stoppen am Beispiel des optimalen Verkaufszeitpunktes Bertsekas Kap 3 4 Crash Kurs Markovketten Bertsekas Appendix D oder Waldmann Stocker Kap 2 Probleme ohne perfekte Zustandsinformation Bertsekas Kap 4 1 Ein Problem der Lehre Bertsekas Kap 4 4 evtl Kap 4 2 Crash Kurs Kontraktionen Fixpunktsatz Bertsekas Kap 6 3 Appendix A Luenberger Kap 10 2 Unendlicher Zeithorizont Minimierung der totalen erwarteten diskontierten Kosten Bertsekas Kap 6 1 braucht limsup Drei Berechnungsmethoden Wertiteration Successive Approximation Politikiteration Lineare Programmierung Bertsekas Kap 6 2 Der Ursprung der Theorie Bellman Kap 1 mit Bezug zu Bisherigem

    Original URL path: http://horst.qfl-berlin.de/berufsbezogenes-fachseminar-stochastik (2016-04-24)
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  • Research | Applied Financial Mathematics
    Mathematical Finance Agent based models of financial markets Applications of stochastic backward differential equations and queuing theory in finance Market microstructure models Pricing and hedging of non financial risk factors e g weather and climate Pricing and hedgeing under market impact Mathematical Economics Dynamic asset pricing with heterogeneous agents Equilibrium pricing in incomplete markets Microeconomic models of non market interactions Stochastic games News Computer klüger als der Mensch Das vergessene

    Original URL path: http://horst.qfl-berlin.de/research (2016-04-24)
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  • Publications | Applied Financial Mathematics
    Equilibria in Games of Optimal Derivative Design Mathematics and Financial Economics 5 4 269 297 2011 with Santiago Moreno Bromberg On derivatives with illiquid underlying and market manipulation Quantitative Finance 11 7 1051 1066 2011 with Felix Naujokat On securitization market completion and equilibrium risk transfer Mathematics and Financial Economics 2 4 211 252 2010 with Traian Pirvu and Goncalo Dos Reis Dynamic systems of social interactions Journal of Economic Behavior and Organization 73 158 170 2010 A limit theorem for systems of social interactions Journal of Mathematical Economics 45 609 623 2009 with Jose Scheinkman Risk minimization and optimal derivative design in a Principal Agent game Mathematics and Financial Economics 2 1 27 2008 with Santiago Moreno Queuing social interactions and the microstructure of financial markets Macroeconomic Dynamics 12 211 233 2008 with Christian Rothe On non ergodic asset prices Economic Theory 34 207 234 2008 with Jan Wenzelburger On the spanning property of risk bonds priced by equilibrium Mathematics of Operations Research 32 4 784 807 2007 with Matthias Müller Stochastic Cascades Credit Contagion and Large Portfolio Losses Journal of Economic Behavior and Organization 63 25 54 2007 Internet Supplement A limit theorem for financial markets with inert investors Mathematics of Operations Research 31 789 810 2006 with Erhan Bayraktar and Ronnie Sircar Equilibria in Systems of Social Interactions Journal of Economic Theory 130 44 77 2006 with Jose Scheinkman Rational Expectations equilibria of economies with local interactions Journal of Economic Theory 127 74 116 2006 with Alberto Bisin and Onür Özgür A simple model of trading climate risk Vierteljahrshefte zur Wirtschaftsforschung 74 175 195 2005 with Sabastien Chaumont Peter Imkeller and Matthias Müller Equilibria in Financial Markets with Heterogeneous Agents A probabilistic Perspective Journal of Mathematical Economics 41 123 155 2005 with Hans Föllmer and Alan Kirman

    Original URL path: http://horst.qfl-berlin.de/node/52 (2016-04-24)
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  • Preprints | Applied Financial Mathematics
    for limit order books with state dependent price dynamics Christian Bayer Ulrich Horst Jinniao Qiu A law of large numbers for limit order books Ulrich Horst Michael Paulsen Smooth solutions to portfolio liquidation problems under price sensitive market impact Paulwin Graewe Ulrich Horst Eric Sere Order exposure and liquidity coordination Does hidden liqudity harm price efficiency Gökhan Cebiroglu Nikolaus Hautsch Ulrich Horst Conditional analysis and a Principal Agent problem Julio

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