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  • Research Network | Applied Financial Mathematics
    connections with other departments and institutes in Berlin and around the world Some links are listed below CRC 649 Economic Risk MATHEON PIMS Pacific Institure for the Mathematical Sciences 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/research-network (2016-04-24)
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  • Stochastics and Mathematical Finance in Berlin | Applied Financial Mathematics
    site You are here Home Stochastics and Mathematical Finance in Berlin Stochastics and Mathematical Finance in Berlin With three major universities and several research centers including MATHEON and WIAS Berlin is a leading center for pure and applied mathematics With currently 11 chairs the probability theory and statistics groups are an integral part of the Berlin mathematical community They enjoy international visibility and offer a variety of classes for students at all levels Below you find a list of the stochastics chairs with their respective research focus Stochastics and Mathematical Finance at Humboldt Universität Becherer Dirk Stochastic Analysis and Mathematical Finance Horst Ulrich Applied Mathematical Finance Imkeller Peter Stochastic Analysis Küchler Uwe Statistics of Stochastic Processes Spokoiny Vladimir Applied Statistics Stochastics and Mathematical Finance at Technische Universität Bank Peter Mathematical Finance Blath Jochen Applied Stochastics Deuschel Jean Dominique Stochastics Gärtner Jürgen Stochastic Analysis Scheutzow Michael Stochastics 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

    Original URL path: http://horst.qfl-berlin.de/stochastics-and-mathematical-finance-berlin (2016-04-24)
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  • Contact Details | Applied Financial Mathematics
    Humboldt University Berlin Department of Mathematics Unter den Linden 6 10099 Berlin 49 30 2093 2341 Office 49 30 2093 5811 Secretary LastName at math hu berlin de 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/contact-us (2016-04-24)
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  • Minicourse "The Skorokhod embedding problem: old and new" | Applied Financial Mathematics
    last 50 years the SEP has become one of the important classical problems in probability theory with a huge variety of different solutions that have been employed in various branches of pure and applied probability In recent years there has been a revived interest in the SEP due to its connection to model independent finance and martingale optimal transport In the first lecture I will give three recent applications of specific solutions to the SEP a proof of the Brascamp Lieb inequality a counterexample to the Cantelli conjecture and model independent upper bounds for exotic options In the second lecture I will show an approach to the SEP based on ideas of optimal transport that allows the systematic construction of solutions to the SEP with particular optimality properties Moreover it turns out that this approach directly extends to sufficiently regular Markov processes In the last lecture I will present extensions to multiple marginals with applications in model independent finance and the PCOC problem of finding martingales with a continuum of prescribed marginals The minicourse takes place on 26 04 2016 10 30 12 00 room MA748 RTG Lounge TU Berlin 27 04 2016 16 15 17 45 room 1 115

    Original URL path: http://horst.qfl-berlin.de/minicourse-skorokhod-embedding-problem-old-and-new (2016-04-24)
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  • Asymptotic Lower Bounds for Optimal Tracking a Linear Programming Approach | Applied Financial Mathematics
    are here Home Asymptotic Lower Bounds for Optimal Tracking a Linear Programming Approach Asymptotic Lower Bounds for Optimal Tracking a Linear Programming Approach 28 April 2016 Kategorie Research Seminars TU Berlin Room MA 042 Straße des 17 Juni 136 10623 Berlin 5 p m Mathieu Rosenbaum Université Pierre et Marie Curie Paris 6 We consider the problem of tracking a target whose dynamics is modeled by a continuous Ito semi martingale The aim is to minimize both deviation from the target and tracking efforts We establish the existence of asymptotic lower bounds for this problem depending on the cost structure These lower bounds can be related to the time average control problem of Brownian motion which is characterized as a deterministic linear programming A comprehensive list of examples with explicit expressions for the lower bounds is also provided This is joint work with Jiatu Cai and Peter Tankov 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

    Original URL path: http://horst.qfl-berlin.de/asymptotic-lower-bounds-optimal-tracking-linear-programming-approach (2016-04-24)
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  • 5th Berlin Workshop on Mathematical Finance for Young Researchers | Applied Financial Mathematics
    Young Researchers 5th Berlin Workshop on Mathematical Finance for Young Researchers 1 June 2016 4 June 2016 Kategorie Workshop and Conferences 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 The workshop which is jointly organized by Humboldt University Berlin and Technical University Berlin provides a forum for PhD students postdoctoral researchers and young faculty members from all over the world to discuss their research in an informal atmosphere Keynote lectures will be given by Kostas Kardaras London Steven Kou Singapore Ronnie Sircar Princeton and Josef Teichmann Zurich Young researchers are invited to submit abstracts for contributed talks The deadline for abstract submission is March 20 2016 Notification of acceptance will be sent by March 31 2016 For further information abstract submission and registration please visit http www math hu berlin de mfy2016 We hope to welcome many young researchers in Berlin 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/5th-berlin-workshop-mathematical-finance-young-researchers (2016-04-24)
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  • Crossroads: Workshop on Stochastic Analysis and Related Fields | Applied Financial Mathematics
    and Conferences Humboldt Graduate School Luisenstrasse 56 10115 Berlin The conference is organized on the occasion of Peter Imkeller s 65th birthday and our goal is to discuss recent developments in theory and applications of stochastic analysis dynamics and control The list of speakers includes Arnaud Debussche Rennes Gonc alo dos Reis Edinburgh Jinqiao Duan Chicago Hans Jürgen Engelbert Jena Hans Föllmer Berlin Alexander Fromm Berlin Barbara Gentz Bielefeld Massimiliano Gubinelli Bonn Erika Hausenblas Leoben Michael Högele Bogota Peter Kloeden Frankfurt Michael Kupper Konstanz N Sri Namachchivaya Urbana Champaign Ivan Nourdin Luxemburg Youssef Ouknine Marrakesch Shige Peng Shandong David Prömel Zürich Michael Röckner Bielefeld Marta Sanz Solé Barcelona Michael Scheutzow Berlin René Schilling Dresden Lutz Schimansky Geyer Berlin Ciprian Tudor Lille Jianing Zhang München To participate please register on the conference webpage https www2 mathematik hu berlin de crossroads workshop where you will also find constantly updated further information on the programme Organizers Stefan Ankirchner Jena Jan Gairing Berlin Miryana Grigorova Berlin Victor Nzengang Berlin Ilya Pavlyukevich Jena Nicolas Perkowski Berlin Anthony Réveillac Toulouse 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/crossroads-workshop-stochastic-analysis-and-related-fields (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/?q=teaching (2016-04-24)
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