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Events

The chair is involved in the organization of several conferences, summer schools and workshops. Below you will find a list of upcoming and past workshops, summer schools and lecture series.

  • 21. December 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Martin Keller-Ressel (TU Dresden)

    We consider hedging of a contingent claim by a ’semi-static’ strategy composed of a dynamic position in one asset and a static (buy-and-hold) position in other assets.

  • 7. December 2017
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Christoph Reisinger (University of Oxford)

    In this talk, we present a novel and generic calibration framework for barrier options in a large class of continuous semi-martingale models.

  • 7. December 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Guanxing Fu (HU Berlin)

    We consider a mean field game (MFG) of optimal portfolio liquidation. We prove that the
    solution to the MFG can characterized in terms of a FBSDE with singular terminal condition on the

  • 23. November 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Christoph Czichowsky (London School of Economics and Political Science)

    While absence of arbitrage in frictionless financial markets (i.e.

  • 9. November 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Omar El-Euch (Pierre and Marie Curie University - Paris 6)
    It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce
  • 9. November 2017
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Vicky Henderson (University of Warwick)

    This work considers an optimal liquidation problem in the context of a Cautious Stochastic Choice (CSC) model.

  • 9. November 2017
    Rudower Chaussee 25, Room 1.115, 3 p.m.
    Lecturer: Martin Larson (ETH Zürich)

    Motivated by recent advances in rough volatility modeling, we introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients.

  • 26. October 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Alvaro Cartea (University of Oxford)
    We develop the optimal trading strategy for a Foreign Exchange (FX) broker who must liquidate a large position in an illiquid currency pair.
  • 26. October 2017
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Johannes Ruf (London School of Economics)
    The capitalization-weighted cumulative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \dx \langle \log \mu_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitaliza
  • 19. July 2017
    WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
    Lecturer: Anton Bovier (Bonn)
    Standard stochastic models of adaptive dynamics are based on haploid reproduction schemes. They are sometimes criticised for the difficulty to create genetic diversity.

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