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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.

  • 7. June 2017
    WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
    Lecturer: Stefan Adams (University of Warwick)
    We study scaling limits and corresponding large deviation principles of integrated random walks perturbed by an attractive force towards the origin.
  • 1. June 2017
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Antonis Papapantoleon (TU Berlin)
    We consider a multivariate random variable with known marginals and unknown dependence structure.
  • 1. June 2017
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
    Lecturer: Fabrizio Durante (Università del Salento)
    We present both old and recent results about singular copulas and copulas with a singular component by discussing their relevance in (at least) three different domains.
  • 24. May 2017
    WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
    Lecturer: Christof Külske (Ruhr-Universität Bochum)
    We study Gibbs distributions of continuous spins on generalized random graphs. Our main interest lies in the critical behavior of models which show a second order phase transition.
  • 18. May 2017
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
    Lecturer: Alexandré Popier (Université Lemans, France)
    In this talk we present an optimal stochastic control problem related to portfolio liquidation problems.
  • 18. May 2017
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Michaela Szoelgyenyi (Vienna University of Economics and Business)
    When solving certain stochastic control problems in insurance mathematics or mathematical finance, the optimal control policy sometimes turns out to be of threshold type, meaning that the control depe
  • 4. May 2017
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Ariel Neufeld (ETH Zürich)
    We present a tractable framework for Knightian uncertainty, the so-called nonlinear Lévy processes, and use it to formulate and solve problems of robust utility maximization for an investor with logar
  • 26. April 2017
    WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
    Lecturer: Andrey Pilipenko (Kiev Polytechnic Institute)
    The identification problem of the limit of an ODE with non-Lipschitz drift perturbed by a zero-noise is considered in a multidimensional framework.
  • 19. April 2017
    WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
    Lecturer: Frank den Hollander (Leiden)
    The mixing time of a Markov chain is the time it needs to approach its stationary distribution.
  • 19. April 2017 - 22. April 2017
    Humboldt Graduate School, Luisenstraße 56, 10115 Berlin
    This workshop is the third of a series of workshops with the aim of establishing a sustainable cooperation in the field of quantitative finance and risk management among the Humboldt University Berlin

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