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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.

  • 16. February 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Xiaolu Tan (Université Paris Dauphine)
    The classical pricing-hedging duality for American options with semi-static hedging does not hold in general in the simple formulation inherited from European option set-up.
  • 16. February 2017
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Carole Bernard (Grenoble Ecole de Management)
    We construct an algorithm that allows to numerically obtain an investor's optimal portfolio under general preferences.
  • 15. February 2017
    TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
    Lecturer: Nina Gantert (TU München)
    We give large deviation results for random projections of $\ell^p$ balls.
  • 15. February 2017
    TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Karl-Theodor Sturm (Universitaet Bonn)
    We study the heat equation on time-dependent metric measure spaces (being a dynamic forward gradient flow for the energy) and its dual (being a dynamic backward gradient flow for the Boltzmann entropy
  • 2. February 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Bruno Bouchard (CEREMADE - Université Paris)
    This talk provides a new characterization of the stochastic invariance of a closed subset with respect to a diffusion: we extend the well known inward pointing Stratonovich drift condition to the case
  • 2. February 2017
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Idris Kharroubi (CEREMADE - Universitè Paris)
    We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac represent
  • 1. February 2017
    TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Dan Crisan (Imperial College London)
    I will present a weighted particle representation for a class of stochastic partial differential equations with Dirichlet boundary conditions.
  • 18. January 2017
    TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
    Lecturer: Marco Romito (Università di Pisa)
    We present a general method to prove existence and minimal regularity of the density with respect to the Lebesgue measure of solutions of stochastic differential equations with non-smooth coefficients
  • 12. January 2017
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: David Prömel (ETH Zürich)
    Using Vovk’s hedging based approach to mathematical finance, one can determine sample path properties of "typical price paths" belonging to the space of continuous functions or of non-negative càdlàg
  • 4. January 2017
    TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
    Lecturer: Bohdan Maslowski (Charles University)
    SPDEs in which the noise is (not necessarily Gaussian) Volterra process are discussed.

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