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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.

  • 23. June 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Wei Xu (Beijing Normal University)
    Motivated by the study of negative jumps in finance/biology, we introduce a general continuous-state branching process in random environment (CBRE-process) defined as the strong solution of a stochast
  • 23. June 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
    Lecturer: Abel Cadenillas (University of Alberta)
    Motivated by the debt crisis in the world, we apply methods of stochastic control to study two problems related to government debt management.
  • 15. June 2016
    Rudower Chaussee 25, Room 1.115, 6 p.m.
    Lecturer: Archil Gulisashvili (Ohio University, Athens)
    The results discussed in the talk are joint with F. Viens and X. Zhang (Purdue University). The talk is devoted to uncorrelated Gaussian stochastic volatility models.
  • 9. June 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
    Lecturer: Miklos Rasonyi (Pazmany Peter Catholic University, Budapest)
    We will treat optimal investment in a continuous-time market with instantaneous price impact.
  • 9. June 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Chao Zhou (National University of Singapore)
    A stochastic control problem for a class of nonlinear stochastic kernels is studied.
  • 1. June 2016 - 4. June 2016
    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.
  • 1. June 2016
    Rudower Chaussee 25, Room 1.115, 6 p.m.
    Lecturer: Uta Freiberg (Universität Stuttgart)
    Self similar fractals are often used in modeling porous media. Hence, defining a Laplacian and a Brownian motion on such sets describes transport through such materials.
  • 26. May 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
    Lecturer: Samuel Cohen (University of Oxford)
    In this talk we shall consider a rigorous and systematic approach to uncertainty in problems of filtering in discrete time, using the structure of nonlinear expectations and risk measures.
  • 26. May 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Yan Dolinsky (The Hebrew University of Jerusalem)
    In this work we introduce the notion of extremely incomplete markets. We prove that for these markets the super–replication price coincide with the model free super–replication price.
  • 12. May 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: Anis Matoussi (Universite du Maine, Le Mans)
    We propose a wellposedness theory for a class of second order backward doubly stochastic differential equation (2BDSDE).

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