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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.

  • 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).
  • 10. May 2016 - 12. May 2016
    TU Berlin (room MA748) and HU Berlin (room 1.115)
    Lecturer: Ludger Rüschendorf (Universität Freiburg)
    The main focus in this course is on the description of the influence of dependence in multivariate stochastic models for risk vectors.
  • 28. April 2016
    TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
    Lecturer: 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.
  • 27. April 2016
    Rudower Chaussee 25, Room 1.115, 6 p.m.
    Lecturer: Ron Peled (Tel Aviv University)
    We study the fluctuations of random surfaces on a two-dimensional discrete torus.
  • 26. April 2016 - 28. April 2016
    TU Berlin (room MA748) and HU Berlin (room 1.115)
    Lecturer: Martin Huesmann (Universität Bonn)
    The Skorokhod embedding problem (SEP) is to represent a given probability measure as the distribution of Brownian motion at a chosen stopping time.
  • 20. April 2016
    Rudower Chaussee 25, Room 1.115, 6 p.m.
    Lecturer: Michael Kupper (Universität Konstanz)
    We provide extension procedures for nonlinear expectations to the space of all bounded measurable functions.
  • 11. February 2016
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Antonis Papapantoleon (TU Berlin)
    The ongoing concern about systemic risk since the outburst of the global financial crisis has highlighted the need for risk measures at the level of sets of interconnected financial components, such a
  • 11. February 2016
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Thibaut Lux (TU Berlin)
    We consider the problem of finding arbitrage bounds for option prices of multi-asset options (i.e.

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