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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.

  • 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.
  • 3. February 2016
    WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
    Lecturer: Alessandra Bianchi (Padova)
    The inclusion process is a stochastic lattice gas where particles perform random walks subjected to mutual attraction, thus providing the natural bosonic counterpart of the  well-studied exclusio
  • 28. January 2016
    Rudower Chaussee 25, Room 1.115, 5 p.m.
    Lecturer: Stefano De Marco (CMAP, Ecolé Polytechnique)
    VIX options traded on the CBOE have become popular volatility derivatives. In this work, we bound VIX options from S\&P500 vanilla options and VIX futures.
  • 14. January 2016
    Rudower Chaussee 25, Room 1.115, 4 p.m.
    Lecturer: Dr. Jörg Kienitz, Director (Deloitte Düsseldorf) & Dr. Karl F. Bannör, Manager (Deloitte Berlin)
    Bewertung von exotischen Derivaten, Modellierung von Finanzkennzahlen, Quantifizierung von Markt- und Kreditrisiken, Erfüllen von regulatorischen Anforderungen, Entwicklung von quantitativen Tools – d

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