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Research Seminars

Below is the schedule of our weekly reserach seminar "Stochastic Analysis and Stochastics of Financial Markets". The seminar is jointly organized with the TU Berlin.

15. February 2018
tba
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Agostino Capponi (Columbia University)
15. February 2018
tba
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Giorgia Callegaro (Universität Padua)
24. January 2018
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Marvin Müller (ETH Zürich)

Most of nowadays stock exchanges work fully electronic. The so called limit order book captures (instantaneous) demand and supply in the market and performs directly the price formation.

18. January 2018
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Giorgio Ferrari (Universität Bielefeld)

Consider the problem of a government that wants to reduce the debt-to-GDP (gross domestic product) ratio of a country.

18. January 2018
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Francois Delarue (Université Nice-Sophia Antipolis)

We provide in this work a robust solution theory for random rough differential equations of mean field type

21. December 2017
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Martin Herdegen (University of Warwick)

We study how trading costs are reflected in equilibrium returns.

21. December 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Martin Keller-Ressel (TU Dresden)

We consider hedging of a contingent claim by a ’semi-static’ strategy composed of a dynamic position in one asset and a static (buy-and-hold) position in other assets.

7. December 2017
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Christoph Reisinger (University of Oxford)

In this talk, we present a novel and generic calibration framework for barrier options in a large class of continuous semi-martingale models.

23. November 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Christoph Czichowsky (London School of Economics and Political Science)

While absence of arbitrage in frictionless financial markets (i.e.

9. November 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Omar El-Euch (Pierre and Marie Curie University - Paris 6)
It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce

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