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.
We consider superreplicating claims using the linear impact Cetin Jarrow Protter model in a binomial market.
This paper studies Bayesian equilibrium in a worker firm matching problem in which workers choose their human capital investment and firms choose wages before the matching process occurs.
Backward stochastic dynamics have been introduced by Liang, Lyons and Qian as a generalization of Lipschitz BSDEs for general, possibly non-Brownian filtrations, by relying on a Doob-Meyer decompos
Recent work of Dupire and Carr $\&$ Lee has emphasised the importance of understanding the Skorokhod Embedding originally proposed by Root for applications in the model-free, or robust, hedging
This paper considers the portfolio management problem of optimal investment, consumption and life insurance. We are concerned with time inconsistency of optimal strategies.
We would like to invite you to a presentation introducing our global cross-asset Quantitative Research group which is currently looking for young bright people to join our teams in London, New York
In this talk we describe a deterministic characterisation of the no-free-lunch-with-vanishing-risk (NFLVR), the no-generalised-arbitrage (NGA) and the
In this work we study the design of a cap-and-trade system modelled after the European CO2 markets.
News
- Coming up: 4th Humboldt Distinguished Lecture Series in Applied Mathematics by Paul Embrechts
- Oliver Janke joins the Chair as a research assistant effective April 1st. Welcome!
d-fine fellowship
d-fine, the consultancy specializing in the financial sector, sponsors a PhD fellowship "Optimization in Financial Markets". The fellowship has been awarded to Paulwin Gräwe.
Links
