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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.

1. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Antonis Papapantoleon (TU Berlin)
We consider a multivariate random variable with known marginals and unknown dependence structure.
1. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Fabrizio Durante (Università del Salento)
We present both old and recent results about singular copulas and copulas with a singular component by discussing their relevance in (at least) three different domains.
24. May 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Christof Külske (Ruhr-Universität Bochum)
We study Gibbs distributions of continuous spins on generalized random graphs. Our main interest lies in the critical behavior of models which show a second order phase transition.
18. May 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Alexandré Popier (Université Lemans, France)
In this talk we present an optimal stochastic control problem related to portfolio liquidation problems.
18. May 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Michaela Szoelgyenyi (Vienna University of Economics and Business)
When solving certain stochastic control problems in insurance mathematics or mathematical finance, the optimal control policy sometimes turns out to be of threshold type, meaning that the control depe
4. May 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Ariel Neufeld (ETH Zürich)
We present a tractable framework for Knightian uncertainty, the so-called nonlinear Lévy processes, and use it to formulate and solve problems of robust utility maximization for an investor with logar
26. April 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Andrey Pilipenko (Kiev Polytechnic Institute)
The identification problem of the limit of an ODE with non-Lipschitz drift perturbed by a zero-noise is considered in a multidimensional framework.
19. April 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Frank den Hollander (Leiden)
The mixing time of a Markov chain is the time it needs to approach its stationary distribution.
16. February 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Xiaolu Tan (Université Paris Dauphine)
The classical pricing-hedging duality for American options with semi-static hedging does not hold in general in the simple formulation inherited from European option set-up.
16. February 2017
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Carole Bernard (Grenoble Ecole de Management)
We construct an algorithm that allows to numerically obtain an investor's optimal portfolio under general preferences.

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