# 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.

9. November 2017
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Vicky Henderson (University of Warwick)

This work considers an optimal liquidation problem in the context of a Cautious Stochastic Choice (CSC) model.

9. November 2017
Rudower Chaussee 25, Room 1.115, 3 p.m.
Lecturer: Martin Larson (ETH Zürich)

Motivated by recent advances in rough volatility modeling, we introduce affine Volterra processes, defined as solutions of certain stochastic convolution equations with affine coefficients.

26. October 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Alvaro Cartea (University of Oxford)
We develop the optimal trading strategy for a Foreign Exchange (FX) broker who must liquidate a large position in an illiquid currency pair.
26. October 2017
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Johannes Ruf (London School of Economics)
The capitalization-weighted cumulative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \dx \langle \log \mu_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitaliza
19. July 2017
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Anton Bovier (Bonn)
Standard stochastic models of adaptive dynamics are based on haploid reproduction schemes. They are sometimes criticised for the difficulty to create genetic diversity.
13. July 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Hamed Amini (University of Miami)
We derive rigorous asymptotic results for the magnitude of contagion in a large financial network and give an analytical expression for the asymptotic fraction of defaults, in terms of network charact
13. July 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Nicole Bäuerle (Karlsruher Institut für Technologie (KIT))
We consider the problem of minimizing a certainty equivalent of the total or discounted cost over a finite time horizon which is generated by a Partially Observable Markov Decision Process (POMDP).
5. July 2017
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Ilya Goldsheid (London)
It is well known that a random walk in random environment on a strip in the environment viewed from the particlesetting is a Markov chain on the set of environments.
29. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Johannes Muhle-Karbe (University of Michigan)
In the perturbation analysis of various models with small frictions, a crucial role is played by the risk tolerance of the indirect utility process.
29. June 2017
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Francesca Biagini (LMU München)
We study the concept of financial bubble under model uncertainty. We suppose the agent to be endowed with a family Q of local martingale measures for the underlying discounted asset price.

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