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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.

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.
15. February 2017
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Nina Gantert (TU München)
We give large deviation results for random projections of $\ell^p$ balls.
15. February 2017
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Karl-Theodor Sturm (Universitaet Bonn)
We study the heat equation on time-dependent metric measure spaces (being a dynamic forward gradient flow for the energy) and its dual (being a dynamic backward gradient flow for the Boltzmann entropy
2. February 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Bruno Bouchard (CEREMADE - Université Paris)
This talk provides a new characterization of the stochastic invariance of a closed subset with respect to a diffusion: we extend the well known inward pointing Stratonovich drift condition to the case
2. February 2017
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Idris Kharroubi (CEREMADE - Universitè Paris)
We propose a new probabilistic numerical scheme for fully nonlinear equation of Hamilton-Jacobi-Bellman (HJB) type associated to stochastic control problem, which is based on the Feynman-Kac represent
1. February 2017
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Dan Crisan (Imperial College London)
I will present a weighted particle representation for a class of stochastic partial differential equations with Dirichlet boundary conditions.
18. January 2017
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Marco Romito (Università di Pisa)
We present a general method to prove existence and minimal regularity of the density with respect to the Lebesgue measure of solutions of stochastic differential equations with non-smooth coefficients
12. January 2017
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: David Prömel (ETH Zürich)
Using Vovk’s hedging based approach to mathematical finance, one can determine sample path properties of "typical price paths" belonging to the space of continuous functions or of non-negative càdlàg

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