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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.

4. January 2017
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Bohdan Maslowski (Charles University)
SPDEs in which the noise is (not necessarily Gaussian) Volterra process are discussed.
7. December 2016
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Max von Renesse (Universität Leipzig)
We introduce a modification of a system of coalescing 1D Brownian motions starting from every point of the unit interval.
1. December 2016
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Joachim Paulusch (R+V Lebensversicherung AG, Risikocontrolling, Wiesbaden)
Seit 01.01.2016 gilt das Aufsichtsregime Solvency II für alle Versicherungsunternehmen in Europa.
1. December 2016
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Sergio Pulido (LaMME, ENSIIE, Université d'Evry Val d'Essonne)
We obtain stability estimates and derive analytic expansions for local solutions of multi-dimensional quadratic BSDEs.
23. November 2016
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Martin Barlow (University of British Columbia)
Following the work of Moser, as well as de Giorgi and Nash, Harnack inequalities have proved to be a powerful tool in PDE as well as in the study of the geometry of spaces.
23. November 2016
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Zhen-Qing Chen (University of Washington)
In this talk, we will discuss parabolic and elliptic Harnack inequalities for symmetric non-local Dirichlet forms on metric measure spaces under general volume doubling condition.
17. November 2016
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Olivier Pamen (University of Liverpool/AIMS Ghana)
17. November 2016
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Jan Kallsen (Christian-Albrechts-Universität zu Kiel)
While optimal investment under proportional transaction costs is quite well understood by now, less has been done in the presence of fixed fees for any single transaction.
26. October 2016
TU Berlin, Room MA 004, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Massimiliano Gubinelli (Universität Bonn)
I will talk about differential equations driven by irregular signals and reflected inside a certain domain.
20. October 2016
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Natalie Packham (Hochschule für Wirtschaft und Recht Berlin)
Paralleling regulatory developments, we devise value-at-risk and expected shortfall type risk measures for the potential losses arising from using misspecified models when pricing and hedging continge

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