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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.

6. July 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Anna Aksamit (University of Oxford)
In robust approach, instead of choosing one model, one considers superhedging simultaneously under a family of models, or pathwise on the set of feasible trajectories.
29. June 2016
Rudower Chaussee 25, Room 1.115, 6 p.m.
Lecturer: Terry Lyons (University of Oxford)
High order methods allow the inclusion of more information. How're there can be a horrendous price.
23. June 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Wei Xu (Beijing Normal University)
Motivated by the study of negative jumps in finance/biology, we introduce a general continuous-state branching process in random environment (CBRE-process) defined as the strong solution of a stochast
23. June 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Abel Cadenillas (University of Alberta)
Motivated by the debt crisis in the world, we apply methods of stochastic control to study two problems related to government debt management.
15. June 2016
Rudower Chaussee 25, Room 1.115, 6 p.m.
Lecturer: Archil Gulisashvili (Ohio University, Athens)
The results discussed in the talk are joint with F. Viens and X. Zhang (Purdue University). The talk is devoted to uncorrelated Gaussian stochastic volatility models.
9. June 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Miklos Rasonyi (Pazmany Peter Catholic University, Budapest)
We will treat optimal investment in a continuous-time market with instantaneous price impact.
9. June 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Chao Zhou (National University of Singapore)
A stochastic control problem for a class of nonlinear stochastic kernels is studied.
1. June 2016
Rudower Chaussee 25, Room 1.115, 6 p.m.
Lecturer: Uta Freiberg (Universität Stuttgart)
Self similar fractals are often used in modeling porous media. Hence, defining a Laplacian and a Brownian motion on such sets describes transport through such materials.
26. May 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Samuel Cohen (University of Oxford)
In this talk we shall consider a rigorous and systematic approach to uncertainty in problems of filtering in discrete time, using the structure of nonlinear expectations and risk measures.
26. May 2016
TU Berlin, Room MA 043, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Yan Dolinsky (The Hebrew University of Jerusalem)
In this work we introduce the notion of extremely incomplete markets. We prove that for these markets the super–replication price coincide with the model free super–replication price.

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