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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.

14. January 2016
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Dr. Jörg Kienitz, Director (Deloitte Düsseldorf) & Dr. Karl F. Bannör, Manager (Deloitte Berlin)
Bewertung von exotischen Derivaten, Modellierung von Finanzkennzahlen, Quantifizierung von Markt- und Kreditrisiken, Erfüllen von regulatorischen Anforderungen, Entwicklung von quantitativen Tools – d
6. January 2016
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Matthias Reitzner (Universität Osnabrück)
Assume that X is a Poisson point process. A Poisson U-statistic with kernel f is the sum of f(x_1,...x_k) over all k-tuples of X. Poisson U-statistics play an important role in Stochastic Geometry.
17. December 2015
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Markus Bibinger (Universität Mannheim)
We consider a semi-martingale which forms a stochastic boundary, where we have discrete observations with one-sided errors. A rate-optimal estimator of the quadratic variation is constructed.
17. December 2015
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Giorgio Ferrari (Universität Bielefeld)
In this talk I consider two-player nonzero-sum games of optimal stopping on a class of regular diffusions with singular boundary behaviour (in the sense of Itô and McKean, p. 108).
3. December 2015
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Wenning Wei (Fudan University)
My talk is concerned with solution in Hölder spaces for linear and semi-linear backward stochastic partial differential equations (BSPDEs) of super-parabolic type.
3. December 2015
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Roxana Dumitrescu (HU Berlin)
In the first part of the talk, we introduce a generalized Dynkin game problem with non linear conditional expectation induced by a Backward Stochastic Differential Equation (BSDE) with jumps. Und
25. November 2015
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Vlad Bally (Marne-la-Vallée)
Fournier and Printems [Bernoulli, 2010] have recently established a methodology which allows to prove the absolute continuity of the law of the solution of some stochastic equations with Hölder contin
19. November 2015
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Julio Backhoff (Universität Wien)
In this talk we shall examine causal transports and the associated optimal transportation problem under the causality constraint (Pc) introduced by Rémi Lasalle.
19. November 2015
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Olivier Guéant (ENSAE ParisTech)
Market makers provide liquidity to other market participants: they propose prices at which they stand ready to buy and sell a wide variety of assets.
18. November 2015
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin, 6 p.m.
Lecturer: Peter Mörters (Bath)
A growing family of random graphs is called robust if it retains a giant component after percolation with arbitrarily small positive retention probability.

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