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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.

17. June 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Jan Swart (Prag)
In this talk, we will take a look at some systems of interacting particles on the real line, where the only spatial structure that is relevant for the dynamics is the relative order of the particles.
11. June 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Karl Bannör (Deloitte & Touche GmbH)
We present a new method based on convex risk measures to incorporate parameter risk (e.g. estimation and calibration risk) into derivative prices, generalizing the well-known conic finance approach.
3. June 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Kolloquium: Sabine Jansen (Bochum)
Jellium is a model where negatively charged electrons move in a uniform neutralizing background of positive charge.
28. May 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Kathrin Glau (Technische Universität München)
Function approximation with Chebyshev polynomials is a well-established and thoroughly investigated method within the field of numerical analysis.
6. May 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Patrick Cattiaux (Toulouse)
In this talk we will consider an ergodic Markov process $X_t$ ($t \in \mathbb N$ or $t \in \mathbb R^+$)  with unique invariant probability $\mu$, and some additive functional $S_t=\sum_{k=1}^t \
30. April 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Dylan Possamai (Université Paris Dauphine - CEREMADE)
We consider a contracting problem in which a principal hires an agent to manage a risky project.
22. April 2015
Universität Potsdam House 8, Room 0.58, 5 p.m.
Lecturer: Herbert Spohn (TU München)
The one-dimensional KPZ equation is a stochastic PDE which describes the dynamics of surface growth. It is one representative of a much larger universality class.
16. April 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Christian Bayer (WIAS Berlin)
From an analysis of the time series of volatility using recent high frequency data, Gatheral, Jaisson and Rosenbaum [SSRN 2509457, 2014] showed that log-volatility behaves essentially as a fractional
16. April 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Martin Herdegen (ETH Zürich)
We study the sensitivity of optimal consumption streams with respect to perturbations of the random endowment.
12. February 2015
Rudower Chaussee 25, Room 1.115, 4 p.m.
Lecturer: Marie-Claire Quenez (University Paris-Diderot)
We study mixed optimal control/stopping problems for f-expectations in the Markovian framework. We first establish a dynamic programming principle.

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