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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.

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.
11. November 2015
TU Berlin, Room MA 042, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Jordan Stoyanov (Newcastle University)
This lecture will be addressed to a wide audience: from undergraduate and graduate students in Mathematics, Statistics, Physics and Computer Science, to MSc and PhD students in these areas, and ...
5. November 2015
Rudower Chaussee 25, Room 1.115, 5 p.m.
Lecturer: Johannes Muhle-Karbe (ETH Zürich)
We study option pricing and hedging with uncertainty about a Black-Scholes reference model.
14. October 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Nicolas Perkowski (HU Berlin)
I will present several results that can be obtained by analyzing the KPZ equation using paracontrolled distributions.
15. July 2015
Universität Potsdam, House 8, Room 0.58, 5.30 p.m.
Lecturer: Dirk Blömker (Universität Augsburg)
Modulation- or Amplitude-Equations are a universal tool to approximate solutions of complicated systems like partial or stochastic partial differential equations (SPDEs) near a change of stability, wh
9. July 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Ludovic Tangpi (HU Berlin)
We provide a theoretical framework for pricing, hedging and investing in a model-independent financial market.
9. July 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Ibrahim Ekren (ETH Zürich)
In this talk, we define derivatives of functionals on the space of continuous paths and give an introduction to path-dependent partial differential equations (PPDEs).
1. July 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 6 p.m.
Lecturer: Yuri Kifer (Hebrew University Jerusalem)
Nonconventional limit theorems deal with the asymptotic behavior of sums of the form \sum_{n=1}^N F(\xi(q_1(n)), \xi(q_2(n)), ...
25. June 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 4 p.m.
Lecturer: Eckhard Platen (University of Technology Sydney)
The presentation discusses the problem of hedging not perfectly replicable contingent claims by using a benchmark, the numeraire portfolio, as reference unit.
25. June 2015
TU Berlin, Room MA 041, Straße des 17. Juni 136, 10623 Berlin, 5 p.m.
Lecturer: Laurent Denis (University of Le Mans)
We present an approach to absolute continuity and regularity of laws of Poisson functionals based on the framework of local Dirichlet forms.

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