Date |
Visitor and Seminar Title |
|---|---|
| 07/12/2022 | Paul Gassiat - Weak error rates of numerical schemes for rough volatility |
| 23/11/2022 | Georgios Psarrakos |
| 26/10/2022 | Antonie-Marie Bosgo, University of Yaounde I, AIMS Ghana - Integration with respect to local time of the Brownian sheet and regularising properties of Brownian sheet paths |
| 12/10/2022 |
Dr. Christa Cuchiero, University of Vienna - Signature methods in stochastic portfolio theory |
| 28/06/2022 |
Julia Eisenberg (Vienna University of Technology) - Some behavioural impacts on optimal dividend strategies Paul Eisenberg (Vienna University of Economics and Business) - On the geometry of filtering finite dimensional forward rate models (Paul Eisenberg) |
| 11/05/2022 |
Johannes Ruf (London School of Economics) |
| 04/05/2022 |
Ayse Arik (Heriot-Watt University) - Stochastic valuation of pension buy-out prices: the impact of dependence between mortality rates and financial markets |
|
23/03/2022 |
Laura Ballotta (Bayes Business school, City University of London) - Volatility by jumps |
|
09/03/2022 |
Ruodo Wang (University of Waterloo) - E-backtesting risk measures |
| 23/02/2022 |
Katia Colaneri (University of Rome,Tor Vergata) - Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds |
| 9/02/2022 |
Anita Behme - The time to ruin in a perturbed Cramer-Lundberg model |
| 6/10/2021 |
Jia Wei Lim (Brunel University London) - Exact simulation of Lévy subordinators |
| 19/05/2021 |
Stephane Villeneuve - Linear optimal contracts in a Gaussain world |
| 05/05/2021 |
Dario Gasbarra - Characterisation of normal product and tetilla law in the second Wiener and Wigner chaoses |
| 21/04/2021 |
Shijie Xu - Statistical consisitent term structures are flat |
| 17/03/2021 |
Dirk Becherer - Optimal trade execution with transient relative price impact and directional views: A 2nd-order variational approach to a 3-dimensional non-convex free boundary problem |
| 10/03/2021 |
Youssef Ouknine - Doubly reflected backward stochastic differential equations in the predictable setting |
| 24/02/2021 |
Bo Li - Functional limit theorems for nonstationary marked Hawkes process in the high intensity regime |
|
10/02/2021 |
Runhuan Feng - Peer-to-Peer Risk Sharing with an Application of Flood Risk Pooling |