Seminars

Find out more about past talks and seminars hosted by the Institute.

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

 

Back to: Institute for Financial and Actuarial Mathematics

Back to: Institute for Financial and Actuarial Mathematics