IFAM Seminars and Visitors

Julia Eisenberg (Vienna University of Technology) and Paul Eisenberg (Vienna University of Economics and Business) In-person talk

Some behavioural impacts on optimal dividend strategies (Julia Eisenberg)
On the geometry of filtering finite dimensional forward rate models (Paul Eisenberg)

Johannes Ruf (London School of Economics, In-person talk)

Ayse Arik  (Heriot-Watt University, In-person talk)

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

Katia  Colaneri  (University of Rome - Tor Vergata)

Classical solutions of the Backward PIDE for Markov Modulated Marked Point Processes and Applications to CAT Bonds

Anita Behme

The time to ruin in a perturbed Cramer-Lundberg model

Jia Wei Lim (Brunel University London)

Exact simulation of Lévy subordinators

Stephane Villeneuve click here

Linear optimal contracts in a Gaussain world

Dario Gasbarra click here

Click here for the presention slides:Characterization of normal product and tetilla law in the second Wiener and Wigner chaoses c

Shijie Xu click here

Statistical consisitent term structures are flat

Dirk Becherer click here

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

Youssef Ouknine click here

Click here for the presentation slides:Doubly reflected backward stochastic differential equations in the predictable setting

Bo Li click here

Click here for the presentation slides:Functional limit theorems for nonstationary marked Hawkes process in the high intensity regime 

10/02/2021

Runhuan Feng click here

Peer-to-Peer Risk Sharing with an Application of Flood Risk Pooling