2017 IFAM Seminars and Visitors
| Date | Visitor and Seminar Title |
|---|---|
| 15/11/2017 |
Prof Mark Podolskij (Aarhus University, Denmark) A test for the rank of the volatility process |
| 10/11/2017 |
RELAX Actuarial Workshop Veronique Maume-Deschamps (Universite Lyon) On some non-parametric methods for extensions of spatial max-stable processes Manuel Morales (University of Montreal) On an Agent-based Simulator Model for the Limit-Order-Book and its Applications to Measuring Price Impact Andrei Badescu (University of Toronto) An IBNR-RBNS insurance risk model with marked Poisson arrivals Alfredo Egidio Dos Reis (University of Lisbon) Estimation of foreseeable and unforeseeable risks |
| 26/05/2017 |
Alexander Watson (University of Manchester) A probabilistic approach to spectral analysis of growth-fragmentation equations |
| 26/05/2017 |
Gabriel J. Power (Laval University) Beyond the Variance Risk Premium: Stock Market Index Return Predictability and Option-Implied Information |
| 12/05/2017 |
Dr. Damon Daniels (Strategic Network Manager, Eddie Stobart) Eddie Stobart: what we do, our challenges, what data we collect |
| 05/05/2017 |
Oleg Karpenkov (University of Liverpool) Forecasting algorithms for recurrent patterns in consumer demand |
| 24/03/2017 |
Dr. Daniel Alai (University of Kent) Lifetime Dependence Modelling using a Generalized Multivariate Pareto Distribution |
| 16/03/2017 |
Dr Yuri Imamura (Tokyo University of Science) and Dr. Nienlin Liu (Ritsumeikan University, Japan) Asymptotic hedging of barrier option via parametrix and Fourier-Malliavin estimators based on discrete measures |
| 10/03/2017 |
Prof Dima Korshunov (Lancaster University) On subexponential tails for negatively driven compound renewal processes with application to two-dimensional ruin problem |
| 10/02/2017 |
Thomas Taimre (The University of Queensland, Australia) Exploiting Asymptotic Structure for Efficient Rare-event Estimation for Sums of Random Variables |
| 08/02/2017 |
Jie Cheng An Endogenous Regime-Switching Continuous-Time Diffusion Model for S&P 500 Volatility Index |
| 20/02/2019 |
Silvana Pesenti (Cass Business School) Cascade Sensitivity Measures |
| 01/02/2017 |
Prof. Zbigniew Palmowski (Wroclaw Technical University, Poland) Ruin probabilities: exact and asymptotic results |
| 25/01/2017 |
Prof. Chunhai Kou (College of Science, Donghua University, Shanghai) Time fractional diffusion systems and their applications in control theory |