Date |
Visitor and Seminar Title |
|---|---|
| 20/11/2024 | Prof. Peter Tino (University of Birmingham) - |
| 13/11/2024 |
Guido Gazzani (University of Verona, Italy) - Pricing and calibration in the 4-factor path-dependent volatility model |
| 08/11/2024 |
Associate Prof. Christian Furrer (University of Copenhagen) - Comparison theorems and Thiele's equation |
| 02/10/2024 |
Dr. Horatio Boedihardjo (University of Warwick) - Tail probability for integrals along fractional Brownian motions |
| 25/09/2024 |
Zhang Xinmiao (Ritsumeikan University, Japan) - Dice for Price |
| 11/06/2024 |
Pietro Millossovich (Bayes Business School, London) - Stress Testing with f-divergences |
| 15/05/2024 |
Prof. Francesca Biagini (LMU Munich) - Deep learning for asset price bubbles’ detection |
| 24/04/2024 |
Dr Jorge Ramirez (Mathematics and Computing Division, Oak Ridge National Laboratory, USA) - Resilience in complex systems: a mathematical approach |
| 17/04/2024 |
Allen Hart (University of Exeter) - Reservoir computing and Dynamical systems |
| 20/03/2024 |
Alex Tse (UCL) - Optimal option market making and volatility arbitrage |
| 18/03/2024 |
Prof. Alfred Muller (University of Siegen) - Decisions under uncertainty: sufficient conditions for almost stochastic dominance |
| 06/03/2024 |
Mohammud Foondun (University of Strathclyde) - Some result recents on global existence and non-existence of stochastic partial differential equations |
| 16/02/2024 |
Julie Bjørner Søe (University of Copenhagen) - What is the value of the annuity market? |
| 07/02/2024 |
Gholamali Aminian (The Alan Turing Institute) - Mean-field Analysis of Generalization Errors |
| 13/11/2023 | Dr. Xiaoyang Zhuo (Beijing Institute of Technology) - The Equivalent Expectations Measures Theory: Computing Risk and Returns of Contingent Claim Portfolios |
| 22/11/2023 | Prof. Yuliya Mishura (Taras Shevchenko National University of Kyiv) - Fractional regularity and irregularity |
| 15/11/2023 | Prof. Thomas Mikosch (University of Copenhagen) - Extreme value theory for heavy-tailed time series |
| 01/11/2023 | Dr. Francesco Ungolo (UNSW, Sydney) - Dirichlet Process Mixtures for dependence modelling in actuarial applications |
| 25/10/2023 | Rodrigue Kazzi (Vrije Universiteit Brussel) - Model uncertainty assessment for unimodal right-skewed distributions |
| 18/10/2023 | Dr. Ariel Neufeld (Nanyang Technological University (NTU) ) - Deep Learning based algorithm for nonlinear PDEs in finance and gradient descent type algorithm for non-convex stochastic optimization problems with ReLU neural networks |
| 04/10/2023 | Dr. David Siska (University of Edinburgh) - Policy mirror descent for continuous state and action space MDPs: Convergence of the Fisher--Rao gradient flow |
| 07/06/2023 | Dr. Fadina Tolulope (University of Essex) - Measures of Risk under Uncertainty |
| 31/05/2023 | Dr. Sara Svaluto-Ferro (University of Verona) - Signature-based models: theory and calibration |
| 17/05/2023 | Prof. Adam Ostaszewski (LSE) - Optimal voluntary disclosure with reputational benefits of silence |
| 03/05/2023 | Dr. Lukas Gonon (Imperial College) - Mathematical foundations of dynamic learning based on reservoir computing |
| 19/04/2023 | Renyuan Xu (University of Southern California)- Asymptotic Analysis of Deep Residual Networks and Global Convergence of Gradient Descent Methods |
| 22/03/2023 | Satoshi Hayakawa (Oxford) - Positively weighted kernel quadrature and a refined analysis of Nyström approximation |
| 08/03/2023 | Oscar Peralta (Cornell University) - Space-grid approximations of hybrid stochastic differential equations and their ruin probabilities |
| 08/02/2023 | Purba Das (University of Michigan) - Rough volatility: fact or artefact? |
| 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 |