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Joint Risk & Stochastics and Financial Mathematics Seminar

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The following seminars have been jointly organised by the Risk and Stochastics Group and the Department of Mathematics. The Seminar normally takes place biweekly on Thursdays from 12.00 pm - 1.00 pm in room CLM.7.02 (Clement House, LSE), unless stated below.

The series aims to promote communication and discussion of research in the mathematics of insurance and finance and their interface, to encourage interaction between practice and theory in these areas, and to support academic students in related programmes at postgraduate level. All are welcome to attend. 

Please contact the seminar administrator on seminar@maths.lse.ac.uk for further information about any of these seminars.

Upcoming Speakers:


Thursday 2 February - Julio Backhoff (TU Vienna)
Title and abstract TBC

***PLEASE NOTE: Change to usual day, time and venue***
Monday 13 February - 15:00 - Zbyszek Palmowski (Wroclaw University of Science and Technology)
Change to usual venue: COL.6.15, Leverhulme Library, Columbia House, LSE
Title and abstract TBC

Thursday 16 February - Peter Johnson (Manchester)
Sequential Testing problems for Bessel Processes

Consider the motion of a Brownian particle that takes place either in a two- dimensional plane or in the three-dimensional space. Given that only the distance of the particle to the origin is being observed, the problem is to detect the true dimension as soon as possible and with minimal probabilities of the wrong terminal decisions. This talk will discuss the solution to this problem in the Bayesian formulation under any prior probability of the true dimension when the passage of time is penalised linearly.

This is nice example of tackling an optimal stopping problem for a 2-dimensional coupled Markov process. The solution uses a measure change, a stochastic time-change, Mayer and Lagrange reformulations, and allowing for negative initial times, which could help provide ideas for solving other 2-dimensional optimal stopping problems.

***PLEASE NOTE: Change to usual day and venue***
Friday 24 February  - noon - Agostino Capponi (Columbia)
Change to usual venue: 32L.G.15, 32 Lincoln's Inn Fields, LSE
Title and abstract TBC

Thursday 2 March - Dirk Becherer (HU Berlin)
Title and abstract TBC

Thursday 9 March - Romain Blanchard
Title and abstract TBC

***PLEASE NOTE: Change to usual day and venue***
Monday 13 March - Yuri Imamura (Tokyo University of Science)
Change to usual venue: CLM.4.02,
Clement House, LSE
Title and abstract TBC

Thursday 16 March - Sergio Pulido (ENSIIE)
Title and abstract TBC

Previous Seminars: