Past seminars

Georgy Chabakauri LSE (Department of Finance)
Multi-asset noisy rational expectations equilibrium with contingent claims

Samuel Drapeau Humboldt Universität zu Berlin
Numerical representation

Fausto Gozzi Luiss University
Impact of time illiquidity in a mixed market without full observation

Martin Herdegen ETH Zürich
Sensitivity of optimal consumption streams

Igor Makarov LSE (Department of Finance)
Marking-to-market and price impact

Dylan Possamaï CMAP École Polytechnique
A primer on Principal/Agent models and their recent extensions

Scott Robertson Carnegie Mellon University
Indifference pricing for contingent claims: large deviations effects

Michael Schmutz University of Bern and Swiss Financial Market Supervisory Authority (FINMA)
Challenges in risk based solvency frameworks

Pietro Siorpaes University of Oxford
Optimal investment and price dependence in a semi-statistic market

Jan-Henrik Steg Universität Bielefeld
Symmetric equilibria in stochastic timing games

René Aid EDF
A high-dimensional investment model in electricity generation

Anna Aksamit Université d'Evry Val d'Essonne
Optional semimartingale decomposition and non-arbitrage condition in enlarged filtration

Hansjoerg Albrecher HEC Lausanne ~
On theoretical and practical aspects of catastrophe insurance

Elena Boguslavskaya Brunel University
An effective method to solve optimal stopping problems for Lévy processes in infinite horizon or how to avoid differential or integro-differential equations while solving an optimal stopping problem for a Lévy problem

Giorgia Callegaro University of Padova
An application to credit risk of a hybrid Monte Carlo–optimal quantization method.

Agostino Capponi Purdue University
Optimal Investment in Defaultable Securities under Information Driven Default Contagion

Igor Evstigneev University of Manchester
Modelling Dynamics and Equilibrium of Asset Markets: A Behavioral Approach

Giorgio Ferrari Bielefeld University
A Stochastic Partially Reversible Investment Problem on a Finite Time-Horizon: Free-Boundary Analysis

Claudio Fontana INRIA Paris
On honest times and arbitrage possibilities

Yu-Jui Huang Dublin City University
Model-independent Superhedging under Portfolio Constraints

Antoine Jacquier Imperial College London
Asymptotics of forward implied volatility

Kostas Kardaras LSE
Equilibrium in risk-sharing games

Martin Larsson EPFL
Polynomial preserving diffusions and models of the term structure

Claude Martini Zeliade Systems
Calibration of the SSVI model and applications to model free option pricing bounds’

Johannes Muhle-Karbe ETH Zurich
Optimal Liquidity Provision in Limit Order Markets

Sergio Pulido EPFL
Markovian cubature rules for polynomial preserving processes

Walter Schachermayer University of Vienna
Duality Theory for Portfolio Optimisation under Transaction Costs

Michael Schroeder VU Amsterdam
Volatility smiles and derivatives - a direct route to new kinds of high-dimensionality?

Budhi Arta Surya SBM ITB
Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models

Elisa Alòs Universitat Pompeu Fabra
A decomposition formula for option prices in the Heston model and applications to option pricing approximation

Michael Schröder Vrije Universiteit Amsterdam
Mechanisms for no-arbitrage term-structure modelling with applications to interest-rates and realized-variance

Mikhail Urusov University of Duisburg-Essen
On the boundary behaviour of diffusions and the martingale property of the associated local martingales

Mingyu Xu Chinese Academy of Sciences
BSDE with a ratio constraint and its application

Larbi Alili University of Warwick
On some involutive inversions of one dimensional diffusions

Suleyman Basak London Business School
Strategic Asset Allocation in Money Management

Damiano Brigo King's College London
Arbitrage-free valuation of counterparty credit risk

Brenda Lopez Cabrera Humboldt-Universität zu Berlin
State Price Densities implied from Weather Derivatives

Luciano Campi Paris 13
On existence of shadow prices

Samuel Cohen University of Oxford
Uncertainty and nonlinear expectations

Vicky Henderson Oxford MAN Institute
Executive Stock Options: Portfolio Effects

Alex Mijatovic University of Warwick
On the drawdown of completely asymmetric Levy processes

Roman Muraviev ETH Zürich
Natural selection with habits and learning in heterogeneous economics

Ragnar Norberg LSE and University of Lyon
On optimal quadratic hedging of payment streams and optimal design of derivatives.  
Curdin Ott University of Bath
Capped Optimal Stopping problems for the Maximum Process

Huyên Pham University Paris Diderot
Optimal High Frequency Trading with Limit and Market Orders

Markus Riedle King's College London
Stochastic models in infinite dimensions

Kees van Schaik University of Manchester
Meromorphic Levy processes: a Wiener-Hopf Monte Carlo simulation method and American option pricing

Albert Shiryaev Steklov Mathematical Institute
The concept of randomness: evolution of noyions

Mete Soner ETH Zürich
Choquet Capacity, Nonlinear PDE's and hedging

Jordan Stoyanov University of Newcastle
Moment Analysis of Distributions: Classical and Recent Results

Mike Tehranchi University of Cambridge
Put-call symmetry and self-duality

Josef Teichmann ETH Zürich
Finite dimensional realizations for the CNKK-volatility surface model

Johan Tysk Uppsala University
Can time-homogeneous diffusions produce any distribution?

Almut Veraart Imperial College London
Ambit Stochastics with Applications to Energy Markets

Kevin Warner Tower Research Capital
Neural Networks for Systematic Trading

Peter Bank Technische Universität Berlin
Market indifference prices

Erhan Bayraktar University of Michigan
Probabilistic Perron's method and verification without smoothness using viscosity comparison

Giulia Di Nunno University of Oslo
Dynamic no-good-deal bounds and no-good-deal pricing measures

Xuedong He Columbia University
Portfolio Selection with Law-invariant Coherent Risk Measures

Olympia Hadjiliadis City University of New York
Preventing market crashes through insuring the speed of drawdowns

Ulrich Horst Humboldt University
Equilibrium Pricing in Incomplete Markets in Discrete and Continuous Time

Antoine Jacquier Technische Universität Berlin
A large deviations approach to implied volatility asymptotics, with applications to affine stochastic volatility models with jumps

Kostas Kardaras Boston University
On Random Times

Thilo Meyer-Brandis University of Oslo)
Computing Greeks without Derivatives

Johannes Muhle-Karbe ETH Zürich
Transaction Costs Made Tractable

Sergey Nadtochiy Oxford University 
An approximation scheme for the optimal investment strategy in incomplete market

Marcel Nutz ETH Zürich 
Random G-Expectations

Bernt Oksendal University of Oslo
Optimal pricing strategies and Stackelberg equilibria in time-delayed stochastic differential games

Carlos G Pacheco-González CINVESTAV
The Kac semi-group and applications to stochastic control

Chris Rogers Cambridge University
Diverse beliefs and market selection

Michael Schmutz University of Berne
Selected topics on static- and semi-static hedging

Luitgard Veraart LSE (Department of Mathematics) 
Lioudmila Vostrikova (D'Angers University) F-divergence minimal martingale measures and optimal portfolios for exponential Levy models with a change-point

Hao Xing LSE
Portfolio turnpikes in incomplete markets