All are welcome.
Unless otherwise specified, the Stochastic Finance seminar takes place on Friday at 2pm (London time) via MS Teams.
1. Warwick Stochastic Finance Seminar: the code for people to join the Teams directly: jwk7y4n
2. Note that there has been some security issues with Zoom, so the university has prohibited to run (internal) seminars via Zoom.
|16 Oct 2020||Ruodu Wang (University of Waterloo)|
|An axiomatic foundation for the Expected Shortfall|
|23 Oct 2020||Moris Strub (Southern University of Science and Technology)|
|30 Oct 2020||Jorge Gonzalez Cazares (Warwick)|
|Monte Carlo methods for the extrema of Levy models|
|13 Nov 2020||Daniel Lacker (Columbia University)|
|Local stochastic volatility models and inverting the Markovian projection|
|20 Nov 2020||Xiaofei Shi (Columbia University)|
|Liquidity Risk and Asset Pricing|
|27 Nov 2020||Joseph Jerome (Warwick)|
|Infinite Horizon Stochastic Differential Utility|
|29 Jan 2021||Jean-Francois Chassagneux (Université de Paris)|
|Modeling carbon markets using Forward-Backward SDEs|
|2 Feb 2021 (unusual time!)||Yufei Zhang (Oxford University)|
|Deep neural network approximations to stochastic control problems|
|12 Feb 2021||Said Hamadene (Le Mans Université)|
|Mean-field reflected backward stochastic differential equations|
|19 Feb 2021||Eduardo Davila (Yale University)|
|Optimal Financial Transaction Taxes|
|26 Feb 2021||Bahman Angoshtari (University of Miami)|
|Optimal Consumption under a Habit-Formation Constraint|
|5 Mar 2021||Dylan Possamai (ETH)|
|Time-inconsistent control and backward integral Volterra SDEs|
For further information, please contact the seminar organiser Gechun Liang.