Stochastic Finance @ Warwick Seminars
All are welcome.
Unless otherwise specified, the Stochastic Finance seminar takes place on Fridays at 11:00 am in room A1.01, Zeeman Building
| Term 1 | |
| 12.10.2018 | Teemu Pennanen (King's College London) |
| Convex duality in nonlinear optimal transport | |
| 19.10.2018 | Tiziano De Angelis (University of Leeds) |
| Dynkin games with incomplete and asymmetric information | |
| 1-2.11.2018 | Fudan-Warwick Workshop on Financial Mathematics and Stochasitc Analysis |
| 23.11.2018 | Alexander Cox (University of Bath) |
| Utility Maximisation with Model-Independent Trading Constraints | |
| 30.11.2018 | Sigrid Källblad (Vienna University of Technology) |
| Stochastic control of measure-valued martingales with applications to robust pricing and Skorokhod embedding problems |
| Term 2 | |
| 18.01.2019 | Alex Mijatovic (University of Warwick) |
| Stability of overshoots of zero mean random walks | |
| 25.01.2019 | Michael Tehranchi (University of Cambridge) |
| A Black--Scholes inequality: Applications and generalisations |
|
| 01.02.2019 | Neofytos Rodosthenous (Queen Mary University of London) |
| Optimal timing for governmental control of the debt-to-GDP ratio | |
| 15.02.2019 | Matija Vidmar (University of Ljubljana) |
| On a family of non-linear optimal martingale transport problems |
|
| 22.02.2019 | Mihail Zervos (LSE) |
| Risksharing with two-sided limited commitment: a duality approach in continuous time |
|
| 01.03.2019 | Athena Picarelli (University of Verona) |
| Optimal control under controlled loss constraints via reachability approach and compactification |
|
| 05.04.2019 | Daniel Bartl (University of Vienna) |
| Model uncertainty in mathematical finance via Wasserstein distances |
| Term 3 | |
| 24.05.2019 | Peter Tankov (ENSAE ParisTech) |
| Mean-field games of optimal stopping and industry dynamics in the electricity market | |
| 07.06.2019 | Jukka Lempa (University of Turku) |
| A Class of Solvable Multiple Entry Problems with Forced Exits | |
| 14.06.2019 | Roxana Dumitrescu (King's College London) |
|
A dynamic dual representation of the buyer's price of American options in a nonlinear |
|
| 21.06.2019 | Frank Riedel (Bielefeld University) |
| Viability and Arbitrage under Knightian Uncertainty | |
| 28.06.2019 | Christoph Czichowsky (LSE) |
| Rough volatility and portfolio optimisation under transaction costs |
For further information, please contact the seminar organiser Gechun LIANG.
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