Stochastic Finance @ Warwick Seminars
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.
Term 1 |
|
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) |
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion |
|
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 |
Term 2 | |
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) |
19 Feb 2021 | Eduardo Davila (Yale University) |
26 Feb 2021 | Bahman Angoshtari (University of Miami) |
5 Mar 2021 | Dylan Possamai (ETH) |
For further information, please contact the seminar organiser Gechun Liang.

SF@W mailing list
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