| Term 3 |
|
| 05.05.2017 |
Paolo Guasoni (Dublin City) |
| |
Leveraged Funds: Robust Replication and Performance Evaluation |
| 19.05.2017 |
Luciano Campi (LSE) |
| |
N-player games and mean field games with absorption |
| 26.05.2017 |
Sebastian Herrmann (Michigan) |
| |
Robust Pricing and Hedging around the Globe |
| 09.06.2017 |
Bruno Bouchard (Paris Dauphine) |
| |
Super-hedging with proportional transaction costs under uncertainty : a randomization approach |
| 23.06.2017 |
Johannes Muhle-Karbe (Michigan) |
| |
A Risk-Neutral Equilibrium Leading to Uncertain Volatility Pricing |
| Term 2 |
|
| 20.01.2017 |
Christoph Czichowsky (LSE) |
| |
Portfolio Optimisation, Transaction Costs, Shadow Prices and Fractional Brownian Motion |
| 10.03.2017 |
Daniel Schwarz (UCL) |
| |
The existence of densities of BSDEs |
| 17.03.2017 |
Frank Seifried (Trier) |
| |
Epstein-Zin Stochastic Differential Utility |
| Term 1 |
|
| 21.10.2016 |
Blanka Horvath (Imperial) |
| |
Aspects of asymptotic expansions in fractional volatility models |
| 04.11.2016 |
Tiziano De Angelis (Leeds) |
| |
The dividend problem with a finite horizon |
| 11.11.2016 |
Thomas Cayé (ETH Zürich) |
| |
Trading with small nonlinear price impact |
| 25.11.2016 |
Frank Kelly (Cambridge) |
| |
A Markov model of a limit order book: thresholds, recurrence, and trading strategies |
| 02.12.2016 |
Saul Jacka (Warwick) |
| |
General Controlled Markov Processes and Optimal Stopping |
