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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

incomplete market

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.