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Unless otherwise specified, the Stochastic Finance seminar takes place on Thursdays at 11:00 am in MS.03 (Zeeman building). The seminar will run in a hybrid format and there is also the possibility to join via MS Teams. If you want to be added to the respective Team, please contact the seminar organiser Martin HerdegenLink opens in a new window

Term 3
26th May 2022

Harto Saarinen (University of Turku)

Optimal control problems of one-dimensional diffusions with random intervention timesLink opens in a new window

9th June 2022

Urvashi Behary Paray (University of Warwick)

Convexity Corrections via a Markov-functional approachLink opens in a new window

Wed 15th June 2022

3pm in MS.04

Cosimo Andrea Munari (University of Zurich)

Fundamental theorem of asset pricing with acceptable risk in markets with frictions Link opens in a new window

Term 2
4th Feb 2022

Ruiqi Liu (University of Warwick)

The Optimal Control of Inventory and Production for a Hybrid Energy ProducerLink opens in a new window

25th Feb 2022

(online only)

Huy Chau (University of Manchester)

Super-replication with transaction costs under model uncertainty for continuous processesLink opens in a new window

18th Mar 2022

(online only)

Mikko Pakkanen (Imperial College London)

Rough volatility - Re-examining empirical evidence using the generalised method of momentsLink opens in a new window

Term 1
15th Oct 2021

Nazem Khan (University of Warwick)

Sensitivity to large losses and rho-arbitrage for convex risk measuresLink opens in a new window

Thu 4th Nov 2021, 2pm

(online only)

Matteo Burzoni (Università degli Studi di Milano)

Mean Field Games with absorption and a model of bank runLink opens in a new window

26th Nov 2021

11am in L3 (Science Concourse)

Johannes Muhle-Karbe (Imperial College London)

Hedging with Market and Limit OrdersLink opens in a new window

3rd Dec 2021, 11am

(online only)

Roxana Dumitrescu (King's College London)

Control and optimal stopping mean-field games: a linear programming approachLink opens in a new window