2022-23

Unless otherwise specified, in Term 2 and Term 3, the Stochastic Finance seminar takes place on Wednesdays, starting at 11:00 am.

The first session in Term 3 is on the 3rd of May.

In Term 3, the seminar takes place in MS.03 (Mathematical Sciences Building),

with the exception of the session on the 24th of May which will take place in MS.04.

While the seminars will run in person, there is also the possibility to join via MS Teams. If you wish to be added to the respective Team, please contact the seminar organiser Miryana GrigorovaLink opens in a new window.

All are welcome.

Term 3
3rd May 2023	Eyal Neuman (Imperial College London) Optimality and Statistical Learning of Propagator Models
10th May 2023	Max Nendel (Bielefeld University) A Parametric Approach to the Estimation of Convex Risk Functionals based on Wasserstein Distance
24th May 2023 Room MS.04	Umut Cetin (LSE) Speeding up the Euler scheme for killed diffusions
21st June 2023 Room MS.03	Tolulope Fadina (Essex) Measures of Risk under Uncertainty
14th July 2023 (On Friday) Room MS.03	Samuel Cohen (Oxford) Stability and approximation of projection filters
Term 2
1st February 2023	Paolo Guasoni (Dublin City University) General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents
15th February 2023	Adrien Richou (Université de Bordeaux) BSDEs reflected in a non convex domain: a geometric point of view
22nd February 2023	David Bang (University of Warwick) Coupling of multidimensional Lévy processes and Wasserstein bounds in the small time stable domain of attraction
1st March 2023	Olivier Menoukeu Pamen (University of Liverpool) Optimal consumption with labour income and borrowing constraints for recursive preferences
8th March 2023	Xin Zhi (University of Warwick) Optimal Stopping with TreesLink opens in a new window
15th March 2023 /cancelled/ /will be rescheduled/	Daniel Schwarz (University College London) Radner equilibrium and systems of quadratic BSDEs with discontinuous generatorsLink opens in a new window /This talk has been cancelled and will be rescheduled in Term 3/
Term 1
29th September B 3.02 (Zeeman)	Mihail Zervos (London School of Economics) Risk Sharing with Mean-Variance Preferences and Proportional Transaction CostsLink opens in a new window
6th October	Michael Kupper (Universität Konstanz) Nonlinear semigroups and limit theorems for convex expectationsLink opens in a new window
3rd November	Leandro Sanchez-Betancourt (King's College London) Internalise or Externalise: Brokers and Informed TradingLink opens in a new window
10th November	Alexandre Pannier (LPSM Paris) On the ergodic behaviour of affine Volterra processesLink opens in a new window
1st December	Alex Tse (University College London) Periodic portfolio selection with quasi-hyperbolic discountingLink opens in a new window