Event Archive

How does asymmetrical information create market incompleteness? by Anne Eyraud-Loisell
  1. April 24, 2017 - 4:45pm to 5:45pm
Reevaluation of the capital charge in insurance after a large shock: empirical and theoretical views by Stéphane Loisel
  1. April 24, 2017 - 3:30pm to 4:30pm
From optimal rebalancing to information geometry by Leonard Wong
  1. April 17, 2017 - 3:30pm to 5:00pm
Sample path properties of SDEs driven by fractional Brownian motions by Cheng Ouyang
  1. March 15, 2017 - 3:30pm to 5:00pm
Stochastic & Implied Sharpe Ratio by Ronnie Sircar
  1. March 8, 2017 - 3:30pm to 5:00pm
Competing Brownian Particles by Andrey Sarantsev
  1. February 27, 2017 - 3:30pm to 5:00pm
Options Pricing with Delayed Information by Mostafa Mousavi
  1. February 13, 2017 - 3:30pm to 5:00pm
Volatility demand management for electricity: a moral hazard approach by Dylan Possamaï
  1. February 8, 2017 - 3:30pm to 5:00pm
Set-Valued Risk Measures for Systemic Risk by Zach Feinstein
  1. January 9, 2017 - 5:00pm to 6:00pm
Dynamic Conditional Distribution Models with Applications in Finance by Jacob Serup
  1. November 28, 2016 - 3:30pm to 5:00pm
A Mean Field Game of Optimal Stopping by Marcel Nutz
  1. November 22, 2016 - 5:00pm to 6:00pm
Some recent results on (asymptotics of) rough volatility models by Antoine Jacquier
  1. November 14, 2016 - 3:30pm to 5:00pm
Bridging risk measures and classical ruin theory by Jose Garrido
  1. October 31, 2016 - 3:30pm to 5:00pm
Model-independent pricing with additional information: a Skorokhod embedding approach. by Beatrice Acciaio
  1. October 17, 2016 - 3:30pm to 5:00pm
Bounds for VIX Futures Given S&P 500 Smiles by Julien Guyon
  1. October 10, 2016 - 3:30pm to 5:00pm
The Particle Method for Smile Calibration (short course) by Julien Guyon
  1. October 7, 2016 - 10:00am to 12:00pm
Calibration and Backtesting of the Heston Model for Counterparty Credit Risk by Sergey Levendorski?
  1. September 23, 2016 - 3:00pm to 4:00pm
Computational Finance as a Subfield of Complex Analysis (short course) by Sergey Levendorski?
  1. September 23, 2016 - 10:00am to 12:00pm
Systemic Risk and Stochastic Games with Delay by Jean-Pierre Fouque
  1. May 23, 2016 - 3:30pm to 5:00pm
Recent Developments on Functional Itô Calculus - Lie Bracket and Tanaka Formula by Yuri Saporito
  1. April 18, 2016 - 3:30pm to 5:00pm