Event Archive

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
Optimal Collateralization with Bilateral Default Risk by Daniel Bauer
  1. April 11, 2016 - 3:30pm to 5:00pm
Central Clearing Valuation Adjustment by Stéphane Crépey
  1. February 24, 2016 - 5:00pm to 6:30pm
Infinite-dimensional SDE related to random matrices — finite particle approximation and the density preserving property by Yosuke Kawamoto
  1. February 24, 2016 - 3:30pm to 5:00pm
Dynamic Programming Approach to Principal-Agent Problems by Dylan Possamaï
  1. February 22, 2016 - 5:00pm to 6:30pm
Pricing Temperature Derivatives and Hedging Crop Yield by Jeffrey Pai
  1. February 22, 2016 - 3:30pm to 5:00pm
Gaussian fluctuations in rank-based models of stochastic portfolio theory by Mykhaylo Shkolnikov
  1. February 19, 2016 - 2:00pm to 3:30pm
Design of optimal incentives for a system of competitive agents in interaction by Romuald Elie
  1. February 8, 2016 - 3:30pm to 5:00pm
Viscosity Solutions for Path-dependent PDEs by Ibrahim Ekren
  1. January 4, 2016 - 3:30pm to 5:00pm
Mean field limits for stochastic differential games by Daniel Lacker
  1. December 9, 2015 - 3:30pm to 5:00pm
Delay in Financial Markets by Mostafa Mousavi
  1. November 30, 2015 - 3:30pm to 5:00pm