Humboldt Distinguished Lecture Series in Applied Mathematics

Humboldt Distinguished Lecture Series in Applied Mathematics

Speaker(s): 
Freddy Delbaen (ETH Zürich)
Date: 
Tuesday, October 20, 2015 - 5:15pm to Wednesday, October 21, 2015 - 6:45pm
Location: 
HU Berlin, Rudower Chaussee 25, Room 1.013

These lectures will cover the theory of monetary utility functions (or risk measures). The one period case together with duality arguments will give us the representation theorem. The more period case, especially the time consistent one, will make the bridge to Backward Stochastic Differential Equations. Some special topics that might be covered (depending on time) are: Law determined utility functions; Mackey continuous convex functions and the relation with functional analysis; Uniqueness and Existence of solutions for special BSDE; BSDE with unbounded terminal values.

Topics in Financial Stability

Speaker(s): 
Paul Glasserman
Date: 
Monday, May 19, 2014 - 4:00pm to Tuesday, May 20, 2014 - 6:30pm
Location: 
Rudower Chaussee 26; Room 0.307

These lectures will cover problems of mathematical modeling that arise from efforts to enhance the stability of the financial system. They take place

Behavioural Portfolio Choice and Equilibrium

Speaker(s): 
Xunyu Zhou
Date: 
Monday, June 10, 2013 - 9:00am to Tuesday, June 11, 2013 - 4:00pm
Location: 
RUD 25; Room 1.115

This lecture series is intended for graduate students in mathematics and economics. This year it is given by a pioneer in stochastic optimization and renowned  financial mathematician. The talks take place

  • June 10th; 16:oo - 17:oo and 17:30 - 18:3o; 
    Johann v. Neumann Haus; Room 1.115
  • June 11th, 16:00 - 17:oo and 17:30 - 18:3o;
    Johann v. Neumann Haus; Room 1.115.

Topics include:

Lectures on Quantitative Risk Management

Speaker(s): 
Paul Embrechts (ETH Zurich)
Date: 
Wednesday, April 25, 2012 - 4:00pm to Thursday, April 26, 2012 - 4:00pm
Location: 
Johann v. Neumann Haus; Room 1.013

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