# Research Seminars

## tba

Speaker(s):
Gitta Kotyniok (TU Berlin)
Date:
Wednesday, November 29, 2017 - 10:00am
Location:
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

## tba

Speaker(s):
Agostino Capponi (Columbia University)
Date:
Thursday, November 23, 2017 - 5:15pm
Location:
HU Berlin, Rudower Chaussee 25, Room 1.115

## tba

Speaker(s):
Christoph Czichowsky (London School of Economics and Political Science)
Date:
Thursday, November 23, 2017 - 4:15pm
Location:
HU Berlin, Rudower Chaussee 25, Room 1.115

## Extremes Gaussian random fields, max-stable processes, scaling/aggregation of risks, Parisian ruin or price optimisation for insurance

Speaker(s):
Enkelejd Hashorva (U Lausanne)
Date:
Thursday, November 16, 2017 - 10:00am
Location:
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

## tba

Speaker(s):
Vicky Henderson (University of Warwick)
Date:
Thursday, November 9, 2017 - 5:15pm
Location:
HU Berlin, Rudower Chaussee 25, Room 1.115

## Pricing and hedging with rough Heston models

Speaker(s):
Omar El-Euch (Pierre and Marie Curie University - Paris 6)
Date:
Thursday, November 9, 2017 - 4:15pm
Location:
HU Berlin, Rudower Chaussee 25, Room 1.115

It has been recently shown that rough volatility models, where the volatility is driven by a fractional Brownian motion with small Hurst parameter, provide very relevant dynamics in order to reproduce the behavior of both historical and implied volatilities. However, due to the non-Markovian nature of the fractional Brownian motion, they raise new issues when it comes to derivatives pricing and hedging.

## On the Exponentially Weighted Aggregate with the Laplace Prior

Speaker(s):
Arnak Dalayan (ENSAE Paris)
Date:
Wednesday, November 8, 2017 - 10:00am
Location:
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

In this talk, we will present some results on the statistical behaviour of the Exponentially Weighted Aggregate (EWA) in the problem of high-dimensional regression with fixed design. Under the assumption that the underlying regression vector is sparse, it is reasonable to use the Laplace distribution as a prior.

## Statistical inference for McKean-Vlasov-SDEs

Speaker(s):
Denis Belomestny (Universität Duisburg-Essen)
Date:
Wednesday, November 1, 2017 - 10:00am
Location:
WIAS, Erhard-Schmidt-Saal, Mohrenstraße 39, 10117 Berlin

McKean-Vlasov-SDEs provide a very rich modelling framework for large complex systems. They naturally appear in modelling and simulation of turbulent flows by fluid-particle method. In biomathematics, a McKean-Vlasov-SDE model for neuronal networks has been proposed. Although potentially very powerful, the lack of efficient statistical procedures prevents further expansion of these results into application areas. When proposing a McKean-Vlasov-SDE model, one of the main challenges is the appropriate choice of the coefficients.

## Volatility and Arbitrage

Speaker(s):
Johannes Ruf (London School of Economics)
Date:
Thursday, October 26, 2017 - 5:15pm
Location:
HU Berlin, Rudower Chaussee 25, Room 1.115

The capitalization-weighted cumulative variation $\sum_{i=1}^d \int_0^\cdot \mu_i (t) \dx \langle \log \mu_i \rangle (t)$ in an equity market consisting of a fixed number $d$ of assets with capitalization weights $\mu_i (\cdot) ,$ is an observable and a nondecreasing function of time. If this observable of the market is not just nondecreasing but actually grows at a rate bounded away from zero, then strong arbitrage can be constructed relative to the market over sufficiently long time horizons.