Stochastic Analysis and Stochastic Finance Seminar

A Convolution Method for Backward Stochastic Differential Equations

Speaker(s): 
Cody Hyndman ( Concordia University)
Date: 
Thursday, February 14, 2013 - 5:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Preliminary control variates for improving empirical regression methods

Speaker(s): 
Emmanuel Gobet (CMAP-Ecole Polytechnique, Paris)
Date: 
Thursday, February 14, 2013 - 4:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Dynamic Trading Volume

Speaker(s): 
Paolo Guasoni (Dublin City University)
Date: 
Thursday, January 31, 2013 - 4:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Intertemporal Equilibria with Knightian Uncertainty: Insurance and Market Breakdown

Speaker(s): 
Frank Riedel (Universität Bielefeld)
Date: 
Thursday, January 17, 2013 - 4:00pm
Location: 
Rudower Chaussee 25, Room 1.115

BMO-estimates for BSDEs

Speaker(s): 
Stefan Geiss (Universität Insbruck)
Date: 
Thursday, December 20, 2012 - 5:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Approximation of BSDEs with non-smooth terminal conditions driven by Levy noise

Speaker(s): 
Christel Geiss (Universität Insbruck)
Date: 
Thursday, December 20, 2012 - 4:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Put-Call Parity and Market Frictions

Speaker(s): 
Simone Cerreia Vioglio (Università Bocconi)
Date: 
Thursday, December 6, 2012 - 5:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Post-Crisis Fixed Income Pricing: LIBOR Mechanics and Spreads

Speaker(s): 
Frank Seifried (Universität Kaiserslautern)
Date: 
Thursday, December 6, 2012 - 4:00pm
Location: 
Rudower Chaussee 25, Room 1.115

Pricing by stochastic control as alternative to measure transformation

Speaker(s): 
Wolfgang Runggaldier (University Padua)
Date: 
Thursday, November 22, 2012 - 4:00pm
Location: 
Rudower Chaussee 25, Room 1.115

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