Joint SIAM-BFS Mathematical Finance Online Seminar

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analysis of PDEs classical analysis and ODEs differential geometry optimization and control probability

Bachelier Finance Society / ETH Zurich

Audience: Researchers in the topic
Seminar series times: No fixed schedule
Organizer: Beatrice Acciaio
Curator: Denise Kuenzli*
*contact for this listing

Description: Virtual research seminar organised by BFS

Upcoming talks
Past talks
Your timeSpeakerTitle
ThuOct 0817:00Ulrich HorstMicrostructural Foundation of Rough Log-Normal Volatility Models
ThuNov 1218:00Xiaofei Shi and Mehdi TalbiTBA
ThuDec 1018:00Thaleia ZariphopoulouTBA
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Your timeSpeakerTitle
ThuSep 1017:00René AïdCarbon Markets and Their Modeling
ThuJun 1117:00Sergio PulidoBoundary attainment conditions for stochastic Volterra equations
ThuMay 1417:00Ruimeng HuMachine Learning for Stochastic Control and Games: From Foundations to Mean-Field Learning
ThuApr 0917:00Yufei ZhangAn alpha-potential game framework for dynamic N-player games
ThuMar 1217:00Eduardo Abi JaberPath-Signatures: Memory and Stationarity
ThuFeb 1218:00Christian BayerGlobal and local regression: a signature approach with applications
ThuDec 1118:00Erhan BayraktarA Mean-Field Approach to DeFi Currency Exchanges
ThuNov 1318:00Luciano CampiOptimal coarse correlated equilibria in mean field games
ThuOct 0917:00Nicole BäuerleCompetitive portfolio optimization
FriSep 1217:00Chiara Amorino and Fayçal Drissi"Minimax rate for multivariate data under componentwise local differential privacy constraints" and "Equilibrium Liquidity Provision in Concentrated Liquidity Automated Market Makers"
ThuJun 1217:00Purba Das and Valentin Tissot-Daguette"Invariance of Stochastic integral with respect to the choice of partitions" and "Pathwise Superhedging of Asian Claims"
ThuMay 0817:00Julio BackhoffOf 'most exciting' games and the specific relative entropy between martingales
ThuApr 1017:00Sara Svaluto-FerroSignature-based models: theory, calibration, and expansions
ThuMar 2017:00Terry Lyons and Luhao ZhangThe Mathematics of Complex Streamed Data AND A Class of Interpretable and Decomposable Multi-period Convex Risk Measures
ThuJan 2318:00Scott RobertsonRational Expectations Equilibrium with Endogenous Information Acquisition Time
ThuNov 2818:00Giorgia CallegaroContinuous-time persuasion by filtering
ThuOct 2417:00Johannes WieselBounding adapted Wasserstein metrics
ThuSep 2617:00Sara BiaginiCarbon neutrality and net-zero in compliance markets
ThuJun 2717:00Alvaro CarteaSpoofing and Manipulating Order Books with Learning Algorithms
ThuMay 2317:00Samuel CohenCalibration of Hawkes-like processes for LOBs
ThuApr 2517:00Johannes RufThe numeraire e-variable and reverse information projection
ThuMar 2118:00Daniel LackerNon-asymptotic perspectives on mean field approximations and stochastic control
ThuFeb 2218:00Carole BernardMultivariate Portfolio Choice via Quantiles
ThuJan 2518:00Marcel NutzUnwinding Stochastic Order Flow: When to Warehouse Trades
TueJan 2318:00TBATBA
ThuNov 2318:00Hao XingWhy is Cash U-Shaped in Firm Size?
ThuOct 2617:00Igor CialencoSPDEs in finance and their statistical inference
ThuSep 2817:00Josef TeichmannRobust Optimal Growth from an analytical and learning perspective
ThuJun 2217:00Umut ÇetinSpeeding up the Euler scheme for killed diffusions
ThuMay 2517:00Anna AksamitSuperhedging duality for multi-action options under model uncertainty with information delay
TueMay 2317:00Samuel CohenTBA
ThuApr 2717:00Kostas KardarasPortfolio choice under taxation and expected market time constraint
ThuMar 3017:00Stefano de MarcoFractional forward variance models - volatility surfaces and other features
ThuFeb 2318:00Dylan PossamaïMoral hazard for time-inconsistent agents, BSVIEs and stochastic targets
ThuJan 2618:00Antoine JacquierTBA
ThuNov 2418:00Nils DeteringPricing options on flow forwards by neural networks in Hilbert space
ThuOct 2717:00Hao NiPCF-GAN: generating sequential data via the characteristic function of measures on the path space
ThuSep 2217:00cancelledTBA
ThuJun 2317:00Luitgard VeraartSystemic Risk in Markets with Multiple Central Counterparties
ThuMay 2617:00Charles-Albert LehalleMathematics Of Data Curation For Financial Applications
ThuApr 2817:00Lisa GoldbergJames Stein for eigenvectors
ThuMar 2418:00Claudio FontanaTerm structure modeling with overnight rates beyond stochastic continuity
ThuFeb 2418:00Matteo BurzoniA unifying approach to viability and arbitrage
ThuJan 2718:00Johannes Muhle-KarbeLiquidity Risk and Asset Prices
ThuDec 0918:00Michael KupperMarkovian transition semigroups under model uncertainty
ThuNov 1118:00Emma HubertLarge-scale principal-agent problems
ThuOct 2817:00Hoi Ying WongPrimal return ambiguity and dual risk ambiguity
ThuSep 3017:00Marco FrittelliEntropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
ThuJun 1717:00Jianfeng ZhangMean Field Game Master Equations with Monotonicity and Anti-monotonicity Conditions in Displacement Sense
ThuMay 2017:00Peter BankThe value of not being predictable
ThuMay 0617:00Matheus GrasselliGod does not play DICE with the climate
ThuApr 2217:00Darrell DuffieFragmenting Financial Markets
ThuApr 0817:00Tomoyuki IchibaRelative arbitrage among investors
ThuMar 2518:00Bruno BouchardIto’s formula for concave or C1 path-dependent functions and applications in mathematical finance
ThuMar 1118:00Tom HurdCOVID-19: Modelling Another Global Systemic Phenomenon
ThuFeb 2511:00Shige PengImproving Value-at-Risk prediction under model uncertainty
ThuFeb 1118:00Alexander SchiedRobustness in risk measurement: the impact of incentives
ThuJan 2818:00Yuri SaporitoPDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations
ThuJan 1418:00Agnes SulemOptional pricing in a non-linear incomplete market model with default: the European and American cases
ThuDec 0318:00Jakša CvitanićOptimal Fund Menus
ThuNov 1918:00Xunyu ZhouEntropy Regularization, Boltzmann Exploration, and Langevin Diffusions
ThuNov 0518:00Martin LarssonFinance and Statistics: Trading Analogies for Sequential Learning
ThuOct 2217:00Elisa AlosOn the difference between volatility swaps and the ATM implied volatility
ThuOct 0817:00Damir FilipovićMachine Learning With Kernels for Portfolio Valuation and Risk Management
ThuSep 2417:00Ludovic TangpiBackward propagation of chaos and large population games asymptotics
ThuSep 1017:00Christa CuchieroUniversality of affine and polynomial processes
ThuJul 1617:00Julien GuyonThe Joint S&P 500/VIX Smile Calibration Puzzle Solved
ThuJul 0217:00Xin GuoUnderstanding GANs through MFGs and SDEs approximations
ThuJun 1817:00Peter TankovEnvironmental Impact Investing: how green-minded investors spur companies to reduce their emissions
ThuJun 0417:00Nizar TouziIs there a Golden Parachute in Sannikov’s principal-agent problem?
ThuMay 2117:00Jan OblojData driven robustness and uncertainty sensitivity analysis
ThuMay 0717:00Paul EmbrechtsOperational Risk revisited: from Basel to the coronavirus
ThuApr 2317:00Mathieu RosenbaumSuper-Heston rough volatility, Zumbach effect and the Guyon’s conjecture
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