Stochastic Analysis and Mathematical Finance - A Fruitful Partnership
Videos from CMO Workshop
Marcel Nutz, Columbia
Monday May 23, 2016 09:15 - 09:52
A Mean Field Game of Optimal Stopping
Jan Obloj, University of Oxford
Monday May 23, 2016 10:01 - 10:28
Robust FTAP and superhedging in discrete time
Beatrice Acciaio, ETH Zurich
Monday May 23, 2016 11:34 - 12:01
Model-independent pricing with additional information - a Skorokhod embedding approach
Sigrid Källblad, École Polytechnique
Monday May 23, 2016 12:03 - 12:28
Model-independent bounds for Asian options - a dynamic programming approach
Soumik Pal, University of Washington Seattle
Monday May 23, 2016 15:15 - 15:58
Exponentially concave functions and a new information geometry
Johannes Ruf, UCL
Monday May 23, 2016 17:11 - 17:34
Some remarks on functionally generated portfolios
Johannes Muhle-Karbe, Carnegie Mellon University
Tuesday May 24, 2016 09:14 - 09:58
Equilibrium models with small frictions
Jan Kallsen, University of Kiel
Tuesday May 24, 2016 10:01 - 10:26
On portfolio optimization under small fixed transaction costs
Scott Robertson, Carnegie Mellon University
Tuesday May 24, 2016 11:00 - 11:30
Endogenous mortgage current coupons
Rama Cont, Imperial College London
Tuesday May 24, 2016 12:30 - 13:19
Functional calculus and pathwise integration for paths of finite quadratic variation
Mathieu Rosenbaum, Ecole Polytechnique
Tuesday May 24, 2016 15:18 - 16:05
Rough Volatility - from microstructural foundations to smile
Christian Bayer, Weierstrass Institute Berlin
Tuesday May 24, 2016 16:31 - 17:04
Pricing under rough volatility
Kavita Ramanan, Brown University
Wednesday May 25, 2016 15:07 - 15:54
Sensitivity analysis for reflected diffusions in convex polyhedral domains
Dylan Possamai, Université Paris Dauphine
Wednesday May 25, 2016 15:52 - 16:22
A tale of a Principal and many Agents
Sergio Pulido, ENSIIE ÉVRY
Wednesday May 25, 2016 16:14 - 16:46
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Hao Xing, Boston University
Wednesday May 25, 2016 17:00 - 17:32
Quadratic BSDE systems and applications
Luciano Campi, London School of Economics
Wednesday May 25, 2016 18:03 - 18:33
\( N \)-player games and mean-field games with absorption
Nizar Touzi, New York University
Thursday May 26, 2016 09:15 - 10:02
Branching diffusion representation of semilinear PDEs
Josef Teichmann, ETH Zurich
Thursday May 26, 2016 10:00 - 10:35
Affine processes and non-linear (partial) differential equations
Umut Çetin, London School of Economics
Thursday May 26, 2016 11:00 - 11:36
Linear inverse problems for diffusions
Peter Tankov, ENSAE, Institut Polytechnique de Paris
Thursday May 26, 2016 11:37 - 12:05
Asymptotic optimal tracking: lower bounds and feedback strategies
Claudio Fontana, Université Paris-Diderot (Paris VII)
Thursday May 26, 2016 12:06 - 12:36
General dynamic term structures under default risk
Kasper Larsen, Carnegie Mellon University
Thursday May 26, 2016 15:30 - 15:57
Radner equilibrium in incomplete Lévy models
Bruno Bouchard, Université Paris Dauphine - PSL
Thursday May 26, 2016 17:05 - 17:30
A Doob-Meyer-Mertens decomposition for BSDEs, and general estimates
