Stochastic Analysis and its Applications
Videos from CMO Workshop
Umut Çetin, London School of Economics
Monday May 14, 2018 08:59 - 09:44
Diffusion transformations, Black-Scholes equation and optimal stopping
Teemu Pennanen, King's College London
Monday May 14, 2018 09:51 - 10:23
Convex duality in nonlinear optimal transport
Marcel Nutz, Columbia
Monday May 14, 2018 11:00 - 11:47
Convergence to the Mean Field Game Limit: A Case Study
Goncalo dos Reis, University of Edinburgh
Monday May 14, 2018 11:49 - 12:37
Large Deviations for McKean Vlasov Equations and Importance Sampling
Giorgia Callegaro, Università degli Studi di Padova
Monday May 14, 2018 12:47 - 13:06
Nonzero-sum stochastic differential games with impulse controls: a verification theorem with applications
Cuchiero Christa, University of Vienna
Monday May 14, 2018 15:52 - 16:32
Markovian representations of stochastic Volterra processes
Mihai Sirbu, UT Austin
Tuesday May 15, 2018 09:02 - 09:41
Optimal investment and consumption with labor income or liability streams
Thibaut Mastrolia, École Polytechnique
Tuesday May 15, 2018 09:48 - 10:28
Optimal make-take fees for market making regulation
Kim Weston, Rutgers
Tuesday May 15, 2018 11:01 - 11:41
Incomplete Equilibrium with Stochastic Interest Rates
Scott Robertson, Boston University
Tuesday May 15, 2018 11:48 - 12:35
Equilibrium with Heterogeneous Information
Michail Anthropelos, University of Piraeus
Tuesday May 15, 2018 12:43 - 13:16
Optimal investment and derivative demand and pricing under price impact
Mykhaylo Shkolnikov, Carnegie Mellon University
Tuesday May 15, 2018 15:02 - 15:48
Particles interacting through their hitting times: neuron firing, supercooling and systemic risk
Tomoyuki Ichiba, University of California Santa Barbara
Tuesday May 15, 2018 15:51 - 16:14
An Infinite-dimensional McKean-Vlasov Stochastic Equation
Sergio Pulido, ENSIIE ÉVRY
Wednesday May 16, 2018 09:03 - 09:46
Optimal investment in an endogenous price impact model
Antoine Jacquier, Imperial College London
Wednesday May 16, 2018 09:52 - 10:32
Pricing and Hedging in rough volatility models
Julio Backhoff Veraguas, TU Wien
Wednesday May 16, 2018 11:00 - 11:47
Martingale Benamou-Brenier: a probabilistic perspective
Tongseok Lim, University of Oxford
Wednesday May 16, 2018 11:50 - 12:16
Various formulations of martingale optimal transport problem in multi dimension
Jan Obloj, University of Oxford
Wednesday May 16, 2018 12:20 - 12:45
Computational Methods for Martingale Optimal Transport problems
Daniel Lacker, Columbia University
Wednesday May 16, 2018 12:49 - 13:10
Weak approximation by adapted process
Erick Treviño Aguilar, University of Guanajuato
Wednesday May 16, 2018 13:15 - 13:39
On the partial hedging of American options
Martin Larsson, Carnegie Mellon University
Thursday May 17, 2018 09:02 - 09:46
Short- and long-term relative arbitrage in stochastic portfolio theory
Johannes Ruf, LSE
Thursday May 17, 2018 09:52 - 10:29
Filtration shrinkage, the structure of deflators, and the failure of market completeness
Bruno Bouchard, Université Paris Dauphine - PSL
Thursday May 17, 2018 11:45 - 12:07
Simple Transaction cost bounds
Daniel Hernandez, Research Center for Mathematics
Thursday May 17, 2018 12:10 - 12:32
Periodic strategies in optimal execution with multiplicative impact
Blanka Horvath, Imperial College London
Thursday May 17, 2018 13:07 - 13:32
Functional central limit theorems for rough volatility
Stefano De Marco, Ecole Polytechnique
Thursday May 17, 2018 13:36 - 14:05
Volatility derivatives in rough forward variance models
Mark Podolskij, Aarhus University
Thursday May 17, 2018 15:05 - 15:42
High dimensional problems for continuous time models
Sigrid Källblad, KTH Royal Institute of Technology
Thursday May 17, 2018 15:45 - 16:08
Measure-valued martingales and optimality of solutions to the Skorokhod embedding problem
