Speaker: Andreas Søjmark, London School of Economics and Political Science Title: Dynamic default contagion in heterogeneous interbank systems Abstract: In this talk, I will propose a dynamic default...
Speaker: Silvana Pesenti, Assistant Professor, Department of Statistical Sciences, University of Toronto Title: Reverse Stress Testing: Static and Dynamic Abstract: This presentation is based on a...
Speaker Thorsten Schmidt, Department of Mathematical Stochastics, University of Freiburg Title Affine models under uncertainty and robust deep hedging Abstract Model uncertainty is certainly present...
Speaker: Ibrahim Ekren, Florida State University Description: TBA Note:Face coverings will be required. Even if you are fully vaccinated, all students, staff, faculty, and guests must wear a face...
Speaker: Abdoulaye Thiam, Department of Applied Mathematics, Illinois Institute of Technology Title: On Inventory Control Problems with Uncertainty Quantification and a Case Study. Abstract: The...
Speaker: Leonardo Tolomeo, Hausdorff Centre for Mathematics, Bonn, Germany Title: Phase Transitions of the Focusing Φ^p_1 Measures Abstract: We study the behavior of the focusing Φ^p_1 measures on the...
Speaker: Konstantinos Dareiotis, University of Leeds, UK Title: Approximation of Stochastic Equations with Irregular Drifts Abstract: In this talk we will discuss the rate of convergence of the Euler...
Speaker: Peter Spreij, University of Amsterdam and Radboud University Nijmegen Abstract: We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic...
Speaker: Alex Shkolnik, Department of Statistics and Applied Probability, University of California Santa Barbara Description: Harry Markowitz transformed finance by framing the portfolio construction...
Speaker: Tao Chen, Department of Mathematics, University of Michigan, Ann Arbor Description: In this work, we use a nonparametric Bayesian approach to address the issue of Knightian uncertainty in...
