BEGIN:VCALENDAR
VERSION:2.0
PRODID:researchseminars.org
CALSCALE:GREGORIAN
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BEGIN:VEVENT
SUMMARY:Mathieu Rosenbaum (Ecole Polytechnique\, Paris)
DTSTART:20200423T170000Z
DTEND:20200423T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/1
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 1/">Super-Heston rough volatility\, Zumbach effect and the Guyon’s conje
 cture</a>\nby Mathieu Rosenbaum (Ecole Polytechnique\, Paris) as part of J
 oint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/1/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Paul Embrechts (ETH Zurich)
DTSTART:20200507T170000Z
DTEND:20200507T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/2
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 2/">Operational Risk revisited: from Basel to the coronavirus</a>\nby Paul
  Embrechts (ETH Zurich) as part of Joint SIAM-BFS Mathematical Finance Onl
 ine Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/2/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Jan Obloj (University of Oxford)
DTSTART:20200521T170000Z
DTEND:20200521T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/3
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 3/">Data driven robustness and uncertainty sensitivity analysis</a>\nby Ja
 n Obloj (University of Oxford) as part of Joint SIAM-BFS Mathematical Fina
 nce Online Seminar\n\n\nAbstract\nIn this talk\, I will showcase how metho
 ds from optimal transport and distributionally robust optimisation allow t
 o capture and quantify sensitivity to model uncertainty for a myriad of pr
 oblems.\nWe consider a generic stochastic optimisation problem. This could
  be a mean-variance or a utility maximisation portfolio allocation problem
 \, an optimised certainty equivalent or a risk measure computation\, a sta
 ndard regression or a deep learning problem. At the heart of the optimisat
 ion is a probability measure\, or a model\, which describes the system. It
  could come from data\, simulation or a modelling effort but there is alwa
 ys a degree of uncertainty about it.\nWe take a non-parametric approach an
 d capture model uncertainty using Wasserstein balls around the postulated 
 measure. Our main results provide explicit formulae for the first order co
 rrection to both the value function and the optimiser. We further extend o
 ur results to optimisation under linear constraints. Our sensitivity analy
 sis of the distributionally robust optimisation problems finds application
 s in statistics\, machine learning\, mathematical finance and uncertainty 
 quantification.\nIn the talk\, I will discuss several financial examples a
 nchored in a one-step financial model and compute their sensitivity to mod
 el uncertainty. These will include: option pricing\, mean-variance portfol
 io selection\, optimised certainty equivalent and similar risk assessments
  as well as a robust version of Davis’ marginal utility option pricing. 
 I will also discuss briefly other applications\, such as explicit formulae
  for first-order approximations of square-root LASSO and square-root Ridge
  optimisers and measures of NN architecture robustness wrt to adversarial 
 data. I will also showcase the link with building data-driven estimators o
 f risk measures.\nTalk based on joint works with Daniel Bartl\, Samuel Dra
 peau and Johannes Wiesel.\n\nRegistration is free but compulsory:\n<a href
 ="https://ethz.zoom.us/meeting/register/tJ0kfu6trD0oGtHBTVyMkSJDp-XRy1tblo
 3d">register here</a>\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/3/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Nizar Touzi (Ecole Polytechnique Paris)
DTSTART:20200604T170000Z
DTEND:20200604T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/4
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 4/">Is there a Golden Parachute in Sannikov’s principal-agent problem?</
 a>\nby Nizar Touzi (Ecole Polytechnique Paris) as part of Joint SIAM-BFS M
 athematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/4/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Peter Tankov (ENSAE Paris)
DTSTART:20200618T170000Z
DTEND:20200618T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/5
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 5/">Environmental Impact Investing: how green-minded investors spur compan
 ies to reduce their emissions</a>\nby Peter Tankov (ENSAE Paris) as part o
 f Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/5/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Xin Guo (University of California Berkeley)
DTSTART:20200702T170000Z
DTEND:20200702T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/6
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 6/">Understanding GANs through MFGs and SDEs approximations</a>\nby Xin Gu
 o (University of California Berkeley) as part of Joint SIAM-BFS Mathematic
 al Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/6/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Julien Guyon (Bloomberg L.P.\, New York)
DTSTART:20200716T170000Z
DTEND:20200716T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/7
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 7/">The Joint S&P 500/VIX Smile Calibration Puzzle Solved</a>\nby Julien G
 uyon (Bloomberg L.P.\, New York) as part of Joint SIAM-BFS Mathematical Fi
 nance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/7/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Christa Cuchiero (University of Vienna)
DTSTART:20200910T170000Z
DTEND:20200910T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/8
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 8/">Universality of affine and polynomial processes</a>\nby Christa Cuchie
 ro (University of Vienna) as part of Joint SIAM-BFS Mathematical Finance O
 nline Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/8/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Ludovic Tangpi (Princeton University)
DTSTART:20200924T170000Z
DTEND:20200924T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/9
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 9/">Backward propagation of chaos and large population games asymptotics</
 a>\nby Ludovic Tangpi (Princeton University) as part of Joint SIAM-BFS Mat
 hematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/9/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Damir Filipović (EPFL and Swiss Finance Institute)
DTSTART:20201008T170000Z
DTEND:20201008T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/10
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 10/">Machine Learning With Kernels for Portfolio Valuation and Risk Manage
 ment</a>\nby Damir Filipović (EPFL and Swiss Finance Institute) as part o
 f Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/10/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Elisa Alos (Barcelona Graduate School of Economics)
DTSTART:20201022T170000Z
DTEND:20201022T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/11
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 11/">On the difference between volatility swaps and the ATM implied volati
 lity</a>\nby Elisa Alos (Barcelona Graduate School of Economics) as part o
 f Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/11/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Martin Larsson (Carnegie Mellon University)
DTSTART:20201105T180000Z
DTEND:20201105T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/12
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 12/">Finance and Statistics: Trading Analogies for Sequential Learning</a>
 \nby Martin Larsson (Carnegie Mellon University) as part of Joint SIAM-BFS
  Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/12/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Xunyu Zhou (Columbia University)
DTSTART:20201119T180000Z
DTEND:20201119T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/13
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 13/">Entropy Regularization\, Boltzmann Exploration\, and Langevin Diffusi
 ons</a>\nby Xunyu Zhou (Columbia University) as part of Joint SIAM-BFS Mat
 hematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/13/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Jakša Cvitanić (Caltech)
DTSTART:20201203T180000Z
DTEND:20201203T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/14
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 14/">Optimal Fund Menus</a>\nby Jakša Cvitanić (Caltech) as part of Join
 t SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/14/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Agnes Sulem (Centre Inria de Paris)
DTSTART:20210114T180000Z
DTEND:20210114T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/15
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 15/">Optional pricing in a non-linear incomplete market model with default
 : the European and American cases</a>\nby Agnes Sulem (Centre Inria de Par
 is) as part of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstr
 act: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/15/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Yuri Saporito (Fundação Getúlio Vargas)
DTSTART:20210128T180000Z
DTEND:20210128T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/16
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 16/">PDGM: a Neural Network Approach to Solve Path-Dependent Partial Diffe
 rential Equations</a>\nby Yuri Saporito (Fundação Getúlio Vargas) as pa
 rt of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\
 n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/16/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Alexander Schied (University of Waterloo)
DTSTART:20210211T180000Z
DTEND:20210211T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/17
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 17/">Robustness in risk measurement: the impact of incentives</a>\nby Alex
 ander Schied (University of Waterloo) as part of Joint SIAM-BFS Mathematic
 al Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/17/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Shige Peng (Shandong University)
DTSTART:20210225T110000Z
DTEND:20210225T120000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/18
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 18/">Improving Value-at-Risk prediction under model uncertainty</a>\nby Sh
 ige Peng (Shandong University) as part of Joint SIAM-BFS Mathematical Fina
 nce Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/18/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Tom Hurd (McMaster University)
DTSTART:20210311T180000Z
DTEND:20210311T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/19
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 19/">COVID-19: Modelling Another Global Systemic Phenomenon</a>\nby Tom Hu
 rd (McMaster University) as part of Joint SIAM-BFS Mathematical Finance On
 line Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/19/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Bruno Bouchard (Université Paris Dauphine)
DTSTART:20210325T180000Z
DTEND:20210325T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/20
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 20/">Ito’s formula for concave or C1 path-dependent functions and applic
 ations in mathematical finance</a>\nby Bruno Bouchard (Université Paris D
 auphine) as part of Joint SIAM-BFS Mathematical Finance Online Seminar\n\n
 Abstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/20/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Tomoyuki Ichiba (University of California Santa Barbara)
DTSTART:20210408T170000Z
DTEND:20210408T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/21
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 21/">Relative arbitrage among investors</a>\nby Tomoyuki Ichiba (Universit
 y of California Santa Barbara) as part of Joint SIAM-BFS Mathematical Fina
 nce Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/21/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Darrell Duffie (Stanford University)
DTSTART:20210422T170000Z
DTEND:20210422T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/22
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 22/">Fragmenting Financial Markets</a>\nby Darrell Duffie (Stanford Univer
 sity) as part of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbs
 tract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/22/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Matheus Grasselli (McMaster University)
DTSTART:20210506T170000Z
DTEND:20210506T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/23
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 23/">God does not play DICE with the climate</a>\nby Matheus Grasselli (Mc
 Master University) as part of Joint SIAM-BFS Mathematical Finance Online S
 eminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/23/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Peter Bank (TU Berlin)
DTSTART:20210520T170000Z
DTEND:20210520T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/24
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 24/">The value of not being predictable</a>\nby Peter Bank (TU Berlin) as 
 part of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TB
 A\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/24/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Jianfeng Zhang (University of Southern California)
DTSTART:20210617T170000Z
DTEND:20210617T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/26
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 26/">Mean Field Game Master Equations with Monotonicity and Anti-monotonic
 ity Conditions in Displacement Sense</a>\nby Jianfeng Zhang (University of
  Southern California) as part of Joint SIAM-BFS Mathematical Finance Onlin
 e Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/26/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Marco Frittelli (University of Milan)
DTSTART:20210930T170000Z
DTEND:20210930T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/27
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 27/">Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Du
 ality</a>\nby Marco Frittelli (University of Milan) as part of Joint SIAM-
 BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/27/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Hoi Ying Wong (Chinese University of Hong Kong)
DTSTART:20211028T170000Z
DTEND:20211028T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/29
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 29/">Primal return ambiguity and dual risk ambiguity</a>\nby Hoi Ying Wong
  (Chinese University of Hong Kong) as part of Joint SIAM-BFS Mathematical 
 Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/29/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Emma Hubert (Princeton University)
DTSTART:20211111T180000Z
DTEND:20211111T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/30
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 30/">Large-scale principal-agent problems</a>\nby Emma Hubert (Princeton U
 niversity) as part of Joint SIAM-BFS Mathematical Finance Online Seminar\n
 \nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/30/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Michael Kupper (University of Konstanz)
DTSTART:20211209T180000Z
DTEND:20211209T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/32
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 32/">Markovian transition semigroups under model uncertainty</a>\nby Micha
 el Kupper (University of Konstanz) as part of Joint SIAM-BFS Mathematical 
 Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/32/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Johannes Muhle-Karbe (Imperial College London)
DTSTART:20220127T180000Z
DTEND:20220127T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/33
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 33/">Liquidity Risk and Asset Prices</a>\nby Johannes Muhle-Karbe (Imperia
 l College London) as part of Joint SIAM-BFS Mathematical Finance Online Se
 minar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/33/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Claudio Fontana (University of Padova)
DTSTART:20220324T180000Z
DTEND:20220324T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/35
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 35/">Term structure modeling with overnight rates beyond stochastic contin
 uity</a>\nby Claudio Fontana (University of Padova) as part of Joint SIAM-
 BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/35/
END:VEVENT
BEGIN:VEVENT
SUMMARY:cancelled
DTSTART:20220922T170000Z
DTEND:20220922T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/39
DESCRIPTION:by cancelled as part of Joint SIAM-BFS Mathematical Finance On
 line Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/39/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Hao Ni (UCL)
DTSTART:20221027T170000Z
DTEND:20221027T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/40
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 40/">PCF-GAN: generating sequential data via the characteristic function o
 f measures on the path space</a>\nby Hao Ni (UCL) as part of Joint SIAM-BF
 S Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/40/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Nils Detering (UCSB)
DTSTART:20221124T180000Z
DTEND:20221124T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/41
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 41/">Pricing options on flow forwards by neural networks in Hilbert space<
 /a>\nby Nils Detering (UCSB) as part of Joint SIAM-BFS Mathematical Financ
 e Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/41/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Matteo Burzoni (University of Milan)
DTSTART:20220224T180000Z
DTEND:20220224T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/42
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 42/">A unifying approach to viability and arbitrage</a>\nby Matteo Burzoni
  (University of Milan) as part of Joint SIAM-BFS Mathematical Finance Onli
 ne Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/42/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Lisa Goldberg (University of California\, Berkeley)
DTSTART:20220428T170000Z
DTEND:20220428T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/44
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 44/">James Stein for eigenvectors</a>\nby Lisa Goldberg (University of Cal
 ifornia\, Berkeley) as part of Joint SIAM-BFS Mathematical Finance Online 
 Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/44/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Charles-Albert Lehalle (Abu Dhabi Investment Authority (ADIA))
DTSTART:20220526T170000Z
DTEND:20220526T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/45
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 45/">Mathematics Of Data Curation For Financial Applications</a>\nby Charl
 es-Albert Lehalle (Abu Dhabi Investment Authority (ADIA)) as part of Joint
  SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/45/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Luitgard Veraart (LSE)
DTSTART:20220623T170000Z
DTEND:20220623T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/46
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 46/">Systemic Risk in Markets with Multiple Central Counterparties</a>\nby
  Luitgard Veraart (LSE) as part of Joint SIAM-BFS Mathematical Finance Onl
 ine Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/46/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Antoine Jacquier (Imperial College London)
DTSTART:20230126T180000Z
DTEND:20230126T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/47
DESCRIPTION:by Antoine Jacquier (Imperial College London) as part of Joint
  SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/47/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Dylan Possamaï (ETH Zurich)
DTSTART:20230223T180000Z
DTEND:20230223T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/48
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 48/">Moral hazard for time-inconsistent agents\, BSVIEs and stochastic tar
 gets</a>\nby Dylan Possamaï (ETH Zurich) as part of Joint SIAM-BFS Mathem
 atical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/48/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Stefano de Marco (Ecole Polytechnique)
DTSTART:20230330T170000Z
DTEND:20230330T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/49
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 49/">Fractional forward variance models - volatility surfaces and other fe
 atures</a>\nby Stefano de Marco (Ecole Polytechnique) as part of Joint SIA
 M-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/49/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Kostas Kardaras (LSE)
DTSTART:20230427T170000Z
DTEND:20230427T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/50
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 50/">Portfolio choice under taxation and expected market time constraint</
 a>\nby Kostas Kardaras (LSE) as part of Joint SIAM-BFS Mathematical Financ
 e Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/50/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Anna Aksamit (University of Sydney)
DTSTART:20230525T170000Z
DTEND:20230525T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/51
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 51/">Superhedging duality for multi-action options under model uncertainty
  with information delay</a>\nby Anna Aksamit (University of Sydney) as par
 t of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/51/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Umut Çetin (LSE)
DTSTART:20230622T170000Z
DTEND:20230622T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/52
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 52/">Speeding up the Euler scheme for killed diffusions</a>\nby Umut Çeti
 n (LSE) as part of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nA
 bstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/52/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Josef Teichmann (ETH Zurich)
DTSTART:20230928T170000Z
DTEND:20230928T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/53
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 53/">Robust Optimal Growth from an analytical and learning perspective</a>
 \nby Josef Teichmann (ETH Zurich) as part of Joint SIAM-BFS Mathematical F
 inance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/53/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Igor Cialenco (Illinois Institute of Technology)
DTSTART:20231026T170000Z
DTEND:20231026T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/54
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 54/">SPDEs in finance and their statistical inference</a>\nby Igor Cialenc
 o (Illinois Institute of Technology) as part of Joint SIAM-BFS Mathematica
 l Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/54/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Hao Xing (Boston University)
DTSTART:20231123T180000Z
DTEND:20231123T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/55
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 55/">Why is Cash U-Shaped in Firm Size?</a>\nby Hao Xing (Boston Universit
 y) as part of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstra
 ct: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/55/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Marcel Nutz (Columbia University)
DTSTART:20240125T180000Z
DTEND:20240125T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/56
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 56/">Unwinding Stochastic Order Flow: When to Warehouse Trades</a>\nby Mar
 cel Nutz (Columbia University) as part of Joint SIAM-BFS Mathematical Fina
 nce Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/56/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Carole Bernard (Grenoble Ecole de Management)
DTSTART:20240222T180000Z
DTEND:20240222T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/57
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 57/">Multivariate Portfolio Choice via Quantiles</a>\nby Carole Bernard (G
 renoble Ecole de Management) as part of Joint SIAM-BFS Mathematical Financ
 e Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/57/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Daniel Lacker (Columbia University)
DTSTART:20240321T180000Z
DTEND:20240321T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/58
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 58/">Non-asymptotic perspectives on mean field approximations and stochast
 ic control</a>\nby Daniel Lacker (Columbia University) as part of Joint SI
 AM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/58/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Johannes Ruf (LSE)
DTSTART:20240425T170000Z
DTEND:20240425T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/59
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 59/">The numeraire e-variable and reverse information projection</a>\nby J
 ohannes Ruf (LSE) as part of Joint SIAM-BFS Mathematical Finance Online Se
 minar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/59/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Samuel Cohen (University of Oxford)
DTSTART:20230523T170000Z
DTEND:20230523T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/60
DESCRIPTION:by Samuel Cohen (University of Oxford) as part of Joint SIAM-B
 FS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/60/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Alvaro Cartea (University of Oxford)
DTSTART:20240627T170000Z
DTEND:20240627T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/61
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 61/">Spoofing and Manipulating Order Books with Learning Algorithms</a>\nb
 y Alvaro Cartea (University of Oxford) as part of Joint SIAM-BFS Mathemati
 cal Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/61/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Sara Biagini (LUISS University)
DTSTART:20240926T170000Z
DTEND:20240926T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/62
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 62/">Carbon neutrality and net-zero in compliance markets</a>\nby Sara Bia
 gini (LUISS University) as part of Joint SIAM-BFS Mathematical Finance Onl
 ine Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/62/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Johannes Wiesel (Carnegie Mellon University)
DTSTART:20241024T170000Z
DTEND:20241024T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/63
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 63/">Bounding adapted Wasserstein metrics</a>\nby Johannes Wiesel (Carnegi
 e Mellon University) as part of Joint SIAM-BFS Mathematical Finance Online
  Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/63/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Giorgia Callegaro (University of Padova)
DTSTART:20241128T180000Z
DTEND:20241128T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/64
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 64/">Continuous-time persuasion by filtering</a>\nby Giorgia Callegaro (Un
 iversity of Padova) as part of Joint SIAM-BFS Mathematical Finance Online 
 Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/64/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Samuel Cohen (University of Oxford)
DTSTART:20240523T170000Z
DTEND:20240523T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/65
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 65/">Calibration of Hawkes-like processes for LOBs</a>\nby Samuel Cohen (U
 niversity of Oxford) as part of Joint SIAM-BFS Mathematical Finance Online
  Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/65/
END:VEVENT
BEGIN:VEVENT
SUMMARY:TBA
DTSTART:20240123T180000Z
DTEND:20240123T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/66
DESCRIPTION:by TBA as part of Joint SIAM-BFS Mathematical Finance Online S
 eminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/66/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Scott Robertson (Boston University)
DTSTART:20250123T180000Z
DTEND:20250123T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/67
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 67/">Rational Expectations Equilibrium with Endogenous Information Acquisi
 tion Time</a>\nby Scott Robertson (Boston University) as part of Joint SIA
 M-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/67/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Terry Lyons and Luhao Zhang (University of Oxford and Johns Hopkin
 s University)
DTSTART:20250320T170000Z
DTEND:20250320T183000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/68
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 68/">The Mathematics of Complex Streamed Data AND A Class of Interpretable
  and Decomposable Multi-period Convex Risk Measures</a>\nby Terry Lyons an
 d Luhao Zhang (University of Oxford and Johns Hopkins University) as part 
 of Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/68/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Sara Svaluto-Ferro (University of Verona)
DTSTART:20250410T170000Z
DTEND:20250410T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/69
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 69/">Signature-based models: theory\, calibration\, and expansions</a>\nby
  Sara Svaluto-Ferro (University of Verona) as part of Joint SIAM-BFS Mathe
 matical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/69/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Julio Backhoff (University of Vienna)
DTSTART:20250508T170000Z
DTEND:20250508T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/70
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 70/">Of 'most exciting' games and the specific relative entropy between ma
 rtingales</a>\nby Julio Backhoff (University of Vienna) as part of Joint S
 IAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/70/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Purba Das and Valentin Tissot-Daguette (King’s College London an
 d Bloomberg)
DTSTART:20250612T170000Z
DTEND:20250612T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/71
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 71/">"Invariance of Stochastic integral with respect to the choice of part
 itions" and "Pathwise Superhedging of Asian Claims"</a>\nby Purba Das and 
 Valentin Tissot-Daguette (King’s College London and Bloomberg) as part o
 f Joint SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/71/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Chiara Amorino and Fayçal Drissi (University of Barcelona and Uni
 versity of Oxford)
DTSTART:20250912T170000Z
DTEND:20250912T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/72
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 72/">"Minimax rate for multivariate data under componentwise local differe
 ntial privacy constraints" and "Equilibrium Liquidity Provision in Concent
 rated Liquidity Automated Market Makers"</a>\nby Chiara Amorino and Fayça
 l Drissi (University of Barcelona and University of Oxford) as part of Joi
 nt SIAM-BFS Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/72/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Nicole Bäuerle (Karlsruher Institut für Technologie (KIT))
DTSTART:20251009T170000Z
DTEND:20251009T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/73
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 73/">Competitive portfolio optimization</a>\nby Nicole Bäuerle (Karlsruhe
 r Institut für Technologie (KIT)) as part of Joint SIAM-BFS Mathematical 
 Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/73/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Luciano Campi (University of Milan)
DTSTART:20251113T180000Z
DTEND:20251113T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/74
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 74/">Optimal coarse correlated equilibria in mean field games</a>\nby Luci
 ano Campi (University of Milan) as part of Joint SIAM-BFS Mathematical Fin
 ance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/74/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Erhan Bayraktar (University of Michigan)
DTSTART:20251211T180000Z
DTEND:20251211T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/75
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 75/">A Mean-Field Approach to DeFi Currency Exchanges</a>\nby Erhan Bayrak
 tar (University of Michigan) as part of Joint SIAM-BFS Mathematical Financ
 e Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/75/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Christian Bayer (WIAS Berlin)
DTSTART:20260212T180000Z
DTEND:20260212T190000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/76
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 76/">Global and local regression: a signature approach with applications</
 a>\nby Christian Bayer (WIAS Berlin) as part of Joint SIAM-BFS Mathematica
 l Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/76/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Eduardo Abi Jaber (Ecole Polytechnique)
DTSTART:20260312T170000Z
DTEND:20260312T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/77
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 77/">Path-Signatures: Memory and Stationarity</a>\nby Eduardo Abi Jaber (E
 cole Polytechnique) as part of Joint SIAM-BFS Mathematical Finance Online 
 Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/77/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Yufei Zhang (Imperial College London)
DTSTART:20260409T170000Z
DTEND:20260409T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/78
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 78/">An alpha-potential game framework for dynamic N-player games</a>\nby 
 Yufei Zhang (Imperial College London) as part of Joint SIAM-BFS Mathematic
 al Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/78/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Ruimeng Hu (UCSB)
DTSTART:20260514T170000Z
DTEND:20260514T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/79
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/BFSOneWorld/
 79/">Machine Learning for Stochastic Control and Games: From Foundations t
 o Mean-Field Learning</a>\nby Ruimeng Hu (UCSB) as part of Joint SIAM-BFS 
 Mathematical Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/79/
END:VEVENT
BEGIN:VEVENT
SUMMARY:Sergio Pulido (ENSIIE)
DTSTART:20260611T170000Z
DTEND:20260611T180000Z
DTSTAMP:20260422T225754Z
UID:BFSOneWorld/80
DESCRIPTION:by Sergio Pulido (ENSIIE) as part of Joint SIAM-BFS Mathematic
 al Finance Online Seminar\n\nAbstract: TBA\n
LOCATION:https://researchseminars.org/talk/BFSOneWorld/80/
END:VEVENT
END:VCALENDAR