Bachelier Finance Society One World seminar series

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

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 time			Speaker	Title
Thu	Apr 25	17:00	Johannes Ruf	The numeraire e-variable and reverse information projection
Thu	May 23	17:00	Samuel Cohen	TBA
Thu	Jun 27	17:00	Alvaro Cartea	TBA
Thu	Sep 26	17:00	TBA	TBA
Thu	Oct 24	17:00	TBA	TBA
Thu	Nov 28	18:00	TBA	TBA

Embed this schedule

Your time			Speaker	Title
Thu	Mar 21	18:00	Daniel Lacker	Non-asymptotic perspectives on mean field approximations and stochastic control
Thu	Feb 22	18:00	Carole Bernard	Multivariate Portfolio Choice via Quantiles
Thu	Jan 25	18:00	Marcel Nutz	Unwinding Stochastic Order Flow: When to Warehouse Trades
Thu	Nov 23	18:00	Hao Xing	Why is Cash U-Shaped in Firm Size?
Thu	Oct 26	17:00	Igor Cialenco	SPDEs in finance and their statistical inference
Thu	Sep 28	17:00	Josef Teichmann	Robust Optimal Growth from an analytical and learning perspective
Thu	Jun 22	17:00	Umut Çetin	Speeding up the Euler scheme for killed diffusions
Thu	May 25	17:00	Anna Aksamit	Superhedging duality for multi-action options under model uncertainty with information delay
Tue	May 23	17:00	Samuel Cohen	TBA
Thu	Apr 27	17:00	Kostas Kardaras	Portfolio choice under taxation and expected market time constraint
Thu	Mar 30	17:00	Stefano de Marco	Fractional forward variance models - volatility surfaces and other features
Thu	Feb 23	18:00	Dylan Possamaï	Moral hazard for time-inconsistent agents, BSVIEs and stochastic targets
Thu	Jan 26	18:00	Antoine Jacquier	TBA
Thu	Nov 24	18:00	Nils Detering	Pricing options on flow forwards by neural networks in Hilbert space
Thu	Oct 27	17:00	Hao Ni	PCF-GAN: generating sequential data via the characteristic function of measures on the path space
Thu	Sep 22	17:00	cancelled	TBA
Thu	Jun 23	17:00	Luitgard Veraart	Systemic Risk in Markets with Multiple Central Counterparties
Thu	May 26	17:00	Charles-Albert Lehalle	Mathematics Of Data Curation For Financial Applications
Thu	Apr 28	17:00	Lisa Goldberg	James Stein for eigenvectors
Thu	Mar 24	18:00	Claudio Fontana	Term structure modeling with overnight rates beyond stochastic continuity
Thu	Feb 24	18:00	Matteo Burzoni	A unifying approach to viability and arbitrage
Thu	Jan 27	18:00	Johannes Muhle-Karbe	Liquidity Risk and Asset Prices
Thu	Dec 09	18:00	Michael Kupper	Markovian transition semigroups under model uncertainty
Thu	Nov 11	18:00	Emma Hubert	Large-scale principal-agent problems
Thu	Oct 28	17:00	Hoi Ying Wong	Primal return ambiguity and dual risk ambiguity
Thu	Sep 30	17:00	Marco Frittelli	Entropy Martingale Optimal Transport and Nonlinear Pricing-Hedging Duality
Thu	Jun 17	17:00	Jianfeng Zhang	Mean Field Game Master Equations with Monotonicity and Anti-monotonicity Conditions in Displacement Sense
Thu	May 20	17:00	Peter Bank	The value of not being predictable
Thu	May 06	17:00	Matheus Grasselli	God does not play DICE with the climate
Thu	Apr 22	17:00	Darrell Duffie	Fragmenting Financial Markets
Thu	Apr 08	17:00	Tomoyuki Ichiba	Relative arbitrage among investors
Thu	Mar 25	18:00	Bruno Bouchard	Ito’s formula for concave or C1 path-dependent functions and applications in mathematical finance
Thu	Mar 11	18:00	Tom Hurd	COVID-19: Modelling Another Global Systemic Phenomenon
Thu	Feb 25	11:00	Shige Peng	Improving Value-at-Risk prediction under model uncertainty
Thu	Feb 11	18:00	Alexander Schied	Robustness in risk measurement: the impact of incentives
Thu	Jan 28	18:00	Yuri Saporito	PDGM: a Neural Network Approach to Solve Path-Dependent Partial Differential Equations
Thu	Jan 14	18:00	Agnes Sulem	Optional pricing in a non-linear incomplete market model with default: the European and American cases
Thu	Dec 03	18:00	Jakša Cvitanić	Optimal Fund Menus
Thu	Nov 19	18:00	Xunyu Zhou	Entropy Regularization, Boltzmann Exploration, and Langevin Diffusions
Thu	Nov 05	18:00	Martin Larsson	Finance and Statistics: Trading Analogies for Sequential Learning
Thu	Oct 22	17:00	Elisa Alos	On the difference between volatility swaps and the ATM implied volatility
Thu	Oct 08	17:00	Damir Filipović	Machine Learning With Kernels for Portfolio Valuation and Risk Management
Thu	Sep 24	17:00	Ludovic Tangpi	Backward propagation of chaos and large population games asymptotics
Thu	Sep 10	17:00	Christa Cuchiero	Universality of affine and polynomial processes
Thu	Jul 16	17:00	Julien Guyon	The Joint S&P 500/VIX Smile Calibration Puzzle Solved
Thu	Jul 02	17:00	Xin Guo	Understanding GANs through MFGs and SDEs approximations
Thu	Jun 18	17:00	Peter Tankov	Environmental Impact Investing: how green-minded investors spur companies to reduce their emissions
Thu	Jun 04	17:00	Nizar Touzi	Is there a Golden Parachute in Sannikov’s principal-agent problem?
Thu	May 21	17:00	Jan Obloj	Data driven robustness and uncertainty sensitivity analysis
Thu	May 07	17:00	Paul Embrechts	Operational Risk revisited: from Basel to the coronavirus
Thu	Apr 23	17:00	Mathieu Rosenbaum	Super-Heston rough volatility, Zumbach effect and the Guyon’s conjecture

Embed this schedule

Export series to