STAR seminars

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machine learning financial economics functional analysis optimization and control probability

University of Oslo

Audience: Researchers in the topic
Seminar series time: Friday 09:00-10:00 in your time zone, UTC
Organizer: Giulia Di Nunno*
*contact for this listing

The seminars are held both in presence and on Zoom. Details and registration instructions are given at the seminar webpage.

Upcoming talks
Past talks
Your timeSpeakerTitle
FriApr 2809:00Andreas PeterssonTBA
FriApr 2109:00Dennis SchroersTBA
FriApr 2108:00Emanuela Rosazza-GianinTBA
FriMar 3111:00Christa CuchieroSignature methods in finance IV
FriMar 3108:00Christa CuchieroSignature methods in finance III
ThuMar 3011:00Christa CuchieroSignature methods in finance II
WedMar 2911:00Christa CuchieroSignature methods in finance I
FriMar 1709:15Frank RiedelEfficient Allocations under Ambiguous Model Uncertainty
WedMar 1512:15Frank RiedelApproaches to Knightian Uncertainty in Finance and Economics
WedDec 1410:00Saul JackaCANCELLED - Optimal Stopping and Technical Analysis
TueNov 2910:00Tomasz KlimsiakNon-semimartingale solutions to reflected BSDEs with applications to Dynkin games
FriOct 2809:00Knut SølnaAsymptotics with Rough and Multiscale Stochastic Volatility
FriSep 2309:00Péter VékásAI in Longevity Risk Management: Improved Long-Term Projections by Machine Learning
FriJun 1708:00Markus RiedleMinicourse: Introduction to Cylindrical Lévy processes Part III
TueJun 1409:00Markus RiedleMinicourse: Introduction to Cylindrical Lévy processes Part II
FriJun 0308:00Markus RiedleMinicourse: Introduction to Cylindrical Lévy processes Part I
FriMay 2009:00Kjetil RøyslandTBA
FriMay 2008:00Olena TymoshenkoTBA
FriMay 0609:00Eduardo Abi JaberQuadratic Gaussian models: analytic expressions for pricing and portfolio allocation
WedApr 2710:15José GarridoBridging epidemiological and actuarial models: the case of COVID-19
FriApr 0109:00Erlend GrongPath space on sub-Riemannian manifolds
FriMar 1810:00Emanuela Rosazza GianinGeneralized PELVE and applications to risk measures
FriMar 0410:00Nils DeteringWhen do you Stop Supporting your Bankrupt Subsidiary
FriFeb 1810:00Colin RamsayCANCELLED - Doubly Enhanced Medicaid Partnership Annuities (DEMPANs): A New Tool for Providing Long Term Care to Retired U.S. Seniors in the Medicaid Penumbra
FriFeb 0410:00Yaozhong HuParameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations
FriJan 2110:00Gabriel LordGBM based exponential integrators
FriDec 1010:00Sven KarbachPositive multivariate CARMA processe
FriDec 1009:00Carlo SgarraOptimal Reinsurance Strategies in a Partially Observable Contagion Model
FriNov 2607:002-days workshopRough path techniques in stochastic analysis and mathematical probability
ThuNov 2507:002-days workshopRough path techniques in stochastic analysis and mathematical probability
FriNov 1208:001-day workshopRecent Developments in Stochastics 2021
TueNov 0912:15Julian TugautTBA
FriNov 0510:00Michèle VanmaeleMortality/Longevity Risk-Minimization with or without Securitization
FriNov 0509:00Asma KhedherAn infinite-dimensional affine stochastic volatility model
FriOct 1509:00Luca GalinbertiNeural Networks in Fréchet spaces
FriOct 0109:00Mathieu RosenbaumA rough volatility tour from market microstructure to VIX options via Heston and Zumbach.
FriSep 1709:00Stefano De MarcoOn the implied and local volatility surfaces generated by rough volatility
FriSep 0309:00Blanka HovarthData-Driven Market Simulators some simple applicatons of signature kernel methods in mathematical finance
FriAug 2009:00Ralf KornLeast-Squares MC for Proxy Modeling in Life Insurance: Linear Regression and Neural Networks
FriJun 1109:00Andrey DorogovtsevOccupation and evolutionary measure-valued processes
FriMay 2109:00Gabriel LordAdaptive time-stepping for S(P)DEs​
FriMay 0709:00Dan CrisanWell-posedness Properties for a Stochastic Rotating Shallow Water Model
FriApr 3009:00Lyudmila GrigoryevaDiscrete-time signatures and randomness in reservoir computing
FriApr 1609:00Arne LøkkaForeign exchange equilibrium, international trade and trading costs
FriMar 1910:00Alexander LobbePathwise approximations for the solution of the non-linear filtering problem
FriMar 0510:00Annika LangThe stochastic wave equation on the sphere: properties and simulation
FriFeb 1910:00Nacira AgramDeep learning and stochastic mean-field control for a neural network model
FriFeb 1210:00Emil R. FramnesEquity trading at NBIM
FriJan 2910:00Josep VivesDecomposition and high order approximation of option prices. Some applications to Heston, Bates, CEV and rough volatility models
FriJan 1510:00Arne Bang HusebyOptimal reinsurance contracts in the multivariate case
FriDec 1810:00Federica MasieroRegularizing properties and HJB equations for stochastic problems with delay
FriDec 0410:00David Ruiz BanosLife and pension insurance policies with random cash flows subject to interest rate regimes
FriNov 2010:00Tusheng ZhangReflected Brownian motion with measure-valued drifts
FriNov 1310:00Rama ContExcursion risk
FriNov 0610:00Yaozhong HuFunctional central limit theorems for stick-breaking priors
FriOct 2309:00Samy TindelA coupling between Sinai’s random walk and Brox diffusion
FriOct 1609:00Marta Sanz-SoléStochastic wave equations with super-linear coefficients
FriOct 0909:00Leonardo Rydin GorjãoApplications and developments of stochastic processes in power-grid frequency measurements: A data-driven study.
FriOct 0209:00Jasmina DjordjevicPerturbation effect on Reflected Backward Stochastic Differential Equations
FriSep 2509:00Emel SavkuOptimal investment strategies in a Markov Regime-Switching Market
FriSep 1809:00Andreas PeterssonFinite element approximation of Lyapunov equations for the computation of quadratic functionals of SPDEs
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