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 10:00-11:00 in your time zone, UTC
Organizer: Giulia Di Nunno*
*contact for this listing

The seminars are held on Zoom. Registration is required at the page, visit the seminar webpage.

Upcoming talks
Past talks
Your timeSpeakerTitle
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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