Stochastic Analysis and Mathematical Finance - A Fruitful Partnership

Videos from BIRS Workshop 16w5134

, Columbia University
- 09:52
A Mean Field Game of Optimal Stopping
Watch video | Download video: 201605230915-Nutz.mp4 (159M)
, University of Oxford
- 10:28
Robust FTAP and superhedging in discrete time
Watch video | Download video: 201605231001-Obloj.mp4 (270M)
, London School of Economics
- 12:01
Model-independent pricing with additional information - a Skorokhod embedding approach
Watch video | Download video: 201605231134-Acciaio.mp4 (115M)
, École Polytechnique
- 12:28
Model-independent bounds for Asian options - a dynamic programming approach
Watch video | Download video: 201605231203-Kallblad.mp4 (113M)
, University of Washington
- 15:58
Exponentially concave functions and a new information geometry
Watch video | Download video: 201605231515-Pal.mp4 (189M)
, UCL
- 17:34
Some remarks on functionally generated portfolios
Watch video | Download video: 201605231711-Ruf.mp4 (112M)
, Carnegie Mellon University
- 09:58
Equilibrium models with small frictions
Watch video | Download video: 201605240914-Muhle-Karbe.mp4 (183M)
, University of Kiel
- 10:26
On portfolio optimization under small fixed transaction costs
Watch video | Download video: 201605241001-Kallsen.mp4 (107M)
, Carnegie Mellon University
- 11:30
Endogenous mortgage current coupons
Watch video | Download video: 201605241100-Robertson.mp4 (135M)
, Imperial College London
- 13:19
Functional calculus and pathwise integration for paths of finite quadratic variation
Watch video | Download video: 201605241230-Cont.mp4 (208M)
, Ecole Polytechnique
- 16:05
Rough Volatility - from microstructural foundations to smile
Watch video | Download video: 201605241518-Rosenbaum.mp4 (209M)
, Weierstrass Institute Berlin
- 17:04
Pricing under rough volatility
Watch video | Download video: 201605241631-Bayer.mp4 (144M)
, Brown University
- 15:54
Sensitivity analysis for reflected diffusions in convex polyhedral domains
Watch video | Download video: 201605251507-Ramanan.mp4 (213M)
, Université Paris Dauphine
- 16:22
A tale of a Principal and many Agents
Watch video | Download video: 201605251552-Possamai.mp4 (311M)
, ENSIIE ÉVRY
- 16:46
Stability and analytic expansions of local solutions of systems of quadratic BSDEs with applications to a price impact model
Watch video | Download video: 201605251614-Pulido.mp4 (254M)
, London School of Economics
- 17:32
Quadratic BSDE systems and applications
Watch video | Download video: 201605251700-Xing.mp4 (124M)
, London School of Economics
- 18:33
\( N \)-player games and mean-field games with absorption
Watch video | Download video: 201605251803-Campi.mp4 (141M)
, Ecole Polytechnique
- 10:02
Branching diffusion representation of semilinear PDEs
Watch video | Download video: 201605260915-Touzi.mp4 (235M)
, ETH Zurich
- 10:35
Affine processes and non-linear (partial) differential equations
Watch video | Download video: 201605261000-Teichman.mp4 (157M)
, London School of Economics
- 11:36
Linear inverse problems for diffusions
Watch video | Download video: 201605261100-Cetin.mp4 (150M)
, Université Paris Diderot - Paris 7
- 12:05
Asymptotic optimal tracking: lower bounds and feedback strategies
Watch video | Download video: 201605261137-Tankov.mp4 (126M)
, Université Paris-Diderot (Paris VII)
- 12:36
General dynamic term structures under default risk
Watch video | Download video: 201605261206-Fontana.mp4 (125M)
, Carnegie Mellon University
- 15:57
Radner equilibrium in incomplete Lévy models
Watch video | Download video: 201605261530-Larsen.mp4 (145M)
, University Paris-Dauphine
- 17:30
A Doob-Meyer-Mertens decomposition for BSDEs, and general estimates
Watch video | Download video: 201605261705-Bouchard.mp4 (116M)