Weekly Bulletin
The FIM provides a Newsletter called FIM Weekly Bulletin, which is a selection of the mathematics seminars and lectures taking place at ETH Zurich and at the University of Zurich. It is sent by e-mail every Tuesday during the semester, or can be accessed here on this website at any time.
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FIM Weekly Bulletin
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| Monday, 12 June | |||
|---|---|---|---|
| Time | Speaker | Title | Location |
| 10:00 - 11:00 |
Christoph Frei University of Alberta |
Abstract
Principal Trading Arrangements: Optimality under Temporary and Permanent Price Impact |
HG G 3 |
| 11:00 - 12:00 |
Peter Tankov ENSAE ParisTech |
Abstract
Decarbonization of large financial markets |
HG G 3 |
| 14:00 - 15:00 |
Freddy Delbaen ETH Zürich |
Abstract
Replacing uncorrelated variables with independent ones |
HG G 3 |
| 15:00 - 16:00 |
Sigrid Källblad KTH |
Abstract
Adapted Wasserstein distance between the laws of SDEs |
HG G 3 |
| 16:30 - 17:30 |
Walter Schachermayer Universität Wien |
Abstract
A regularized Kellerer Theorem in arbitrary dimension |
HG G 3 |
| Tuesday, 13 June | |||
|---|---|---|---|
| Time | Speaker | Title | Location |
| 09:00 - 10:00 |
Kostas Kardaras London School of Economics |
Abstract
Portfolio choice under taxation and expected market time constraint |
HG G 3 |
| 10:30 - 11:30 |
Giulia Di Nunno University of Oslo |
Abstract
Sandwiched Volterra volatility models and option pricing |
HG G 3 |
| 11:30 - 12:30 |
Dylan Possamaï ETH Zürich |
Abstract
Moral hazard for time-inconsistent agents, BSVIEs and stochastic targets |
HG G 3 |
| 14:00 - 15:00 |
Alexander Schied University of Waterloo |
Abstract
Estimating the roughness of stochastic volatility from discrete observations of the quadratic variation |
HG G 3 |
| 15:00 - 16:00 |
Marc Hoffmann Université Paris-Dauphine (Paris 9) |
Abstract
A statistical theory for rough volatility inference |
HG G 3 |
| 16:30 - 17:30 |
Mathias Beiglböck Universität Wien |
Abstract
Adapted Wasserstein distance and stability in finance |
HG G 3 |
| Wednesday, 14 June | |||
|---|---|---|---|
| Time | Speaker | Title | Location |
| 09:00 - 10:00 |
Yuri Kabanov Université de Franche-Compté |
Abstract
Optimal control problems in decentralized finance |
HG G 3 |
| 10:30 - 11:30 |
Eckhard Platen University of Technology, Sydney |
Abstract
Principles for the Long-term Modelling of Continuous Markets |
HG G 3 |
| 11:30 - 12:30 |
Claudio Fontana Università degli Studi di Padova |
Abstract
Term structure modelling with overnight rates beyond stochastic continuity |
HG G 3 |
| 13:30 - 15:00 |
Dr. Hannah Larson Harvard |
Abstract
Brill--Noether theory studies the maps of general curves to projectivespaces. The embedding theorem of Eisenbud and Harris states that a general degree d map C to P^r is an embedding when r is at least 3. Hurwitz--Brill--Noether theory starts with a curve C already equipped with a fixed map C to P^1 (which often forces C to be special) and then studies the maps of C to other projective spaces. In this setting, the appropriate analogue of the invariants d and r is a finer invariant called the splitting type. Our embedding theorem determines the splitting types \vec{e} such that a general map of splitting type \vec{e} is an embedding. This is joint work with Kaelin Cook--Powel, Dave Jensen, Eric Larson, and Isabel Vogt.
Algebraic Geometry and Moduli SeminarThe embedding theorem in Hurwitz-Brill-Noether theoryread_more |
HG G 43 |
| Thursday, 15 June | |||
|---|---|---|---|
| Time | Speaker | Title | Location |
| 09:00 - 10:00 |
Francesca Biagini Ludwig-Maximilians-Universität München |
Abstract
Deep learning for superhedging prices’ approximation and asset price bubbles’ detection |
HG G 3 |
| 10:30 - 11:30 |
Nicole Bäuerle Karlsruher Institut für Technologie |
Abstract
Optimal investment in ambiguous financial markets with learning |
HG G 3 |
| 11:30 - 12:30 |
Huyên Pham Université Paris-Diderot (Paris 7) |
Abstract
Generative modeling for time series via Schrödinger bridge |
HG G 3 |
| 14:00 - 15:00 |
Masaaki Fukasawa Osaka University |
Abstract
Model-free Hedging of Impermanent Loss in Geometric Mean Market Makers |
HG G 3 |
| 15:00 - 16:00 |
Dirk Becherer Humboldt-Universität zu Berlin |
Abstract
On Feedback Effects in Hedging to Optimal Liquidation and Back |
HG G 3 |
| 15:15 - 16:15 |
Sylvain Robert EPFL, Lausanne |
HG G 19.1 |
|
| 16:30 - 17:30 |
Xin Guo University of California, Berkeley |
Abstract
MF-OMO: An Optimization Formulation of Mean-Field Games |
HG G 3 |
| Friday, 16 June | |||
|---|---|---|---|
| Time | Speaker | Title | Location |
| 09:00 - 10:00 |
Thorsten Rheinländer Technische Universität Wien |
Abstract
On a stochastic heat equation with multiplicative noise and an explicit local time solution |
HG G 3 |
| 10:30 - 11:30 |
Pierre Bouchard Université Paris-Dauphine (Paris 9) |
Abstract
Some regularity results for a class of PPDE and applications |
HG G 3 |
| 11:30 - 12:30 |
Martin Herdegen University of Warwick |
Abstract
Optimal Investment and Consumption with Epstein-Zin Stochastic Differential Utility and Proportional Transaction Costs |
HG G 3 |
| 14:00 - 15:00 |
Patrick Cheridito ETH Zürich |
Abstract
Variable annuities with high water mark withdrawal benefit |
HG G 3 |
| 15:00 - 16:00 |
Hans Föllmer Humboldt-Universität zu Berlin |
Abstract
Optimal Couplings, Entropy bounds, and Risk Measures on Wiener Space |
HG G 3 |