Talks in Financial and Insurance Mathematics

This is the regular weekly research seminar on Insurance Mathematics and Stochastic Finance.

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Date / Time

Speaker

Title

Location

1 October 2026
17:15-18:15

Prof. Dr. Yan Dolinsky
Hebrew University of Jerusalem

Details

Title	Exponential-Utility Maximization in Gaussian Markets
Speaker, Affiliation	Prof. Dr. Yan Dolinsky, Hebrew University of Jerusalem
Date, Time	1 October 2026, 17:15-18:15
Location	HG G 43
Abstract	We will discuss exponential-utility maximization in discrete-time Gaussian markets. The Gaussian structure reduces the problem to a matrix optimization problem and gives an explicit characterization of the optimal strategy and value. We will illustrate the approach with delayed trading and AR(1) models, and then focus on fractional Brownian motion. In the high-frequency limit, spectral methods lead to explicit asymptotics for the optimal utility and a scaling limit for the optimal strategy.

Exponential-Utility Maximization in Gaussian Marketsread_more

8 October 2026
17:15-18:15

Dr. Jonghwa Park
ETH Zürich

Details

Title	Compactness criterion for diffusion processes under the adapted weak topology
Speaker, Affiliation	Dr. Jonghwa Park, ETH Zürich
Date, Time	8 October 2026, 17:15-18:15
Location	HG G 43
Abstract	A fundamental question in dynamic optimization problems is to identify the topology under which the associated value functions are continuous. Such stability ensures that optimal decisions remain robust under small perturbations of models. In this talk, we discuss a continuous-time extension of the adapted weak topology, under which a broad class of such optimization problems is stable. While the adapted weak topology has proven useful in applications, it is practically difficult to verify convergence in this topology. In this talk, we aim to address the fundamental, yet challenging question: When does a sequence converge in the adapted weak topology and what are its limit points? We provide a first answer to this question by establishing an Arzela-Ascoli-type characterization of relatively compact families of continuous-time Markovian laws in the adapted weak topology. As a primary application, we establish relative compactness for families of well-posed SDEs, for example uniformly elliptic diffusions, and stability under convergence of the coefficients, allowing in particular for discontinuous drift coefficients and non-equicontinuous diffusion matrices. This talk is based on joint work with Martin Larsson and Johannes Wiesel.

Compactness criterion for diffusion processes under the adapted weak topologyread_more

15 October 2026
17:15-18:15

Prof. Dr. Benjamin Jourdain
École Nationale des Ponts et Chaussées

Details

Title	Title T.B.A.
Speaker, Affiliation	Prof. Dr. Benjamin Jourdain, École Nationale des Ponts et Chaussées
Date, Time	15 October 2026, 17:15-18:15
Location	HG G 43