Search past seminars
E.g., 19-Jan-2018
E.g., 19-Jan-2018

Seminars

F-divergence minimal martingale measures and optimal portfolios for exponential Levy models with a change-point
Tuesday, May 3, 2011 - 14:15
Lioudmila Vostrikova (Angers)
OMI Seminar Series
The U.S. left behind: The rise of IPO activity around the world
Tuesday, May 17, 2011 - 14:15
Andrew Karolyi (Cornell University)
OMI Seminar Series
A BSDE Approach to a Risk- Based Optimal Investment of an Insurer
Wednesday, May 18, 2011 - 12:30
Robert Elliott (University of Alberta)
OMI Seminar Series
A BSDE Approach to a Risk- Based Optimal Investment of an Insurer
Wednesday, May 18, 2011 - 12:30
Robert Elliott (University of Alberta)
OMI Seminar Series
Options on Leveraged ETF's
Monday, May 23, 2011 - 17:00
Marco Avellaneda (Courant Institute, NYU)
OMI Seminar Series
Scale-Invariant Asset Pricing Theory and Ambiguity Aversion
Tuesday, May 24, 2011 - 14:15
Costis Skiadas (Kellogg-Northwestern)
OMI Seminar Series
Explicit construction of a dynamic Bessel bridge of dimension 3
Wednesday, May 25, 2011 - 12:45
Umut Cetin (LSE)
OMI Seminar Series
Optimal Option Portfolio Strategies
Tuesday, May 31, 2011 - 12:30
Pedro Santa-Clara (Universidade Nova de Lisboa)
OMI Seminar Series
BSDE with unbounded terminal value, uniqueness and existence of solutions
Tuesday, June 7, 2011 - 14:15
Fred Delbaen (ETH)
OMI Seminar Series
Are Unions Pro-Labor?
Tuesday, June 14, 2011 - 17:00
Joshua Coval (Harvard)
OMI Seminar Series
J Measure-valued branching processes and a nonlinear Dritchlet problem
Monday, October 10, 2011 - 14:15
Lucian Beznea (Simion Stoilow Institute of Mathematics of th...
Stochastic Analysis Seminar Series
Vacant set of random walk on (random) graphs
Monday, October 10, 2011 - 15:45
Jiri Cerny (ETH, Zurich)
Stochastic Analysis Seminar Series
The vacant set is the set of vertices not visited by a rando...
Modelling electricity markets: spots, futures and risk premiums
Tuesday, October 11, 2011 - 14:15
Claudia Klüppelberg (Technische Universität München)
OMI Seminar Series
Large deviations for non-crossing partitions
Monday, October 17, 2011 - 14:15
Janosch Ortmann (University of Warwick)
Stochastic Analysis Seminar Series
We establish a large deviations principle for the block size...
Discrete Ricci curvature with applications
Monday, October 17, 2011 - 15:45
Yann Ollivier (Paris Sud Orsay Universite)
Stochastic Analysis Seminar Series
We define a notion of discrete Ricci curvature for a metric ...
Hard Times
Tuesday, October 18, 2011 - 12:30
Christopher Polk (London School of Economics)
OMI Seminar Series
Homogenization and enhancement of the g-equation in random environments
Monday, October 24, 2011 - 14:15
Takis Souganidis (University of Chicago)
Stochastic Analysis Seminar Series
The continuous limit of large random planar maps
Monday, October 24, 2011 - 15:45
Jean-Francois Le Gall (Universitat of Paris sud and Institut...
Stochastic Analysis Seminar Series
Planar maps are graphs embedded in the plane, considered up ...
Political uncertainty and risk premia
Tuesday, October 25, 2011 - 12:30
Lubos Pastor (University of Chicago)
OMI Seminar Series
Martin boundary with a large deviation technique for partially homogeneous random walks
Monday, October 31, 2011 - 14:15
Irina Ignatiouk (Universite Cergy)
Stochastic Analysis Seminar Series
In the recent series of papers Kleban, Simmons, and Ziff gav...
Particle Methods for On-Line Parameter Estimation in Non-Linear Non-Gaussian State-space Models
Tuesday, November 1, 2011 - 14:15
Arnaud Doucet (Oxford-Man Institute)
OMI Seminar Series
Nonlinear non-Gaussian state-space models are ubiquitous in ...
Brownian measures on Jordan curves
Monday, November 7, 2011 - 14:15
Anthon Thalmaier (University of Luxembourgh)
Stochastic Analysis Seminar Series
We describe a construction of the Brownian measure on Jordan...
Near-critical survival probability of branching Brownian motion with an absorbing barrier
Monday, November 7, 2011 - 15:45
Simon Harris (University of Bath)
Stochastic Analysis Seminar Series
We will consider a branching Brownian motion where particles...
Functional Ito calculus and stochastic integral representation of martingales
Tuesday, November 8, 2011 - 14:15
Rama Cont (CNRS & Columbia University)
OMI Seminar Series
We develop a non-anticipative calculus for functionals of a ...
The partial sum process of orthogonal expansion as geometric rough processes with Fourier series as an example
Monday, November 14, 2011 - 14:15
Danyu Yang (University of Oxford)
Stochastic Analysis Seminar Series
We treat the first n terms of general orthogonal series evo...
One dimensional forest-fire models
Monday, November 14, 2011 - 14:15
Nicholas Fournier (Université Paris Est)
Stochastic Analysis Seminar Series
We consider the forest fire process on Z: on each site, seed...
Hungry misers and happy bankrupts
Tuesday, November 15, 2011 - 14:15
Chris Rogers (University of Cambridge)
OMI Seminar Series
The Market Selection Hypothesis is a principle which (inform...
Stochastic modelling of reaction-diffusion processes in biology
Monday, November 21, 2011 - 14:15
Radek Erban (University of Oxford)
Stochastic Analysis Seminar Series
Several stochastic simulation algorithms (SSAs) have been re...
Executive stock options: portfolio effects
Tuesday, November 22, 2011 - 14:15
Vicky Henderson (Oxford-Man Institute)
OMI Seminar Series
Executives compensated with stock options generally receive ...
Metastability of supercritical zero range processes on a finite set
Monday, November 28, 2011 - 14:15
Claudio Landim (Université Paris Est)
Stochastic Analysis Seminar Series
We present some recent results on the metastability of conti...
Constructive quantization: approximation by empirical measures
Monday, November 28, 2011 - 15:45
Steffen Dereich (Phillipps-Universität Marburg)
Stochastic Analysis Seminar Series
The notion quantization originates from information theory, ...
Systemic Sovereign Credit Risk: Lessons from the US and Europe
Tuesday, November 29, 2011 - 12:30
Francis Longstaff (UCLA)
OMI Seminar Series
We study the nature of systemic sovereign credit risk using ...
Portfolio Choice with Illiquid Assets
Tuesday, December 6, 2011 - 10:45
Mark Westerfield (USC)
We investigate how the inability to continuously trade an as...
Ambit Stochastics with Applications to Mathematical Finance
Monday, January 16, 2012 - 14:15
Almut Veraart (Imperial College, London)
Stochastic Analysis Seminar Series
This talk gives an introduction to the field of Ambit Stocha...
Pertubative method for quadratic reflected backward stochastic differential equations
Monday, January 16, 2012 - 15:45
Arnaud Lionnet (University of Oxford)
Stochastic Analysis Seminar Series
In this talk, after presenting backward stochastic different...
Foreign currency options: deltas, market conventions and volatility smiles
Monday, January 16, 2012 - 18:00
Iain Clark (Unicredit)
Practitioner Lecture Series
Foreign currency as an asset class is noted by the presence ...
Credit market architecture and booms and busts in the US economy
Tuesday, January 17, 2012 - 14:15
John Muellbauer (University of Oxford and CEPR)
OMI Seminar Series
The main objectives of this paper, co-authored with John Duc...
Monte Carlo Portfolio Optimization
Friday, January 20, 2012 - 14:15
William Shaw
OMI Seminar Series
with Nomura
We develop the idea of using Monte Carlo sampling of random ...
Metastability in the dilute Ising model
Monday, January 23, 2012 - 14:15
Ben Graham (University of Warwick)
Stochastic Analysis Seminar Series
Consider Glauber dynamic for the Ising model on the hypercub...
Generalised small-noise expansion for projected diffusions and applications
Monday, January 23, 2012 - 15:45
Antoine Jacquier (Imperial College, London)
Stochastic Analysis Seminar Series
Given a diffusion in Rn, we prove a small-noise expansion fo...
Structured products 101…good investments and toxic waste
Monday, January 23, 2012 - 18:00
Richard Bateson (AHL, Man Group PLC)
Practitioner Lecture Series
The products investment banks have marketed to investors hav...
Asset pricing with heterogeneous investors and portfolio constraints
Tuesday, January 24, 2012 - 12:30
Georgy Chabakauri (LSE)
OMI Seminar Series
We evaluate the impact of portfolio constraints on financial...
How fractal is the sum of two random fractals?
Monday, January 30, 2012 - 14:15
Michel Dekking (Delft University of Technology)
Stochastic Analysis Seminar Series
Let C and C’  be two Cantor sets, with Hausdorff dimensio...
Universality in iterative algorithms and polytope phase transitions
Monday, January 30, 2012 - 15:45
Marc Lelarge (ENS)
Stochastic Analysis Seminar Series
We consider a class of nonlinear mappings $\F_{A,N}$ in $\ma...
The Impact of Government Interventions on CDS and Equity Markets
Monday, January 30, 2012 - 17:00
Zoe Tsesmelidakis & Frederic Schweikhard (MIT)
OMI Seminar Series
We investigate the impact of government guarantees on the pr...
Portfolio selection: An extreme value approach
Tuesday, January 31, 2012 - 14:15
Francis J. DiTraglia (University of Cambridge)
OMI Seminar Series
We show that lower tail dependence (chi), a measure of the p...
Spectral properties of a class of non-local operators via a stochastic representation
Monday, February 6, 2012 - 14:15
Jozsef Lorinczi (Loughborough University)
Stochastic Analysis Seminar Series
Fractional Schrödinger and jump-diffusion operators provide...
Lambda coalescents and their spatial extensions
Monday, February 6, 2012 - 15:45
Nicholas Freeman (University of Oxford)
Stochastic Analysis Seminar Series
I will discuss a natural extension of the Lambda coalescent ...
Central counterparty risk
Monday, February 6, 2012 - 18:00
Matthias Arnsdorf (JP Morgan)
Practitioner Lecture Series
A clearing member of a Central Counterparty (CCP) is exposed...
Bootstrapping high frequency data under market microstructure noise
Tuesday, February 7, 2012 - 14:15
Ulrich Hounyo (University of Montreal)
OMI Seminar Series
In this paper, we provide a bootstrap method for inference o...
Bubbles and lessons for risk management
Wednesday, February 8, 2012 - 16:30
Michael Jansen (MD, Morgan Stanley)
Practitioner Lecture Series
We do a detailed examination of an example trade from the 20...
Simple Variance Swaps
Thursday, February 9, 2012 - 12:30
Ian Martin (Stanford)
OMI Seminar Series
The events of 2008-9 disrupted volatility derivatives market...
On diffusions interacting through their ranks
Monday, February 13, 2012 - 14:15
Mykhaylo Shkolnikov (Stanford University)
Stochastic Analysis Seminar Series
We will discuss systems of diffusion processes on the real l...
Universality of the global fluctuations for the eigenvectors of Wigner random matrices
Monday, February 13, 2012 - 15:45
Florent Benaych-Georges (Pierre and Marie Curie University)
Stochastic Analysis Seminar Series
Many of the asymptotic spectral characteristics of a symmetr...
Heavy-tailedness and dependence: Implications for economic decisions and financial and insurance markets
Tuesday, February 14, 2012 - 14:15
Rustam Ibragimov (Harvard)
OMI Seminar Series
The talk will discuss the implications of risk distributiona...
On-diagonal oscillation of the heat kernels on p.c.f. self-similar fractals
Monday, February 20, 2012 - 14:15
Naotaka Kajino (Bielefeld University)
Stochastic Analysis Seminar Series
It is a general belief that the heat kernels on fractals sho...
A new approximation algorithm to solve the filtering problem combining Cubature and TBBA
Monday, February 20, 2012 - 15:45
Salvador Ortiz-Latorre (Imperial College, London)
Stochastic Analysis Seminar Series
In this talk we will introduce a new particle approximation ...
Understanding the tradeoffs involved in accelerated computing
Monday, February 20, 2012 - 18:00
John Ashley (Nvidia)
Practitioner Lecture Series
We will discuss the major Compute architectures of interest ...
Anomalous price impact and the critical nature of liquidity in financial markets
Tuesday, February 21, 2012 - 12:30
Jean-Philippe Bouchaud (CFM & EP, Paris)
OMI Seminar Series
We propose a dynamical theory of market liquidity that predi...
Financial applications of random matrix theory: a short review
Tuesday, February 21, 2012 - 14:15
Jean-Philippe Bouchaud (CFM & EP, Paris)
OMI Seminar Series
We discuss the applications of random matrix theory in the c...
Asset prices with heterogeneity in preferences and beliefs
Thursday, February 23, 2012 - 12:30
Harjoat Bhamra (Imperial College, London and University of B...
OMI Seminar Series
In this paper, we study asset prices in a dynamic, continuou...
Long-time behaviour of stochastic delay equations
Monday, February 27, 2012 - 14:15
Michael Scheutzow (TU Berlin)
Stochastic Analysis Seminar Series
First we provide a survey on the long-time behaviour of stoc...
Optimal transport, concentration of measure and functional inequalities
Monday, February 27, 2012 - 15:45
Nathael Gozlan (UPEMLV)
Stochastic Analysis Seminar Series
This talk is devoted to Talagrand's transport-entropy inequa...
Corporate arbitrage investing…an introduction to event driven, special sits and relative value trading
Monday, February 27, 2012 - 18:00
Richard Bateson (AHL, Man Group PLC)
Practitioner Lecture Series
Event driven, special situation and relative value trades in...
Estimation of Hazard Models with Dependence Across Observations: Correlation, Frailty and Contagion
Friday, March 2, 2012 - 12:45
James Wolter (Yale)
OMI Seminar Series
I discuss estimation of hazard models where observations are...
The Snell envelope and analysis of various approximation schemes
Friday, March 2, 2012 - 14:15
Peng Hu (University of Bordeaux)
OMI Seminar Series
We analyze the robustness properties of the Snell envelope b...
The projections of fractal percolation
Monday, March 5, 2012 - 14:15
Károly Simon (Budapest University of Technology and Economi...
Stochastic Analysis Seminar Series
To study turbulence,B. Mandelbrot introduced a random fracta...
How does a uniformly sampled Markov chain behave ?
Monday, March 5, 2012 - 15:45
Charles Bordenave (University of Toulouse)
Stochastic Analysis Seminar Series
In this talk, we will consider various probability distribu...
Current challenges for the FICC trading-floor quants
Monday, March 5, 2012 - 18:00
Henrik Rasmussen (TwoPi Capital)
Practitioner Lecture Series
The talk will give a high level overview of some of the curr...
Pricing and Liquidity with Sticky Trading Plans
Tuesday, March 6, 2012 - 12:30
Bruno Biais (TSE)
OMI Seminar Series
with SBS
We study the reaction of financial markets to aggregate liqu...
SOLID: Sieving Online Data for Leading Indicators
Wednesday, March 21, 2012 - 12:30
Georg Gottlob (University of Oxford)
OMI Seminar Series
An Intertemporal CAPM with Stochastic Volatility
Friday, March 30, 2012 - 12:30
John Campbell (Harvard University)
OMI Seminar Series
with SBS
This paper extends the approximate closed-form intertemporal...
The Geographic Origin of Order Flow and Price Discovery
Tuesday, April 17, 2012 - 14:15
Alex Frino (Capital Markets CRC Limited)
OMI Seminar Series
This study exploits a unique dataset to determine the relati...
Stochastic diffusions for sampling Gibbs measures
Monday, April 23, 2012 - 14:15
Ben Leimkuhler (University of Edinburgh)
Stochastic Analysis Seminar Series
I will discuss properties of stochastic differential equatio...
Splitting methods and cubature formulas for stochastic partial differential equations
Monday, April 23, 2012 - 15:45
Philipp Doersek (ETHZ)
Stochastic Analysis Seminar Series
We consider the approximation of the marginal distribution o...
Energy of cut-off functions and heat kernel upper bounds
Monday, April 30, 2012 - 14:15
Martin Barlow (University of British Columbia)
Stochastic Analysis Seminar Series
It is well known that electrical resistance arguments provid...
The number of connected components of zero sets of smooth Gaussian functions
Monday, April 30, 2012 - 15:45
Misha Sodin (Tel Aviv University)
Stochastic Analysis Seminar Series
We find the order of growth of the typical number of compone...
An Empirical Decomposition of Risk and Liquidity in Nominal and Inflation-Indexed Government Bonds
Thursday, May 3, 2012 - 12:30
Luis Viceira (Harvard Business School)
OMI Seminar Series
with Nomura
This paper decomposes inflation-indexed and nominal governme...
A Theoretical Analysis of Momentum and Value Strategies
Tuesday, May 8, 2012 - 14:15
Dimitri Vayanos (LSE)
OMI Seminar Series
with SBS
We explore implications of the rational theory of momentum a...
Commodity storage valuation
Friday, May 11, 2012 - 12:30
Kumar Muthuraman (University of Texas)
OMI Seminar Series
with Nomura
We present a general valuation framework for commodity stora...
The contagious capacity of the international banking network: 1985-2009
Monday, May 14, 2012 - 12:30
Lavan Mahadeva (Oxford Institute for Energy Studies)
Sandwich Seminar
Systemic risk among the network of international banking gro...
On the localization of Vertex Reinforced Random Walk on Z with weight
Monday, May 14, 2012 - 14:15
Bruno Schapira (Université Paris-Sud)
Stochastic Analysis Seminar Series
The model of Vertex Reinforced Random Walk (VRRW) on Z goes ...
Pathwise Holder convergence of the implicit Euler scheme for semi-linear SPDEs with multiplicative noise
Monday, May 14, 2012 - 15:45
Jan Van Neerven (TUDelft)
Stochastic Analysis Seminar Series
Pathwise Holder convergence with optimal rates is proved for...
Interest rate structured notes – pricing, hedging and market impact
Monday, May 14, 2012 - 18:00
Michael Dalton, ECI, Oxford
Sandwich Seminar
The interest rate structured note derivative market is one o...
Approaches to financial regulation
Monday, May 21, 2012 - 12:30
Robert MacKay and Paul Youdell (University of Warwick)
Sandwich Seminar
Robert MacKay will address a proposal under development with...
Some applications of the Ninomiya-Victoir scheme in the context of financial engineering
Monday, May 21, 2012 - 14:15
Christian Bayer
Stochastic Analysis Seminar Series
Based on ideas from rough path analysis and operator splitti...
Extrapolation methods for weak approximation schemes
Monday, May 21, 2012 - 15:45
Dejan Veluscek (ETHZ)
Stochastic Analysis Seminar Series
We will give a quick overview of the semigroup perspective o...
Trend-following and momentum strategies in futures markets
Tuesday, May 22, 2012 - 14:15
Robert Kosowski (Imperial)
OMI Seminar Series
Constructing a time-series momentum strategy involves the vo...
Instruments of macroprudential policy
Wednesday, May 23, 2012 - 17:30
David Aikman and Sujit Kapadia (Bank of England)
OMI Seminar Series
Sujit Kapadia and David Aikman work as economists in the Fin...
Time series visualization: Beyond line plots
Monday, May 28, 2012 - 12:30
Min Chen (Computer Science, University of Oxford)
Sandwich Seminar
Time series plots have been around for a millennium or more....
Edge reinforced random walks, Vertex reinforced jump process, and the SuSy hyperbolic sigma model
Monday, May 28, 2012 - 14:15
Christophe Sabot (University of Lyon)
Stochastic Analysis Seminar Series
Edge-reinforced random walk (ERRW), introduced by Coppersmit...
Critical point for some planar statistical models
Monday, May 28, 2012 - 15:45
Hugo Duminil (University of Geneva)
Stochastic Analysis Seminar Series
In this talk, we describe how to compute the critical point ...
Beliefs about inflation and the term structure of interest rates
Tuesday, May 29, 2012 - 12:30
Mike Gallmeyer (University of Virginia)
OMI Seminar Series
with SBS
We study how differences in beliefs about expected inflation...
High Frequency Trading: What is it Good for?
Monday, June 11, 2012 - 12:30
Austin Gerig (CABDyN Complexity Centre, SBS, University of O...
Sandwich Seminar
Nearly half of all transactions in financial markets are cau...
Ferromagnets and the mean-field classical Heisenberg model
Monday, June 11, 2012 - 14:15
Kay Kirkpatrick (University of Illinois)
Stochastic Analysis Seminar Series
There are two main statistical mechanical models of ferromag...
Path properties of SLE curves and their behavior at the tip
Monday, June 11, 2012 - 15:45
Fredrik Johansson Viklund (Columbia University)
Stochastic Analysis Seminar Series
The Schramm-Loewner evolution (SLE(\kappa)) is a family of r...
Toward a supply-side theory of financial innovation
Tuesday, June 12, 2012 - 14:15
Daniel Awrey (Law, University of Oxford)
OMI Seminar Series
Innovation.  The word is evocative of ideas, products and p...
A pathwise interpretation of entropy dissipation and a non intrinsic Bakry-Emery criterion for diffusion processes
Tuesday, June 26, 2012 - 14:15
Joaquin Fontbona  (Center for Mathematical Modeling, Univer...
Stochastic Analysis Seminar Series
We develop a pathwise description of the dissipation of gene...
An information network model of trading and asset price dynamics
Monday, August 13, 2012 - 12:30
Johan Walden (Haas School of Business, Berkeley)
Sandwich Seminar
We introduce a dynamic noisy rational expectations model, in...
Global earnings forecasting efficiency (John Guerard, McKinley Capital, USA)
Monday, October 1, 2012 - 12:30
John Guerard (Director of Quantitative Research, McKinley Ca...
Sandwich Seminar
Stock selection models often use momentum and analysts’ ex...
On the dark side of the market - Identifying and analyzing hidden order placements
Monday, October 8, 2012 - 12:30
Nikolaus Hautsch (Humboldt-Universität, Berlin)
Sandwich Seminar
Trading under limited pre-trade transparency becomes increas...
Behaviour near the extinction time in self-similar fragmentation chains
Monday, October 8, 2012 - 14:15
Christina Goldschmidt (Oxford)
Stochastic Analysis Seminar Series
Suppose we have a collection of blocks, which gradually spli...
Higher order spatial approximations for degenerate parabolic SPDEs
Monday, October 8, 2012 - 15:45
Eric Joseph Hall (Edinburgh)
Stochastic Analysis Seminar Series
We consider an implicit finite difference scheme on uniform ...
Arbitrage asymmetry and the idiosyncratic volatility puzzle
Tuesday, October 9, 2012 - 12:15
Robert Stambaugh (Wharton)
OMI Seminar Series
with SBS (Seminar in the SBS Boardroom)
Short positions face greater risks and other potential imped...
Some new results on second order BSDE
Monday, October 15, 2012 - 12:30
Yiqing Lin (Univ-Rennes1, France)
Sandwich Seminar
In this short seminar, we introduce some new results on seco...
CANCELLED - A stochastic approach to the evolution by mean curvature flow
Monday, October 15, 2012 - 14:15
Frederica Dragoni (Cardiff)
Stochastic Analysis Seminar Series
In the talk we first introduce the level set equation for th...
Skorohod equation and reflected backward SDE
Monday, October 15, 2012 - 15:45
Mingyu Xu (Beijing, China)
Stochastic Analysis Seminar Series
By using the Skorohod equation we derive an iteration proced...
Optimal order placement
Tuesday, October 16, 2012 - 14:15
Peter Bank (Berlin)
OMI Seminar Series
We consider a broker who has to place a large order which co...
Strongly reinforced Vertex-Reinforced-Random-Walk on complete graphs
Monday, October 22, 2012 - 14:15
Oliver Raimond (Paris)
Stochastic Analysis Seminar Series
We study Vertex-Reinforced-Random-Walk on the complete graph...
Gradient flows and particle systems
Monday, October 22, 2012 - 15:45
Nicolas Dirr (Cardiff)
Stochastic Analysis Seminar Series
Following the groundbreaking work of Jordan-Kinderlehrer-Ott...
Failure and Rescue in an Interbank Network
Monday, October 29, 2012 - 12:30
Luitgard Veraart (LSE) 
Sandwich Seminar
This talk is concerned with systemic risk in an interbank ma...
The limit surface of antichains in the 3-dimensional random partial order
Monday, October 29, 2012 - 14:15
Edward Crane (Bristol)
Stochastic Analysis Seminar Series
An antichain is a set of elements of a partially ordered set...
Some distance bounds for rough paths, and applications to Gaussian processes
Monday, October 29, 2012 - 15:45
Weijun Xu (Oxford)
Stochastic Analysis Seminar Series
Rough path theory provides a robust way of integrating (agai...
Particle Markov Chain Monte Carlo methods for Calibration and Estimation of Multi Factor s.d.e. Commodity Models
Monday, November 5, 2012 - 12:30
Gareth Peters (UCL)
Sandwich Seminar
I will review models proposed in the literature based on mul...
Renormalisation of hierarchically interacting Cannings processes
Monday, November 5, 2012 - 14:15
Frank den Hollander (Leiden University)
Stochastic Analysis Seminar Series
In order to analyse universal patterns in the large space-ti...
Well localized frames, representation of function spaces, and heat kernel estimates
Monday, November 5, 2012 - 15:45
Gerard Kerkyacharian
Stochastic Analysis Seminar Series
Since during the last twenty years, wavelet theory has prove...
Asset Prices and Institutional Investors
Tuesday, November 6, 2012 - 12:30
Suleyman Basak (London Business School and CEPR)
OMI Seminar Series
Empirical evidence indicates that trades by institutional in...
Towards a rigorous justification of kinetic theory: The gainless heterogeneous Boltzmann equation
Monday, November 12, 2012 - 14:15
Florian Thiel (Warwick)  
Stochastic Analysis Seminar Series
We study the asymptotic behaviour of deterministic dynamics ...
Application of cubature to TARN option pricing
Monday, November 12, 2012 - 15:45
Wei Pan (Oxford)
Stochastic Analysis Seminar Series
Target Accrual Redemption Note is a path dependent feature p...
The multivariate lack-of-memory property: Analytical characterizations and applications to mathematical finance
Tuesday, November 13, 2012 - 14:15
Matthias Scherer (TUM)
OMI Seminar Series
Characterized by the lack-of-memory property, the exponentia...
New Trends in Mathematical Finance
Monday, November 19, 2012 - 12:30
Maria Rosario Grossinho (Project Technical Coordinator &...
Sandwich Seminar
Many financial problems induce a deep study in mathematics, ...
Google maps and improper Poisson line processes
Monday, November 19, 2012 - 14:15
Wilfrid Kendall (Warwick)
Stochastic Analysis Seminar Series
I will report on joint work in progress with David Aldous, c...
Strong and weak solutions to stochastic Landau-Lifshitz equations
Monday, November 19, 2012 - 15:45
Zdzislaw Brzezniak (York)
Stochastic Analysis Seminar Series
I will speak about the of weak (and the existence and unique...
Fluctuation analysis for the loss from default
Tuesday, November 20, 2012 - 14:15
Kay Giesecke (Stanford)
OMI Seminar Series
We analyze the fluctuation of the loss from default around i...
CANCELLED
Monday, November 26, 2012 - 12:30
Luke Ellis (CEO and CIO of FRM)
Sandwich Seminar
A new class of models for Bivariate joint tails
Monday, November 26, 2012 - 12:30
Anthony Ledford (Chief Scientist, AHL)
Sandwich Seminar
Fractional Laplacian with gradient perturbations
Monday, November 26, 2012 - 14:15
Tomasz Jakubowski (Wroclaw University of Technology, Poland)...
Stochastic Analysis Seminar Series
We consider the fractional Laplacian perturbed by the gradie...
Gradient and Schrödinger perturbations of transition densitites
Monday, November 26, 2012 - 15:45
Karol Szczypkowski (Wroclaw University of Technology, Poland...
Stochastic Analysis Seminar Series
We consider time-space integrability conditions on a drift t...
Equilibrium security design and liquidity creation by privately informed issuers
Tuesday, November 27, 2012 - 12:30
Gilles Chemla (Imperial)
OMI Seminar Series
By supplying riskless claims ("liquidity") an issuer can ins...
Root's barrier and viscosity solutions of obstacle problems
Tuesday, December 4, 2012 - 12:30
Gonçalo dos Reis (TU, Berlin)
Sandwich Seminar
Following the works of Dupire (2005), Carr & Lee (2010)...
Brownian Motions and Martingales under Probability Model uncertainty
Friday, January 18, 2013 - 16:00
Shige Peng (Shandong University) (Venue: Dartington House)
OMI Seminar Series
with Nomura
A solution of a linear BSDE (Backward Stochastic Differentia...
Posterior Contraction Rates for Bayesian Inverse Problems
Monday, January 21, 2013 - 14:15
Sergios Agapiou (Warwick University)
Stochastic Analysis Seminar Series
We consider the inverse problem of recovering u from a noisy...
The stochastic quasi-geostrophic equation
Monday, January 21, 2013 - 15:45
Rongchan Zhu (Univiersity of Bielefeld)
Stochastic Analysis Seminar Series
In this talk we discuss the 2D stochastic quasi-geostrophic ...
Does wage rigidity make firms riskier? Evidence from long-horizon predictability
Tuesday, January 22, 2013 - 12:30
Jack Favilukis (LSE)
OMI Seminar Series
with SBS
We explore the relationship between sticky wages and risk. L...
Stock ownership and political behavior: Evidence from demutualisations
Thursday, January 24, 2013 - 12:30
Samuli Knupfer (LBS)
OMI Seminar Series
with SBS
We show the behavior of individuals is affected by the type ...
Half planar random maps
Monday, January 28, 2013 - 14:15
Omer Angel (UBC)
Stochastic Analysis Seminar Series
We study measures on half planar maps that satisfy a natural...
Near-critical Ising model
Monday, January 28, 2013 - 15:45
Christophe Garban (Université Paris-Sud and ENS)
Stochastic Analysis Seminar Series
In this talk, I will present two results on the behavior of ...
Hedging in fixed income markets and bond variance risk premia
Tuesday, January 29, 2013 - 14:15
Philippe Mueller (LSE)
OMI Seminar Series
Using data from 1983 to 2012, we propose a new fear measure ...
Filtration shrinkage, strict local martingales and the Föllmer measure
Monday, February 4, 2013 - 14:15
Martin Larsson (Cornell University)
Stochastic Analysis Seminar Series
When a strict local martingale is projected onto a subfiltra...
Critical Gaussian Multiplicative Chaos: Convergence of the Derivative
Monday, February 4, 2013 - 15:45
Vincent Vargas (Université Paris-Dauphine)
Stochastic Analysis Seminar Series
CANCELLED Gaussian multiplicative chaos is a theory introduc...
Predictive Regression and Robust Hypothesis Testing: Predictability Hidden by Anomalous Observations
Tuesday, February 5, 2013 - 14:15
Fabio Trojani (Swiss Finance Institute)
OMI Seminar Series
Testing procedures for predictive regressions with lagged au...
Speculative Betas
Thursday, February 7, 2013 - 12:30
Harrison Hong (Princeton)
OMI Seminar Series
We provide a model for why high beta assets are more prone t...
A randomly forced Burgers equation on the real line
Monday, February 11, 2013 - 14:15
Eric Cator (TU Delft)
Stochastic Analysis Seminar Series
In this talk I will consider the Burgers equation with a hom...
Numerical Solution of FBSDEs Using a Recombined Cubature Method
Monday, February 11, 2013 - 15:45
Camillo Andres Garcia Trillos (University of Nice Sophia-Ant...
Stochastic Analysis Seminar Series
Several problems in financial mathematics, in particular tha...
Macroprudential policy, countercyclical bank capital buffers and credit supply: Evidence from the Spanish dynamic provisioning experiments
Tuesday, February 12, 2013 - 12:30
Steven Ongena (Tilburg University)
OMI Seminar Series
We analyze the impact of the countercyclical capital buffers...
Values and Finance: Quasi-Experiments on Social Responsibility and the Stock Market
Thursday, February 14, 2013 - 17:30
Harrison Hong (Princeton University) Location: Mary Ogilvie ...
with St. Anne's College
What are the returns to sustainable investing? What are the ...
Rough paths, controlled distributions, and nonlinear SPDEs
Monday, February 18, 2013 - 14:15
Nicolas Perkowski (Humboldt-Universität, Berlin)
Stochastic Analysis Seminar Series
Hairer recently had the remarkable insight that Lyons' theor...
A continuum of exponents for the rate of escape of random walks on groups
Monday, February 18, 2013 - 15:45
Gidi Amir (University of Toronto)
Stochastic Analysis Seminar Series
A central question in the theory of random walks on groups i...
Short-horizon trading and market movement
Monday, February 18, 2013 - 18:00
Jeremy Large (Tudor Investment Corp)
Practitioner Lecture Series
Awaited
Extraction and analysis of data from Online Social Networks
Wednesday, February 20, 2013 - 11:00
Alessandro Provetti (University of Messina)
Sandwich Seminar
This seminar will survey the conceptual framework and the re...
Poisson random forests and coalescents in expanding populations
Monday, February 25, 2013 - 14:15
Sam Finch (University of Copenhagen)
Stochastic Analysis Seminar Series
Let (V, ≥) be a finite, partially ordered set. Say a direc...
Nonnegative local martingales, Novikov's and Kazamaki's criteria, and the distribution of explosion times
Monday, February 25, 2013 - 15:45
Johannes Ruf (Oxford)
Stochastic Analysis Seminar Series
I will give a new proof for the famous criteria by Novikov ...
Regulatory change in Europe: how derivatives markets will be affected
Monday, February 25, 2013 - 18:00
Helen Oldfield (Managing Director, Barclays investment bank ...
Practitioner Lecture Series
This presentation will provide an overview of the regulatory...
CANCELLED
Tuesday, February 26, 2013 - 12:30
David Veredas (ULB, Brussels) SEMINAR CANCELLED
OMI Seminar Series
We introduce TailCoR, a new measure for tail correlation tha...
Bond Percolation on Isoradial Graphs
Monday, March 4, 2013 - 14:15
Ioan Manolescu (University of Geneva and Cambridge)
Stochastic Analysis Seminar Series
The star-triangle transformation is used to obtain an equiva...
Uniformly Uniformly-Ergodic Markov Chains and applications
Monday, March 4, 2013 - 15:45
Sam Cohen (University of Oxford)
Stochastic Analysis Seminar Series
If one starts with a uniformly ergodic Markov chain on count...
Funding Value Adjustment, a practitioner's view
Monday, March 4, 2013 - 18:00
Ignacio Ruiz (iRuiz Consulting)
Practitioner Lecture Series
The Funding Value Adjustment (FVA) is a correction made to t...
A dynamic model for daily equity covariances based on multiple realised measures
Tuesday, March 5, 2013 - 12:30
Pawel Janus (UBS, Zurich)
OMI Seminar Series
We propose a new observation-driven model for high dimension...
Digging up the Dirt on Raw Materials
Monday, March 11, 2013 - 12:30
George Smith FRS (Emeritus Professor of Materials, Oxford)
Sandwich Seminar
In years to come, major national economies may succeed or fa...
Pathwise approximation of SDE solutions using coupling
Monday, March 11, 2013 - 14:15
Sandie Davie (University of Edinburgh)
Stochastic Analysis Seminar Series
The standard Taylor series approach to the higher-order appr...
Random FBSDEs: Burgers SPDEs, Rational Expectations / Consol Rate Models, Control for Large Investors, and Stochastic Viscosity Solutions
Monday, March 11, 2013 - 15:45
Nikolaos Englezos (University of Piraeus)
Stochastic Analysis Seminar Series
Burgers equation is a quasilinear partial differential equat...
Trading of Equity Volatility and Correlation
Monday, March 11, 2013 - 18:00
Nikolay Aleksandrov (Prop Trader, Nomura International)
Practitioner Lecture Series
This lecture aims to illustrate some of the more practical a...
Optimal controls with rough paths and Backward Stochastic Differential Equations
Monday, March 18, 2013 - 14:00
Mariko Arisawa (Tohoku University)
In this talk, we try to extend the classical optimal control...
Cubature methods for S(P)DEs in weighted spaces
Tuesday, March 19, 2013 - 15:00
Dejan Veluscek (University of Ljubljana)
In the seminar we will present the cubature on Wiener space ...
Ito's formula via rough paths
Monday, April 22, 2013 - 14:15
David Kelly (University of Miami)
Stochastic Analysis Seminar Series
Non-geometric rough paths arise when one encounters stochast...
Generalized equations of stability
Monday, April 22, 2013 - 15:45
Matthias Meiners (University of Münster)
Stochastic Analysis Seminar Series
In many models of Applied Probability, the distributional li...
A Study of the Euro-zone Crisis
Tuesday, April 23, 2013 - 12:30
Loriana Pelizzon (Universita' Ca' Foscari di Venezia)
OMI Seminar Series
We study market microstructure and liquidity in the Italian ...
Can we recover?
Monday, April 29, 2013 - 12:30
Peter Carr (NYU & Morgan Stanley)
OMI Seminar Series
with Nomura
The Ross Recovery Theorem gives sufficient conditions under ...
Particle methods with applications in finance
Monday, April 29, 2013 - 14:15
Peng Hu (University of Oxford)
Stochastic Analysis Seminar Series
The aim of this lecture is to give a general introduction to...
Uniqueness of Signature
Monday, April 29, 2013 - 15:15
Horatio Boedihardjo (University of Oxford)
Stochastic Analysis Seminar Series
Please note the earlier start time We relate the expected si...
Pathwise integration in model free finance
Friday, May 3, 2013 - 12:30
Nicolas Perkowski (HU-Berlin)
Sandwich Seminar
The game-theoretic approach to mathematical finance, as advo...
Some new results on equilibrium with a possibly informed large trader
Tuesday, May 7, 2013 - 12:30
Kerry Back (Rice University’s Jones Graduate School of Bus...
OMI Seminar Series
with SBS
The seminar will describe results in three working papers: ...
Metastability and interface motion in disordered media
Monday, May 13, 2013 - 14:15
Thierry Bodineau (ENS, Paris)
Stochastic Analysis Seminar Series
We will first review the return to equilibrium of the Ising ...
Random conformally invariant curves and quantum group techniques
Monday, May 13, 2013 - 15:45
Kalle Kytola (Helsinki University of Technology)
Stochastic Analysis Seminar Series
In this talk we consider two questions about conformally inv...
Economic Uncertainty and the Cross-Section of Hedge Fund Returns
Tuesday, May 14, 2013 - 12:30
Turan Bali (Georgetown)
OMI Seminar Series
with SBS
This paper estimates hedge funds’ exposures to alternative...
Stochastic homogenization of a conductivity problem; applications to spectroscopic imaging
Monday, May 20, 2013 - 12:30
Wenjia Jing (ENS Paris)
Sandwich Seminar
We consider a stationary conductivity problem (of heat, elec...
Eigenvalues of large random matrices, free probability and beyond
Monday, May 20, 2013 - 14:15
Camille Male (Denis Diderot University, Paris)
Stochastic Analysis Seminar Series
Free probability theory has been introduced by Voiculescu in...
Random Wavelet Series
Monday, May 20, 2013 - 15:45
Stéphane Jaffard (UPEC)
Stochastic Analysis Seminar Series
Random wavelet series were introduced in the mid 90s as simp...
Small-time asymptotics and adaptive simulation schemes for stopped Lévy processes
Monday, June 3, 2013 - 14:15
Peter Tankov (Denis Diderot University, Paris)
Stochastic Analysis Seminar Series
Jump processes, and Lévy processes in particular, are notor...
Bayesian nonparametric estimation using the heat kernel
Monday, June 3, 2013 - 15:45
Dominique Picard (Denis-Diderot University, Paris)
Stochastic Analysis Seminar Series
Convergence of the Bayes posterior measure is considered in ...
X-CAPM: An Extrapolative Capital Asset Model
Tuesday, June 4, 2013 - 12:30
Nick Barberis (Yale)
OMI Seminar Series
with SBS
Survey evidence suggests that many investors form beliefs ab...
Simulation of BSDE’s and Wiener chaos expansions
Monday, June 10, 2013 - 14:15
Philippe Briand (Université de Savoie, France)
Stochastic Analysis Seminar Series
In this talk, we consider the setting: a random realization ...
Learning from the past, predicting the statistics for the future, learning an evolving system using Rough Paths Theory
Monday, June 10, 2013 - 15:45
Ni Hao (University of Oxford)
Stochastic Analysis Seminar Series
In this talk, we consider the setting: a random realization ...
Community Detection via Fused Loadings Principal Component Analysis
Monday, September 16, 2013 - 12:30
Monday Sandwich Series
Community detection is one of the most widely studies proble...
Stuck Walks: a conjecture of Erschler, Tóth and Werner
Monday, October 14, 2013 - 14:15
DANIEL KIOUS
Stochastic Analysis Seminar Series
Abstract: In 2010, Erschler, Tóth and Werner introduced the...
"Pathwise optimal transport bounds between a one-dimensional diffusion and its Euler scheme"
Monday, October 14, 2013 - 15:45
BENJAMIN JOURDAIN
Stochastic Analysis Seminar Series
(joint work with Aurélien Alfonsi and Arturo Kohatsu-Higa) ...
Comparing different regulatory measures to control stock market volatility: A general equilibrium analysis
Tuesday, October 15, 2013 - 12:30
Raman Uppal (EDHEC)
OMI Seminar Series
with SBS
In this paper, we compare the effects of different regulator...
Closed End Bond Funds
Friday, October 18, 2013 - 16:00
Phelim Boyle (WLU) *please note this seminar will take place...
OMI/Nomura
with Nomura
The performance of the shares of a closed end bond fund is b...
Turbulence, monetization and universality in financial markets
Monday, October 21, 2013 - 10:00
Mike Lipkin (Columbia University)
OMI Seminar Series
with Nomura
Financial systems exhibit turbulence analogous to that seen ...
Title: Asymptotic independence of three statistics of the maximal increments of random walks and Levy processes
Monday, October 21, 2013 - 14:15
ALEKSANDAR MIJATOVIC
Stochastic Analysis Seminar Series
Abstract: Let $H(x) = \inf\{n:\, \exists\, k<n: S_n - S_k...
'' Learning an evolving system using Rough Paths Theory''
Monday, October 21, 2013 - 15:45
NI HAO
Stochastic Analysis Seminar Series
Abstract:  ''Regression analysis aims to use observational ...
The Term Structure of Currency Carry Trade Risk Premia
Tuesday, October 22, 2013 - 12:30
Hanno Lustig (UCLA)
OMI Seminar Series
with SBS
Awaited
Gaussian Process Conditional Copulas with Applications to Financial Time Series
Monday, October 28, 2013 - 12:30
José Miguel Hernández Lobato (Cambridge)
Sandwich Seminar
The estimation of dependencies between multiple variables is...
The boundary Harnack principle in fractal spaces
Monday, October 28, 2013 - 14:15
JANNA LIERL
Stochastic Analysis Seminar Series
Abstract: The boundary Harnack principle states that the rat...
"Small-particle scaling limits in a regularized Laplacian growth model"
Monday, October 28, 2013 - 15:45
ALAN SOLA
Stochastic Analysis Seminar Series
With F. Johansson Viklund (Columbia) and A. Turner (Lancaste...
Coalescing flows: a new approach
Monday, November 4, 2013 - 14:15
NATHANAEL BERESTYCKI
Stochastic Analysis Seminar Series
Abstract: The coalescing Brownian flow on $\R$ is a process ...
On interacting strong urns
Monday, November 4, 2013 - 15:45
VLADA LIMIC
Stochastic Analysis Seminar Series
The talk will recall the results of three preprints, first t...
Consumption and Debt Response to Unanticipated Income Shocks: Evidence from a Natural Experiment in Singapore
Tuesday, November 5, 2013 - 12:30
Sumit Agarwal (NU Singapore)
OMI Seminar Series
with SBS
This paper uses a unique panel data set of consumer financia...
Financial Risk Management in the Corporate World
Wednesday, November 6, 2013 - 18:00
Pedro Tavares (Nomura International)
Practitioner Lecture Series
Sequential Monte Carlo for Early-Exercise Option Pricing
Monday, November 11, 2013 - 14:15
RICKY RAMBHARAT
Stochastic Analysis Seminar Series
A review of a valuation strategy to price American-style opt...
A Set of Characteristic Functions on the Space of Signatures
Monday, November 11, 2013 - 15:45
ILYA CHEVYREV
Stochastic Analysis Seminar Series
Abstract: The expected signature is often viewed as a direct...
Title "Stochastic calculus for non-semimartingales in Banach spaces, an infinite dimensional PDE and some stability results".
Monday, November 18, 2013 - 14:15
CRISTINA DI GIROLAMI
Stochastic Analysis Seminar Series
Abstract: This talk develops some aspects of stochastic cal...
'On nonparametric Bernstein-von Mises theorems'
Monday, November 18, 2013 - 15:45
ISMAEL CASTILLO
Stochastic Analysis Seminar Series
Abstract : The Bayesian approach is a possible way to build ...
Fourier method techniques at the interface between local and stochastic volatility
Wednesday, November 20, 2013 - 18:00
Dr Iain J Clark (IainJClark)
Practitioner Lecture Series
In asset classes such as FX it is important to construct a m...
The Elephant in the Ground, Oil Extraction and Asset Allocation in Sovereign Wealth Funds
Monday, November 25, 2013 - 12:30
Sam Wills (Oxford)
Early Career Researcher Seminar
  Most oil exporters have a large share of their national w...
Dimension-independent, likelihood informed sampling for Bayesian inverse problems
Monday, November 25, 2013 - 14:15
KODY LAW
Stochastic Analysis Seminar Series
When cast in a Bayesian setting, the solution to an inverse ...
Collateral-Motivated Financial Innovation
Tuesday, November 26, 2013 - 12:30
Honjun Yan
Oxford-Man Institute Series
This paper argues that many financial innovations are partly...
Extracting information from the signature of a financial data stream"
Monday, December 2, 2013 - 14:15
GREG GYURKO
Stochastic Analysis Seminar Series
Abstract:   Market events such as order placement and order...
Moderate deviations for sums of dependent variables, and the method of cumulants.
Monday, December 2, 2013 - 15:45
PIERRE-LOIC MELIOT
Stochastic Analysis Seminar Series
Abstract: Given a sequence of random variables X_n that con...
Conditional Eurobonds and the Eurozone Sovereign Debt Crisis
Tuesday, December 3, 2013 - 12:30
John Muellbauer (INET)
OMI Seminar Series
This paper proposes that all new euro area sovereign borrowi...
Country Risk: Managing extreme risk events
Wednesday, December 4, 2013 - 18:00
Alex Barret (Standard Chartered)
Practitioner Lecture Series
Awaited
``Random matrices at high temperature
Monday, January 20, 2014 - 15:45
ROMAIN ALLEZ
Stochastic Analysis Seminar
  Abstract:  We shall discuss the statistics of the eigenv...
Financial analytics (software) tools based on recent research results
Monday, January 27, 2014 - 12:30
Gautam Mitra (Brunel)
Sandwich Seminar
  ABSTRACT: OptiRisk systems specialises in constructing op...
Asymptotics beats Monte Carlo: The case of correlated local vol baskets
Monday, January 27, 2014 - 14:15
CHRISTIAN BAYER
Stochastic Analysis Seminar Series
Abstract: We consider a basket of options with both positive...
Labor Income, Relative Wealth Concerns, and the Cross-section of Stock Returns
Tuesday, January 28, 2014 - 12:30
Fernando Zapatero (University of Southern California)
OMI Seminar Series
with Nomura
  The finance literature documents a relation between labor...
Rough differential equation in Banach space driven by weak geometric p-rough path.
Monday, February 3, 2014 - 14:15
DANYU YANG
Stochastic Analysis Seminar Series
  Abstract: By using an explicit ordinary differential equa...
Handwriting,signatures, and convolutions
Monday, February 3, 2014 - 15:45
BEN GRAHAM
Stochastic Analysis Seminar Series
Abstract: The 'signature', from the theory of differential e...
What can Rough Paths do for you?
Tuesday, February 4, 2014 - 12:30
Terry Lyons (OMI)
OMI Seminar Series
This is a general talk for a scientific audience - aimed at ...
Discretely sampled signals and the rough Hoff path
Monday, February 10, 2014 - 14:15
GUY FLINT
Stochastic Analysis Seminar Series
Abstract: Sampling a $d$-dimensional continuous signal (say ...
"The Uniqueness of Signature problem"
Monday, February 10, 2014 - 15:45
HORATIO BOEDIHARDJO
Stochastic Analysis Seminar
  The abstract is: This talk will assume basic functional a...
An Academic Response to Basel 3.5: Risk Aggregation, Diversification and Model Uncertainty
Tuesday, February 11, 2014 - 12:30
Paul Embrechts (ETH Zurich)
OMI Seminar Series
The recent financial crises have triggered a multitude of re...
Valuing with Correlation Smile
Wednesday, February 12, 2014 - 18:00
Peter Austing (Independent Quant Researcher)
Practitioner Lecture Series
  During happy economic times, a set of assets may appear r...
Estimating stochastic volatility models using the Fourier transform
Monday, February 17, 2014 - 14:15
IMMA VALENTINA CURATO
Stochastic Analysis Seminar Series
Despite the ability of the stochastic volatility models alon...
Robust Hedging for Multi--Asset Markets with Jumps.
Monday, February 17, 2014 - 14:45
YAN DOLINSKY
Stochastic Analysis Seminar Series
Abstract: In this paper we consider robust hedging in conti...
Awaited
Tuesday, February 18, 2014 - 12:30
Rui Albuquerque (Boston University School of Management)
OMI Seminar Series
with Said Business School
The splitting method for SPDEs: from robustness to applications in financial engineering, nonlinear filtering and optimal control
Monday, February 24, 2014 - 14:15
HARALD OBERHAUSER
Stochastic Analysis Seminar
The splitting-up method is a powerful tool to solve (SP)DEs ...
Constrained Rough Paths
Monday, February 24, 2014 - 15:45
TOM CASS
Abstract: I present some recent work with Bruce Driver and C...
A life of dealing with risk: credit risk, market risk, tax risk, regulatory risk
Wednesday, February 26, 2014 - 18:00
Rudi Bogni (Old Mutual)
Practitioner Lecture Series
Invariants of curves
Monday, March 3, 2014 - 14:15
JOSCHA DIEHL
Stochastic Analysis Seminar Series
Abstract: The study of invariants of mathematical objects ha...
LEVY KHINTCHINE FORMULA FOR ROUGH PATHS
Monday, March 3, 2014 - 15:45
ATUL SHEKHAR
Stochastic Analysis Seminar Series
Abstract:D Dimensional Levy processes can be considered as...
Management of Path-Dependent Risk: Analysis and Numerical Approximation
Tuesday, March 4, 2014 - 12:30
Nizar Touzi (Ecole Polytechnique)
OMI Seminar Series
Finite-state approximation of polynomial preserving processes
Monday, March 10, 2014 - 14:15
SERGIO PULIDO
Stochastic Analysis Seminar Series
Abstract: Polynomial preserving processes are defined as tim...
Modeling flocks and prices: jumping particles with an attractive interaction (Joint work with Miklos Racz and Balint Toth)
Monday, March 10, 2014 - 15:45
MARTON BALAZS
Stochastic Analysis Seminar Series
ABSTRACT: I will introduce a model of a finite number of com...
A solution to the Palm—3Com spin-off puzzles
Tuesday, March 11, 2014 - 12:30
Chester Spatt (CMU)
OMI Seminar Series
with Said Business School
This paper revisits the relative pricing of Palm and 3Com s...
Probabilistic prediction of complex sequential data: neural networks and Riemannian geometry
Monday, April 28, 2014 - 14:15
YANN OLLIVIER
Stochastic Analysis Seminar Series
Simple probabilistic models for sequential data (text, music...
The decay rate of the expected signature of a stopped Brownian motion
Monday, April 28, 2014 - 15:45
NI HAO
Stochastic Analysis Seminar Series
In this presentation, we focus on the decay rate of the expe...
Optimal transport and Skorokhod embedding
Monday, May 12, 2014 - 14:15
MARTIN HUESMANN
Stochastic Analysis Seminar Series
 It is well known that several solutions to the Skorokhod p...
Inverting the signature
Monday, May 12, 2014 - 15:45
WEIJUN XU
Stochastic Analysis Seminar Series
Abstract: The signature of a path characterizes the non-comm...
Out-of-the-Money CEOs: Inferring Private Control Premium from CEO Option Exercise
Tuesday, May 13, 2014 - 12:30
Wei Jiang (Graduate School of Business, Columbia University)...
OMI Seminar Series
with Saïd Business School
This study explores how CEOs' private benefits of control ma...
: A cascading mean-field interacting particle system describing neuronal behavior.
Monday, May 19, 2014 - 14:15
JAMES INGLIS
Stochastic Analysis Seminar Series
We will introduce a particle system interacting through a me...
: Kernel tests of homogeneity, independence, and multi-variable interaction
Monday, May 19, 2014 - 15:45
ARTHUR GRETTON
Stochastic Analysis Seminar Series
We consider three nonparametric hypothesis testing problems:...
Systemic Risk and Stability in Financial Networks
Tuesday, May 20, 2014 - 12:30
Alireza Tahbaz-Salehi (Columbia)  
OMI Seminar Series
We provide a framework for studying the relationship between...
Understanding, modelling and managing DB pension risk
Wednesday, May 21, 2014 - 18:00
Robert Gardner (Redington)
Practitioner Lecture Series
Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France
Tuesday, May 27, 2014 - 12:30
David Sraer (Princeton University)
OMI Seminar Series
with Saïd Business School
 We investigate how a large-scale French reform to reduce t...
The Option-Implied Foster-Hart Riskiness Criterion
Wednesday, May 28, 2014 - 12:30
Matthias Leiss (ETH Zurich, Risk Center)
Early Career Researcher Seminar
Foster and Hart (2009) introduce an objective measure of the...
We consider the short time asymptotics of the heat content $E(s)$ of a domain $D$ of $\mathbb{R}^d$, where $D$ has a random boundary.
Monday, June 2, 2014 - 14:15
PHILIPPE CHARMOY
Stochastic Analysis Seminar Series
When $\partial D$ is spatially homogeneous, we show that we ...
Integrating slow-varying linear one-forms against rough path.
Monday, June 2, 2014 - 15:45
DANYU YANG
Stochastic Analysis Seminar Series
 We introduce a new framework for defining integration agai...
Information Aggregation in a Competitive Economy
Tuesday, June 3, 2014 - 12:30
Rohit Rahi (London School of Economics)  
OMI Seminar Series
with Nomura
Abstract: We consider the market for a risky asset for which...
Integral representation of martingales motivated by the problem of market completion with derivative securities.
Monday, June 9, 2014 - 14:15
DANIEL C SCHWARZ
Stochastic Analysis Seminar Series
A model of a financial market is complete if any payoff can ...
Phase transitions in a class of infinite particle systems
Monday, June 9, 2014 - 15:45
ALEX DALETSKI
Stochastic Analysis Seminar Series
   We  study infinite (random) systems of interacting pa...
CAPM, Stochastic Dominance, and Prospect Theory
Thursday, June 12, 2014 - 16:00
Haim Levy (Hebrew University of Jerusalem)    
OMI Seminar Series
with Nomura
  Abstract: Despite the theoretical and empirical criticism...
Topologies of nodal sets of band limited functions
Monday, June 16, 2014 - 14:15
IGOR WIGMAN
Stochastic Analysis Seminar Series
  It is shown that the topologies and nestings of the zero ...
Efficient PDE methods for multivariate option pricing
Monday, June 16, 2014 - 15:45
OLEG REICHMANN
Stochastic Analysis Seminar Series
We consider the numerical approximation of Kolmogorov equati...
Ito map and iterated integrals
Monday, October 13, 2014 - 14:15
HORATIO BOEDIHARDJO (Oxford-Man Institute)
Stochastic Analysis Seminar Series
  Abstract: The Taylor expansion of a controlled differenti...
A-free Groups and Tree-free Groups
Monday, October 13, 2014 - 15:45
IAN CHISWELL (Queen Mary University, London)  
Stochastic Analysis Seminar Series
  Abstract: The idea of A-free group, where A is a discrete...
CEO Preferences and Acquisitions
Tuesday, October 14, 2014 - 12:30
Dirk Jenter (Stanford Graduate School of Business)  
OMI Seminar Series
with Said Business School
    This paper explores the impact of target CEOs’ retir...
The Use of Randomness in Time Series Analysis
Thursday, October 23, 2014 - 16:00
Piotr Fryzlewicz (LSE)  
OMI Seminar Series
with Nomura
  This is an exploratory talk in which we describe differen...
Some results on maps that factor through a tree
Monday, October 27, 2014 - 14:15
ROGER ZUEST
Stochastic Analysis Seminar Series
  Abstract: We give a necessary and sufficient condition fo...
Phase transitions in Achlioptas processes
Monday, October 27, 2014 - 15:45
LUTZ WARNKE (University of Cambridge)  
Stochastic Analysis Seminar Series
  Abstract:  In the Erdös-Rényi random graph process, st...
Market Microstructure Invariance with Smooth Trading
Tuesday, October 28, 2014 - 12:30
Albert Kyle (Robert H. Smith School of Business)
OMI Seminar Series
with Said Business School
The paper describes a continuous time model of smooth oligop...
The Parabolic Anderson Model on R^3.
Monday, November 3, 2014 - 14:15
CYRIL LABBE (Warwick University)
Stochastic Analysis Seminar Series
  Abstract: The theory of regularity structures allows one ...
Selection and dimension
Monday, November 3, 2014 - 15:45
NIC FREEMAN (University of Bristol)
Stochastic Analysis Seminar Series
Abstract: I will describe the Spatial Lambda-Fleming-Viot pr...
A stochastic free boundary problem
Monday, November 10, 2014 - 14:15
MARTIN KELLER-RESSEL (Dresden University of Technology)   ...
Stochastic Analysis Seminar Series
  ABSTRACT: Motivated by stochastic models for order books ...
Limit theorems for ambit fields
Monday, November 10, 2014 - 15:45
MARK PODOLSKIJ (University of Heidelberg)  
Stochastic Analysis Seminar Series
Abtsract: In this talk we will present some recent developme...
Asset Pricing with Entry and Imperfect Competition
Tuesday, November 11, 2014 - 12:30
Erik Loualiche (MIT)
OMI Seminar Series
with Said Business School
Abstract:I study the implications of fluctuations in new fir...
Developing Execution Algorithms for Interest Rates
Wednesday, November 12, 2014 - 16:30
Robert Almgren (Quantitative Brokers)
Practitioner Lecture Series
  We will talk about the quantitative techniques that we us...
Lévy–Khintchine formula for Rough Paths
Monday, November 17, 2014 - 14:15
ATUL SHEKHAR (Berlin University of Technology)
Stochastic Analysis Seminar Series
  Abstract:  In this talk, we develop rough integration wi...
An ergodic backward stochastic differential equation approach to large time behaviour of some parabolic semilinear PDEs
Monday, November 17, 2014 - 15:45
ADRIEN RICHOU (University of Bordeaux)
Stochastic Analysis Seminar Series
Abstract: In this talk we study the large time behaviour of ...
Worrying about the stock market: Evidence from hospital admissions
Tuesday, November 18, 2014 - 12:30
Joey Engelberg (Rady School of Management)
OMI Seminar Series
with Nomura
  Using individual patient records for every hospital in Ca...
One for all and all for one: Pros and cons of a single model for pricing many instruments
Wednesday, November 19, 2014 - 16:30
John Paul Barjaktarevic (J.P. Morgan Chase)
Practitioner Lecture Series
  Grand unified theories are perennially popular among phys...
Learning in high dimension with multiscale invariants
Monday, November 24, 2014 - 14:15
STEPHANE MALLAT (Ecole Polytechnique CMAP)
Stochastic Analysis Seminar Series
  Learning functionals in high dimension requires to find s...
Recombination, Scenario reduction, and nested high order integration with positive weights
Monday, November 24, 2014 - 15:45
Terry Lyons and Maria Tchernychova
Stochastic Analysis Seminar Series
Cubature is the business of describing a probability measure...
Conformal restriction: 3-point chordal case
Monday, December 1, 2014 - 14:15
WEI QIAN (ETHZ Zurich)  
Stochastic Analysis Seminar Series
  Abstract:   Lawler, Schramm and Werner studied 2-point c...
Weak invariance principle for the local times of partial sums of Markov Chains
Monday, December 1, 2014 - 15:45
ZEMER KOSLOFF (Warwick University)  
Stochastic Analysis Seminar Series
When Arm's Length is too far. Relationship Banking over the Credit Cycle
Tuesday, December 2, 2014 - 12:30
Thorsten Beck (Cass Business School)
OMI Seminar Series
with Said Business School
Using a novel way to identify relationship and transaction b...
Trading Costs of Asset Pricing Anomalies
Thursday, December 4, 2014 - 12:30
Tobias Moskowitz (Chicago Booth)
OMI Seminar Series
with Said Business School
  Using over a trillion dollars of live trading data from a...
Optimal Switching in Finite Horizon under State Constraints
Monday, January 19, 2015 - 14:15
Idris Kharoubbi (Universite Paris Dauphine)
Stochastic Analysis Seminar Series
We study an optimal switching problem with a state constrain...
A Stochastic Free Boundary Problem
Monday, January 19, 2015 - 15:45
Martin Keller-Ressel (Dresden University of Technology)
Stochastic Analysis Seminar Series
Motivated by stochastic models for order books in stock exch...
A Mean-Field Game Approach to Optimal Execution
Thursday, January 22, 2015 - 16:00
Sebastian Jaimungal (University of Toronto)
OMI Seminar Series
with Nomura
This paper introduces a mean field game framework for optima...
Maximal Couplings and Geometry
Monday, February 2, 2015 - 14:15
Sayan Banerjee (University of Warwick)  
Stochastic Analysis Seminar Series
Maximal couplings are couplings of Markov processes where th...
Spectral volume and surface measures via the Dixmier trace for local symmetric Dirichlet spaces with Weyl type eigenvalue asymptotics
Monday, February 2, 2015 - 15:45
Naotaka Kauine (Kobe University Japan)  
Stochastic Analysis Seminar Series
Spectral volume and surface measures via the Dixmier trace f...
The Renormalization Group as a tool of Rigorous Probability Theory
Monday, February 9, 2015 - 14:15
Ajay Chandra (University of Warwick)
Stochastic Analysis Seminar Series
The Renormalization Group (RG) was pioneered by the physicis...
Asset Return Dynamics Under Bad Environment Good Environment Fundamentals
Tuesday, February 10, 2015 - 12:30
Geert Bekaert (Columbia Business School)
OMI Seminar Series
with Said Business School
Learning with Cross-Kernel Matrices and Ideal PCA
Monday, February 16, 2015 - 14:15
Franz Kiraly (University College London) 
Stochastic Analysis Seminar Series
We describe how cross-kernel matrices, that is, kernel matri...
Title Awaited
Monday, February 16, 2015 - 15:45
Dmitry Chelkak (ETH Zurich)  
Stochastic Analysis Seminar Series
Title awaited
Measuring and Predicting Human Behaviour Using Online Data
Tuesday, February 24, 2015 - 12:30
Tobias Preis (Warwick Business School)
OMI Seminar Series
with Nomura
In this talk, I will outline some recent highlights of our r...
Title Awaited
Monday, March 2, 2015 - 14:15
Michael Kozdron (University of Regina)  
Stochastic Analysis Seminar Series
tbc
Minimising the commute time.
Monday, March 2, 2015 - 15:45
Saul Jacka University of Warwick
Stochastic Analysis Seminar Series
Abstract: We consider the problem of minimising the commute ...
Statistical Inference on Levy measures from discrete observations
Monday, March 9, 2015 - 14:15
Richard Nickl (University of Cambridge)  
Stochastic Analysis Seminar Series
Levy processes are increasingly popular for modelling stocha...
Transience of the vacant set for near-critical random interlacements in high dimensions
Monday, March 9, 2015 - 15:45
Dirk Erhard (University of Warwick)  
Stochastic Analysis Seminar Series
The model of random interlacements is a one-parameter family...
Price of Variance Risk
Tuesday, March 10, 2015 - 12:30
Stefano Giglio (Chicago Booth)
OMI Seminar Series
with Said Business School
The average investor in the variance swap market is indiffer...
Min-wise hashing for large-scale regression
Monday, April 27, 2015 - 14:15
Rajen Shah (Cambridge University)
Stochastic Analysis Seminar Series
Abstract: We consider the problem of large-scale regression ...
Multiplicative chaos theory and its applications
Monday, April 27, 2015 - 15:15
Xiong Jin (Manchester University)
Stochastic Analysis Seminar Series
Abstract : Multiplicative chaos theory originated from the s...
Conformal Invariance of FK Ising loop ensemble
Monday, April 27, 2015 - 16:15
Antti Kemppainen (Helsinki University)
Stochastic Analysis Seminar Series
Abstract: In this talk I’ll describe some recent progress ...
Stock Market Liquidity: Role of Short-Term and Long-Term Traders
Tuesday, May 5, 2015 - 12:30
Ravi Jagannathan (Kellogg School of Management) 
OMI Seminar Series
with Said Business School
Using unique trader-identified data from the National Stock ...
Likelihood construction for discretely observed RDEs
Monday, May 11, 2015 - 14:15
Anastasia Papavasiliou (University of Warwick)  
Stochastic Analysis Seminar Series
Abstract: The main goal of the talk is to set up a framewor...
Tail Estimates for Markovian Rough Paths
Monday, May 11, 2015 - 15:45
Marcel Ogrodnik (Imperial College London)
Stochastic Analysis Seminar Series
Abstract: We work in the context of Markovian rough paths a...
Loans on sale: Credit market seasonality, borrower need, and lender rent seeking
Tuesday, May 12, 2015 - 12:30
Mitchell Petersen (Kellogg School of Management)
OMI Seminar Series
with Said Business School
The market for corporate credit is characterized by signific...
Moral Hazard, Informed Trading, and Stock Prices
Tuesday, May 26, 2015 - 12:30
Pierre Collin-Dufresne (Swiss Finance Institute EPFL)
OMI Seminar Series
with Said Business School
We analyze a dynamic model of informed trading where a share...
Sequential Monte Carlo Methods for High-Dimensional Inverse Problems
Monday, June 1, 2015 - 14:15
Nikolas Kantas (Imperial College London)
Stochastic Analysis Seminar Series
Abstract: We consider the inverse problem of estimating the ...
Volatility is rough
Monday, June 1, 2015 - 15:45
Mathieu Rosenbaum (University Pierre and Marie Curie Paris 6...
Stochastic Analysis Seminar Series
Abstract: Estimating volatility from recent high frequency d...
Heat semigroup and singular PDEs
Monday, June 8, 2015 - 14:15
Ismael Balleul (Rennes 1 France)
Stochastic Analysis Seminar Series
I will explain a semigroup approach to the study of singular...
Nonlinear stochastic ordinary and partial differential equations: regularity properties and approximations
Monday, June 8, 2015 - 15:45
Arnulf Jentzen (ETH Zurich)
Stochastic Analysis Seminar Series
Abstract: Stochastic differential equations (SDEs), by which...
Markets are Efficient if and only if P=NP
Tuesday, June 9, 2015 - 16:00
Philip Maymin (NYU)
OMI Seminar Series
with Nomura (Mathematical Institute)
I prove that if markets are weak-form efficient, meaning cur...
A central limit theorem for the KPZ equation
Monday, June 15, 2015 - 14:15
Hao Shen (University of Warwick)
Stochastic Analysis Seminar Series
The KPZ equation driven by space-time Gaussian white noise w...
Transience of the vacant set for near-critical random interlacements in high dimensions
Monday, June 15, 2015 - 15:45
Dirk Erhard (University of Warwick)
Stochastic Analysis Seminar Series
The model of random interlacements is a one-parameter family...
Explaining the Disconnection between China’s Economic Growth and Stock Market Performance
Tuesday, June 16, 2015 - 12:30
Lei Zhu (Boston University School of Management)
OMI Seminar Series
with Said Business School
The size of the Chinese stock market is the second largest i...
Optimal exit under moral hazard
Thursday, June 18, 2015 - 16:00
Stephane Villeneuve (Toulouse School of Economics)
OMI Seminar Series
with Nomura
We revisit the optimal exit problem by adding a moral hazard...
Fracking, drilling and asset pricing: estimating the economic benefits of the shale revolution
Tuesday, October 13, 2015 - 12:30
Nikolai Roussanov (Wharton, University of Pennsylvania)
OMI Seminar Series
with Said Business School
We quantify the effect of a significant technological innova...
The microstructural foundations of rough volatility models
Monday, October 19, 2015 - 14:15
Mathieu Rosenbaum (Paris Polytechnique)
Stochastic Analysis Seminar Series
  Abstract: It has been recently shown that rough volatilit...
Computing harmonic measures for the Lévy stable process
Monday, October 19, 2015 - 15:45
Thomas Simon (University of Lille 1)
Stochastic Analysis Seminar Series
  Abstract:In the first part of the talk, using classical h...
On Prospect Theory in a Dynamic Context
Tuesday, October 20, 2015 - 12:30
Sebastian Ebert (Tilburg University)
OMI Seminar Series
with Mathematical Institute
Abstract: We provide a result on prospect theory decision ma...
An adaptive inference algorithm for integral of one form along rough paths
Monday, October 26, 2015 - 14:15
Ni Hao (University of Oxford)
Stochastic Analysis Seminar Series
  Abstract:   We consider a controlled system, in which an...
TBC
Monday, October 26, 2015 - 15:45
Jason Peter Miller (MIT, USA)
Stochastic Analysis Seminar Series
TBC
Liouville quantum gravity as a mating of trees
Monday, October 26, 2015 - 15:45
Jason Peter Miller (MIT)
stochastic Analysis seminart
      Abstract: There is a simple way to “glue together...
Incompatible European Partners? Cultural Predispositions and Household Financial Behavior
Tuesday, October 27, 2015 - 12:30
Michael Haliassos (Goethe University Frankfurt)
OMI Seminar Series
with Said Business School
Abstract: The Eurozone fiscal crisis has created pressure fo...
Longest increasing path within the critical strip
Monday, November 2, 2015 - 14:15
Mathew Joseph (Sheffield University)
Stochastic Analysis Seminar Series
Abstract:   Consider the square $[0,n]^2$ with points from ...
Pfaffians, 1-d particle systems and random matrices
Monday, November 2, 2015 - 15:45
Roger Tribe (Warwick University)
Stochastic Analysis Seminar Series
  Abstract: Joint work with Oleg Zaboronsky (Warwick).   S...
Tightness and duality of martingale transport on the Skorokhod space
Monday, November 9, 2015 - 14:15
Tan Xiaolu (University of Paris Dauphine)
Stochastic Analysis Seminar Series
  Abstract: The martingale optimal transport aims to optim...
Gradient estimates for Brownian bridges to submanifolds
Monday, November 9, 2015 - 15:45
James Thompson (Warwick University)
Stochastic Analysis Seminar Series
  Abstract: A diffusion process on a Riemannian manifold wh...
Impact Investment
Tuesday, November 10, 2015 - 12:30
Ayako Yasuda (UC Davis)
OMI Seminar Series
with Said Business School
A class of investments called impact investment emerged duri...
Random walks and Lévy processes as rough paths
Monday, November 23, 2015 - 14:15
Ilya Chevyrev (University of Oxford)
Stochastic Analysis Seminar Series
  Abstract: We consider random walks and Lévy processes i...
Rough paths on manifolds revisited
Monday, November 23, 2015 - 15:45
Christian Litterer (University of York)
Stochastic Analysis Seminar Series
Abstract:  We consider different notions of rough paths on...
Higher order theory for renewal sequences with infinite mean.
Monday, November 30, 2015 - 14:15
Dalia Terhesiu (Exeter University/ Vienna University)
Stochastic Analysis Seminar Series
  Abstract: First order asymptotic of scalar renewal sequen...
Dynamics near criticality
Monday, November 30, 2015 - 15:45
Khalil Chouk (Bonn University)
Stochastic Analysis Seminar Series
The theory of regularity structure and the notion of paracon...
An equilibrium model of institutional demand and asset prices
Tuesday, December 1, 2015 - 12:30
Ralph Koijen (London Business School)
OMI Seminar Series
with Said Business School
Abstract: We develop an asset pricing model with rich hetero...
Understanding the behaviour of large networks
Tuesday, February 9, 2016 - 12:30
Patrick Wolfe (UCL)
OMI Seminar Series
with Mathematical Institute
In this talk – which will be accessible to a general audie...
A closed-form execution strategy to target VWAP
Tuesday, March 1, 2016 - 12:30
Alvaro Cartea (University of Oxford)
OMI Seminar Series
Information on the paper being presented can be found here.
Real Anomalies
Tuesday, March 8, 2016 - 12:30
Jules van Binsbergen (Wharton University of Pennsylvania)
OMI Seminar Series
with SBS
Joint work with Christian Opp
Mutual Fund Transaction Costs
Tuesday, April 26, 2016 - 12:30
Tarun Chordia, Professor of Finance, Goizueta Business Schoo...
OMI Seminar Series
with the Saïd Business School
We examine institutional trade data matched to a sample of m...
M&A with an entrenched Board: a global games analysis
Tuesday, May 3, 2016 - 12:30
John Thanassoulis, Professor of Financial Economics, Warwick...
OMI Seminar Series
We use global games to study sophisticated shareholders' buy...
The Globalisation of Angel Investments: Evidence across countries
Tuesday, May 10, 2016 - 12:15
Josh Lerner, Chair, Entrepreneurial Management Unit, Profess...
OMI Seminar Series
with the Saïd Business School
This paper examines investments made by 13 angel groups acro...
Dynamic Mean Variance Asset Allocation: Numerics and Backtests
Thursday, May 12, 2016 - 16:00
Peter Forsyth, Professor of Computer Science, Waterloo
OMI Seminar Series
with Joint with Mathematical Institute
Throughout the Western world, defined benefit pension plans ...
Expected inflation and other determinants of Treasury yields
Tuesday, May 24, 2016 - 12:15
Greg Duffee, Professor of Economics, Johns Hopkins
OMI Seminar Series
with the Saïd Business School
Shocks to nominal bond yields can be decomposed into news ab...
Complete-market stochastic volatility models
Tuesday, June 7, 2016 - 12:30
Mark Davis, Professor of Mathematics, Imperial
OMI Seminar Series
with the Mathematical Institute
It is an old idea that incomplete markets should be complete...
A Model of the International Monetary System
Tuesday, June 14, 2016 - 12:15
Matteo Maggiori, Assistant Professor of Economics, Harvard
OMI Seminar Series
with the Saïd Business School
We propose a simple model of the international monetary syst...