## 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 KlÃ¼ppelberg (Technische UniversitÃ¤t MÃ¼nchen)

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 ...

One dimensional forest-fire models

Monday, November 14, 2011 - 14:15

Nicholas Fournier (UniversitÃ© Paris Est)

Stochastic Analysis Seminar Series

We consider the forest fire process on Z: on each site, seed...

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 seriesÂ evo...

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 (UniversitÃ© 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-UniversitÃ¤t 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 101â€¦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 Câ€™Â 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 SchrÃ¶dinger 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 investingâ€¦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

KÃ¡roly 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 willÂ 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 (UniversitÃ© 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 â€“ 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.Â 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 FontbonaÂ (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 analystsâ€™ ex...

On the dark side of the market - Identifying and analyzing hidden order placements

Monday, October 8, 2012 - 12:30

Nikolaus Hautsch (Humboldt-UniversitÃ¤t, 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)Â

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)
Â

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 SchrÃ¶dinger 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

GonÃ§alo dos Reis (TU, Berlin)

Sandwich Seminar

Following the works ofÂ 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 (UniversitÃ© 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 FÃ¶llmer 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 (UniversitÃ© 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-UniversitÃ¤t, 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, â‰¥) 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

IÂ 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 FRSÂ (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 MÃ¼nster)

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 Universityâ€™s Jones Graduate School of Bus...

OMI Seminar Series

with SBS

The seminar will describe results in three working papers: Â...

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 fundsâ€™ 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

StÃ©phane 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 LÃ©vy processes

Monday, June 3, 2013 - 14:15

Peter Tankov (Denis Diderot University, Paris)

Stochastic Analysis Seminar Series

Jump processes, and LÃ©vy 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 BSDEâ€™s and Wiener chaos expansions

Monday, June 10, 2013 - 14:15

Philippe Briand (UniversitÃ© 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, TÃ³th and Werner

Monday, October 14, 2013 - 14:15

DANIEL KIOUS

Stochastic Analysis Seminar Series

Abstract: In 2010, Erschler, TÃ³th 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 AurÃ©lien 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:
Â ''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

JosÃ© Miguel HernÃ¡ndez 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 talkÂ 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

Â
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:
Â
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:Â 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

Â
Abstract:Â
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

Â
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

Â
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

Â
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

Â
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

Â
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:Â 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:DÂ 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 Palmâ€”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

Â 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 SaÃ¯d 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)
Â

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 SaÃ¯d Business School

Â 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

Â 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)
Â

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

Â Â Â We Â 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)
Â
Â

OMI Seminar Series

with Nomura

Â
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

Â
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

Â
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)
Â

Stochastic Analysis Seminar Series

Â
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)
Â

OMI Seminar Series

with Said Business School

Â
Â
This paper explores the impact of target CEOsâ€™ retir...

The Use of Randomness in Time Series Analysis

Thursday, October 23, 2014 - 16:00

Piotr Fryzlewicz (LSE)
Â

OMI Seminar Series

with Nomura

Â
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

Â
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)
Â

Stochastic Analysis Seminar Series

Â
Abstract:Â In the ErdÃ¶s-RÃ©nyi 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

Â
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)
Â
Â...

Stochastic Analysis Seminar Series

Â
ABSTRACT: Motivated by stochastic models for order books ...

Limit theorems for ambit fields

Monday, November 10, 2014 - 15:45

MARK PODOLSKIJ (University of Heidelberg)
Â

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

Â
We will talk about the quantitative techniques that we us...

LÃ©vyâ€“Khintchine formula for Rough Paths

Monday, November 17, 2014 - 14:15

ATUL SHEKHAR (Berlin University of Technology)

Stochastic Analysis Seminar Series

Â
Abstract: Â 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

Â
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

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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

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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)
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Stochastic Analysis Seminar Series

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Abstract:
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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)
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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 MoskowitzÂ (Chicago Booth)

OMI Seminar Series

with Said Business School

Â
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)
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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)
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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)Â

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)
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Stochastic Analysis Seminar Series

Title awaited

Measuring and Predicting Human Behaviour Using Online Data

Tuesday, February 24, 2015 - 12:30

Tobias PreisÂ (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)
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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)
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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)
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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 Iâ€™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)Â

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 PapavasiliouÂ (University of Warwick)
Â

Stochastic Analysis Seminar Series

Abstract: The main goal of the talkÂ 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:Â 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 Chinaâ€™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

Â
Abstract: It has been recently shown that rough volatilit...

Computing harmonic measures for the LÃ©vy stable process

Monday, October 19, 2015 - 15:45

Thomas Simon (University of Lille 1)

Stochastic Analysis Seminar Series

Â
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

Â
Abstract:
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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

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Abstract: There is a simple way to â€œglue 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: Â 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

Â
Abstract: Joint work with Oleg Zaboronsky (Warwick).
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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

Â
Abstract:Â 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

Â
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 LÃ©vy processes as rough paths

Monday, November 23, 2015 - 14:15

Ilya Chevyrev (University of Oxford)

Stochastic Analysis Seminar Series

Â
Abstract:Â We consider random walks and LÃ©vy processes i...

Rough paths on manifolds revisited

Monday, November 23, 2015 - 15:45

Christian Litterer (University of York)

Stochastic Analysis Seminar Series

Abstract: Â 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

Â
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 â€“ 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 SaÃ¯d 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 SaÃ¯d 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 SaÃ¯d 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 SaÃ¯d Business School

We propose a simple model of the international monetary syst...

Universal feature of intraday price formation: perspectives from Deep Learning

Thursday, November 1, 2018 - 16:00

Prof. Rama Cont

Oxford-Man Institute Quantitative Finance Seminar Series

Oxford Man iInstitute welcomes Prof. Rama Cont to give the f...

Best Short

Wednesday, February 6, 2019 - 13:30

Robert Kosowski (Imperial College, London)Â

Oxford-Man Institute Quantitative Finance Seminar Series

Oxford-Man institute welcomes Prof.Â Robert Kosowski -Â Impe...

Reinforcement Learning for Algorithmic Trading: Double Deep-Q Learning and Reinforced Deep Kalman Filters

Wednesday, March 6, 2019 - 16:00

Sebastian JaimungalÂ (University of Toronto)

Oxford-Man Institute Quantitative Finance Seminar Series

Oxford-Man institute welcomes Prof. Sebastian Jaimungal - Un...

Extracting Latent States from High Frequency Option Prices

Thursday, May 9, 2019 - 16:00

GeneviÃ¨ve Gauthier (HEC MontrÃ©al)

Oxford-Man Institute Quantitative Finance Seminar Series

Oxford-Man institute welcomes GeneviÃ¨ve GauthierÂ - HEC Mon...