Seminars

Math-Fi seminar on 8 Nov.

2012.11.06 Tue up
  • Date: 8 Nov. (Thu) 16:30 — 18:00
  • Place: W.W. 7th-floor 
  • Speaker: Ngo Hoang Long
  • Title: Central limit theorems for Euler approximation of SDE
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Math-Fi seminar on 1 Nov.

2012.10.30 Tue up
  • Date: 1 Nov. (Thu) 
  • Place: W.W. 7th-floor 
  • Time: 15:00 — 17:30
  • Speakers:  Ciprian Tudor,  Makoto Maejima
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Math-Fi seminar on 25 Oct.

2012.10.19 Fri up
  • Date: 25 Oct. (Thu) 
  • Place: W.W. 7th-floor 
  • Time: 15:00 — 17:30
  • Speakers: Ciprian Tudor,  Emi Osuka
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Math-Fi seminar on 23 Oct.

2012.10.18 Thu up
  • Date: 23 Oct. (Tue) 
  • Place: W.W. 7th-floor 3rd lab.
  • Time: 16:30–18:00
  • Speaker: Azmi MAKHLOUF
  • Title: Estimates for the density of functionals of SDE’s with irregular drift.
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Seminar [November 2, 2012]

2012.10.11 Thu up
Seminar on Algebra
November 2, 2012 @WW6-Conference Room 16:30–17:30
Rin Sugiyama (Nagoya University)
Nondegeneracy of certain simple abelian varieties

Math-Fi seminar on 11 Oct.

2012.10.08 Mon up
  • Date: 11 Oct. (Thu) 
  • Place: W.W. 7th-floor 2nd lab.
  • Time: 16:30–18:00
  • Speaker:Syouta Mizukami (Tokyo University of Science)
  • Title: Generalized Hurwitz zeta distributions
 

Math-Fi seminar on 20 Sep.

2012.09.18 Tue up
  • Date: 20 Sep(Thu)
  • Place: W.W. 7th-floor
  • Time: 15:00 — 17:30


15:00 — 16:00 
  • Speaker: Jiao Ying
  • Title: Portfolio optimization with insider’s initial information
  • Abstract:
We consider an insider maximizing her expected utility with portfolio terminal wealth with information flow on the default of a counterparty.
We prove that if there is no limit for short-selling strategy, then the insider can achieve unbounded utility expectation.
So we propose suitable strategy constraint under which we study the optimization problem and compare the results with the case for a standard investor. This is a joint work with C. Hillairet.
 
 
16:30 — 17:30 
  • Speaker: Vlad Bally
  • Title: Integration by parts formulas and regularity of probability laws( continuation )

Math-Fi seminar on 18 Sep. , 20 Sep. , 25 Sep. , 27 Sep. and 4 Oct.

2012.08.28 Tue up
  • Date: 18 Sep. (Tue), 20 Sep. (Thu), 25 Sep. (Tue), 27 Sep. (Thu), and 4 Oct. (Thu)
  • Place: W.W. 7th-floor
  • Time : 16:30-18:00
  • Speaker: Vlad Bally (Université de Marne-la-Vallée)
  • Title: Integration by parts formulas and regularity of probability laws
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Math-Fi seminar on 13 Sep.

2012.08.28 Tue up
  • Date: 13 Sep (Thu)
  • Place: W.W. 7th-floor
  • Time: 15:00 — 17:30

 
15:00 — 16:00
  • Speaker: Freddy Delbaen
  • Title: BSDE with unbounded terminal Value, Uniqueness Problem.
  • Abstract:
We consider a BSDE with convex driver that is quadratically bounded.  If the terminal value has exponential moments higher than a critical exponent, then the solution exists and is unique.  However the uniqueness problem remains open if the exponential moment only exists up to this critical exponent.  This is joint work with Ying Hu and Adrien Richou.
 
16:30 — 17:30
  • Speaker: Eva Löcherbach
  • Title: Malliavin calculus and ergodicity of stochastic system forced by degenerate noises
  • Abstract:
We first have a fast review of Malliavin calculus, mainly on the existence and smoothness of density for degenerate SDEs. Then we briefly review strong Feller property, irreducibility, ergodicity of stochastic system and Doob’s method. Finally, we shall use Malliavin calculus to prove the ergodicity of some stochastic degenerate SDEs. 

Math-Fi seminar on 6 Sep., 11 Sep. and 13 Sep.

2012.08.28 Tue up
  • Date : 6 Sep. (Thu.), 11 Sep. (Tue) and 13 Sep. (Thu.)
  • Place: W.W. 7th-floor
  • Time : 16:30-18:00
  • Speaker: Eva Leverbach (Cergy-Pontoise University)
  • Title: Dynamic Contract and Discretionary Termination Policy under Loss  Aversion
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