Mathematical Finance Seminar
Date
Time
16:15
Location:
TUB; MA042
Lino Li (The University of New South Wales)

Vulnerable European and American Options in a Market Model with Optional Hazard

We study the upper and lower bounds for prices of European and American style options with the possibility of an external termination, meaning that the contract may be terminated at some random time. Under the assumption that the underlying market model is incomplete and frictionless, we obtain duality results linking the upper price of a vulnerable European option with the price of an American option whose exercise times are constrained to times at which the external termination can happen with a non-zero probability. Similarly, the upper and lower prices for a vulnerable American option are linked to the price of an American option and a game option, respectively. In particular, the minimizer of the game option is only allowed to stop at times which the external termination may occur with a non-zero probability.

Mathematical Finance Seminar
Date
Time
17:15
Location:
TUB; MA02
Benjamin Jourdain (Ecole des Ponts ParisTech)

Convexity propagation and convex ordering of one-dimensional stochastic differential equations

We consider driftless one-dimensional stochastic differential equations. We first recall how they propagate convexity at the level of single marginals. We show that some spatial convexity of the diffusion coefficient is needed to obtain more general convexity propagation and obtain functional convexity propagation under a slight reinforcement of this necessary condition. Such conditions are not needed for directional convexity. This is a joint work with Gilles Pages.

Workshop/Conference
Date
Time
9:oo
Location:
WIAS
Denis Belomestny, Christian Bender et al

Developments in Computational Finance and Stochastic Numerics

We are delighted to extend our invitation to you for the workshop titled “Developments in Computational Finance and Stochastic Numerics," commemorating the retirement of John Schoenmakers. The workshop will be held at WIAS on July 1st, 2024.
 
John Schoenmakers' profound contributions to stochastic numerics and computational finance have significantly enriched our field. His dedication and generosity have left a lasting mark on the Weierstrass Institute, Humboldt University, and the mathematical finance and stochastics communities in Berlin and beyond.
 
Participation in the workshop is free of charge; however, we kindly request registration by April 30th, 2024. For detailed information and registration, please visit the workshop homepage at https://www.wias-berlin.de/workshops/Schoenmakers2024/.
Workshop/Conference
Date
Time
9:oo
Location:
Humboldt University, Unter den Linden 6
Rene Aid, Andreas Lange, Mete Soner, Sara Biagini et al

Risk Mitigation - Climate, Energy and Finance

This workshop brings together mathematicians and economists to discuss recent developments in the field of Risk Mitigation with a particular focus on applications to climate, energy and financial risk. The workshop is part of a conference series initiated by the Editors-in-Chief of the Springer published journal Mathematics and Financial Economics to promote the interaction between mathematics, economics and finance. Previous workshops focussed on Knightian Uncertain in Financial Markets, Mathematics of Behavioral Economics, and Many-Player Games and Applications.

The workshop will be held on September 2nd and 3rd, 2024 at the Humboldt University Berlin. It is sponsored by Springer Verlag, the Collaborative Research Center 1283(Bielefeld), the Collaborative Research Center 190 (Berlin, Munich) and the Berlin-Oxford International Research Training Group IRTG 2544. The workshop is jointly organized by the chair Applied Financial Mathematics at Humboldt University Berlin and the Center for Mathematical Economics at Bielefeld University.

Click here for the conference webpage. 

Workshop/Conference
Date
Time
9:oo
Location:
HUB, Senatssaal, Unter den Linden 6
Mete H. Soner, Sara Biagini, et al.

7th Berlin Workshop on Mathematical Finance for Young Researchers

The 7th Berlin Workshop on Mathematical Finance for Young Researchers provides a forum for PhD students, postdoctoral researchers, and young faculty members from all over the world to discuss their research in an informal atmosphere. Keynote lectures will be given by

  • Sara Biagini (Rome)
  • Luciano Campi (Milano)
  • Giorgio Ferrari (Bielefeld)
  • Mete H. Soner (Princeton)
  • Luitgard Veraart (London)

We also invite up to 20 contributed talks from young researchers. The deadline for abstract submission is May 20. Notification of acceptance will be sent by May 31. Accommodation for speakers will be arranged. 
Limited support for travel expenses may be available upon request. Here a link to the workshop webpage