Sep
5
Acceptability Indices via g-Expectation
Markov Copula Description Tao Chen Title: Acceptability Indices via g-Expectation Mr. Tao Chen will continue presenting what he started this week. Mariusz Neieweglowski Title: Markov Copula Dr...
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Apr
25
Markov Copulae and applications in finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Apr
24
Tsallis Statistics - A New Paradigm In Statistical Mechanics With Applications in Finance
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Apr
16
Two-Level Simulations for Risk Measurement
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Apr
11
About a class of doubly reflected BSDES
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Apr
4
Risk Measures and Nonlinear Expectations
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Mar
28
Old results and new tools for credit risk: A dynamic copula approach
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning Stochastic & Multiscale Modeling and Computation
Feb
26
Financial data and the hidden semimartingale model
Event Topic Mathematical Finance, Stochastic Analysis, and Machine Learning
Oct
23
Consistent Calibration of CDO Tranches with the Generalized-PoissonLoss dynamical model
Speaker Damiano Brigo Banca IMI and Bocconi University http://www.damianobrigo.it Description We consider a dynamical model for the loss distribution of a pool of names. The model is based on the...
Sep
19
Stochastic Analysis in Infinitely Dimensional Spaces and quasi-invariance of Wiener measures
Description We will use the quasi-invariance problem of Wiener measures as an example to explain the special difficulties of analysis in infinite dimensional spaces that are not present in finite...