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The opening of the Financial Mathematics Global Seminar 2020/2021

Global Seminar is an intro-faculty event of the Faculty of Mechanics and Mathematics and the Moscow School of Economics of Moscow State University, organised be Vega Institute Foundation. It is headed by Professor Yuri Kabanov from the Department of Probability Theory of Moscow State University.

The program of the Global Seminar for the Fall semester 2020/2021 includes the talks from the world's leading experts in the field of financial mathematics. This semester, the seminar was opened on September 25th. Professor Rama Cont from University of Oxford, editor-in-chief of the "Mathematical Finance" journal, became the first speaker. 

The list of sessions of the Global Seminar:

September 25, 2021 Rama Cont (Mathematical Institute, University of Oxford)

Topic: Liqudity and volatility in electronic markets: a stochastic journey across time scales.

October 2, 2021 Ernst Eberlein (University of Freiburg)

Topic: Fourier based methods for the management of complex life insurance products.

October 9, 2021  Nizar Touzi (Ecole Politechique, Paris)

Topic: Mean field game of mutual holding

October 16, 2021 Kostas Kardaras (London School of Economics)

Topic: Estimation of growth in fund models.

October 23, 2021 Josef Teichman (ETH Zurich)

Topic: Gaussian processes, signatures and kernelizations.

October 30, 2021 Paolo Guasoni (Dublin City University)

Topic: Lightning network economics: channels.

November 6, 2021 Evgeny Burnaev (Skoltech)

Topic: Large-Scale Wasserstein Gradient Flows

November 13, 2021 Masaaki Fukasawa (Osaka University)

Topic: Realized cumulants for martingales.

November 20, 2021 Vasili Kolokoltsov (University of Warwick)

Topic: Inspection — corruption game of illegal logging and other violations: generalized evolutionary approach.

November 27, 2021  Martin Schweizer  (ETH Zurich) 

Topic: What is absence of arbitrage in a general setting?

December 1, 2021 Walter Schachermayer (University of Vienna)

Topic: Faking Brownian motion with continuous Markov martingales.

December 11, 2021 Thorsten Schmidt (University of Freiburg)

Topic: The future of insurance? Taming the stock market in insurance products.

December 15, 2021 Jan Obloj (University of Oxford)

Topic: Sensitivity analysis for Wasserstein Distributionally Robust Optimization and its applications.

December 23, 2021 Dmitry Kramkov (Carnegie Mellon University)

Topic: Replication under Price Impact and Martingale Representation Property.

February 12, 2022  Thaleia Zariphopoulou (The University of Texas at Austin)

Topic: TBA

February 19, 2022  Zbigniew Palmowski (Wroclaw University of Science and Technology)

Topic: Double continuation regions for American options.

February 26, 2022  Darrell Duffie (Stanford University)

Topic: Fragmenting Financial Markets

March 5, 2022    Jaksa Cvitanic (California Institute of Technology) 

Topic: Optimal Fund Menus

March 12, 2022    Ioannis Karatzas (Columbia University)

Topic: Portfolio theory and arbitrage

If you want to join the seminar, please apply here. 

Information about the past Global Seminar can be found here.