october

The opening of the Financial Mathematics Global Seminar 2021/2022

Global Seminar is an interfaculty event of the Faculty of Mechanics and Mathematics and the Moscow School of Economics of Moscow State University, organised by the 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 2021/2022 academic year includes the talks from the world's leading experts in the field of financial mathematics. The fall semester 2021, 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:

Spring semester 2022

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

https://web.ma.utexas.edu/users/zariphop/

Topic: Robo-advising modeling and methodological challenges.

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

http://prac.im.pwr.wroc.pl/~zpalma/

Topic: Double continuation regions for American options.

February 26, 2022 Darrell Duffie (Stanford University)

https://www.darrellduffie.com/

Topic: Fragmenting Financial Markets

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

https://www.hss.caltech.edu/people/jaksa-cvitanic

Topic: Optimal Fund Menus

March 12, 2022 Ioannis Karatzas (Columbia University)

http://www.math.columbia.edu/~ik/

Topic: Portfolio theory and arbitrage

March 26, 2022 Philip Protter (Columbia University)

http://stat.columbia.edu/department-directory/name/philip-protter/

Topic: Dependent Stopping Times

April 2, 2022 Rene Carmona (Princeton University)

http://carmona.princeton.edu/

Topic: Self-financing condition, trader inventories and optimal execution in the high frequency markets

April 9, 2022 Marcel Nutz (Columbia University)

http://www.math.columbia.edu/~mnutz/

Topic: TBA

April 13, 2022 Beatrice Acciaio (ETH Zurich)

https://people.math.ethz.ch/~beacciaio/

Topic: Robust market generation.

April 23, 2022 Shige Peng (Shandong University)

http://mathfinance.sdu.edu.cn/english/People/Staff/Peng_Shige.htm

Topic: TBA

April 30, 2022 Francesca Biagini (Ludwig Maximilian University of Munich)

https://www.fm.mathematik.uni-muenchen.de/personen/professors/francesca_biagini/index.html

Thilo Meyer-Brandis (Ludwig Maximilian University of Munich)

https://www.mric.uni-muenchen.de/people/members_lmu/professors/meyer_brandis/index.html

Topic: TBA

May 11, 2022 Walter Schachermayer (University of Vienna)

https://www.mat.univie.ac.at/~schachermayer/

Topic: TBA

May 18, 2022 Eckhard Platen (University of Technology Sydney)

https://profiles.uts.edu.au/Eckhard.Platen

Topic: TBA

Fall semester 2021

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

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

https://www.maths.ox.ac.uk/people/rama.cont

October 2, 2021 Ernst Eberlein (University of Freiburg)

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

https://www.stochastik.uni-freiburg.de/emeriti/eberlein

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

Topic: Mean field game of mutual holding

http://www.cmap.polytechnique.fr/~touzi/

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

Topic: Estimation of growth in fund models.

http://stats.lse.ac.uk/kardaras/

October 23, 2021 Josef Teichman (ETH Zurich)

Topic: Gaussian processes, signatures and kernelizations.

https://people.math.ethz.ch/~jteichma/

October 30, 2021 Paolo Guasoni (Dublin City University)

Topic: Lightning network economics: channels.

https://www.guasoni.com/

November 6, 2021 Evgeny Burnaev (Skoltech)

Topic: Large-Scale Wasserstein Gradient Flows

https://faculty.skoltech.ru/people/evgenyburnaev

November 13, 2021 Masaaki Fukasawa (Osaka University)

http://www.sigmath.es.osaka-u.ac.jp/~fukasawa/

Topic: Realized cumulants for martingales.

November 20, 2021 Vasili Kolokoltsov (University of Warwick)

https://warwick.ac.uk/fac/sci/statistics/staff/academic-research/kolokoltsov/

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

November 27, 2021 Martin Schweizer (ETH Zurich)

https://people.math.ethz.ch/~mschweiz/

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

December 1, 2021 Walter Schachermayer (University of Vienna)

https://www.mat.univie.ac.at/~schachermayer/

Topic: Faking Brownian motion with continuous Markov martingales.

December 11, 2021 Thorsten Schmidt (University of Freiburg)

https://www.frias.uni-freiburg.de/en/people/fellows/current-fellows/schmidt

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

December 15, 2021 Jan Obloj (University of Oxford)

http://www.maths.ox.ac.uk/people/jan.obloj

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

December 23, 2021 Dmitry Kramkov (Carnegie Mellon University)

https://www.cmu.edu/math/people/faculty/kramkov.html

Topic: Replication under Price Impact and Martingale Representation Property.

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

Information about the past Global Seminar can be found here.

News

All news

19 october Launch of the Global Seminar in the new academic year

The Global Seminar returns from summer break and resumes for the 2023/24 academic year.

22 august Apply for the Foundation's special courses in Fall 2023

On September 11, the Fall cycle of special courses of the Vega Institute Foundation in fundamental mathematics and mathematical finance starts. Courses are held online, with free access for students of Russian universities. You can register for the course until October 9 inclusive.

13 july Applications are open to the 4th International Summer School

From July 14th to August 8th, undergraduate and graduate students are invited to apply to the 4th International Summer School in Financial Mathematics.

18 april Applications for the All-Russian Seminar "Selected Issues in Financial Mathematics" are now open

31 march The results of the additional selection to the research groups were announced

In the spring semester of 2023, twenty-three more students will join the Foundation's research groups.

17 march Application call for extra spots in Student Research Groups is open

From March 17 to March 22 students who wish to join the work of student research groups of the Vega Institute Foundation can apply for extra spots in Spring 2023.

28 february Winter scientific trip of the Foundation: a new tradition

In the period from February 24 to February 26, a scientific trip took place near Yaroslavl for the first time, timed to coincide with the reporting events of student research groups following the results of the fall semester.

15 february What is Mathematical Finance about?

On Wednesday, February 22, a new project starts as part of the Early Stream program.

18 january Enrollment for the Foundation's special courses in the spring of 2023 is open

On February 06, 2023, the spring cycle of special courses of the Vega Institute Foundation in fundamental mathematics and mathematical finance starts.

14 december Winter QUANTATON started in Sirius

On Sunday, December 11, the opening of the 2nd Chernomorskaya School of Financial Mathematics for students of Russian universities took place, it will be held in a unique quantaton format. The school was co-organized by the Vega Institute Foundation and Sirius University.

15 november Start of the Early Stream Program

On Thursday, November 17, Chief Executive Officer, Head of Quantitative research of VTB Bank, Candidate of Physical and Mathematical Sciences Kirill Klimov will open a series of review lectures for 2nd year students of the Faculty of Mechanics and Mathematics of Moscow State University.

19 october On Wednesday, October 19, the first meeting was held as part of the regular Seminar of the Department of Probability Theory of the Lomonosov Moscow State University, organized with the support of the Vega Institute Foundation.

On Wednesday, October 19, the first meeting was held as part of the regular Seminar of the Department of Probability Theory of the Lomonosov Moscow State University, organized with the support of the Vega Institute Foundation.

17 october Start of selection for the winter school in partnership with Sirius University

From October 17 to November 10 inclusive, applications are being accepted for participation in the winter school “QUANTATON 2022: 2nd Chernomorskaya School in Financial Mathematics”

15 october Student scientific groups began work in the new season

In the fall semester 2022, 5 student research groups will conduct their work under the guidance of leading experts from the scientific world and industry. 37 selected students became members of the groups. Competition in groups reached 2 people per place.<br>

29 september Global Seminar kicks off in October

On Tuesday, October 4, the new season of the "Global Seminar" project will start under the supervision of Yuri M. Kabanov, Scientific Director of the Vega Institute Foundation.

20 september Demo day of student scientific groups

On Saturday, September 24, as part of the upcoming selection campaign, a series of meetings-presentations of student research groups of the Vega Institute Foundation will be held, which are designed to help students decide on their choice of research.

29 august A film about the House in Komarovka was shown at the closing of the Summer School

On Saturday, August 27, the closing ceremony of the 3rd International Summer School in Financial Mathematics of the Vega Institute Foundation took place

26 august MathPitch as a place for the exchange of students' scientific ideas

The participants of the 3rd International Summer School in Financial Mathematics for senior students spoke about their research in the framework of the MathPitch pilot project.

21 august 3rd International Summer School started its work

On Sunday, August 21, the opening ceremony of the annual summer school in financial mathematics for senior students took place in the Kochubey training center (Pushkin, St. Petersburg). The event is held by the Vega Institute Foundation. 40 participants from 6 cities of Russia have arrived to the school.

Registration

Password changing

The new password
was sent

The opening of the Financial Mathematics Global Seminar 2021/2022

News