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02
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.