The opening of the Financial Mathematics Global Seminar 2021/2022Global 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)
Topic: Robo-advising modeling and methodological challenges.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
March 26, 2022 Philip Protter (Columbia University)
Topic: Dependent Stopping Times
April 2, 2022 Rene Carmona (Princeton University)
Topic: Self-financing condition, trader inventories and optimal execution in the high frequency markets
April 9, 2022 Marcel Nutz (Columbia University)
April 13, 2022 Beatrice Acciaio (ETH Zurich)
Topic: Robust market generation.
April 23, 2022 Shige Peng (Shandong University)
April 30, 2022 Francesca Biagini (Ludwig Maximilian University of Munich)
Thilo Meyer-Brandis (Ludwig Maximilian University of Munich)
May 11, 2022 Walter Schachermayer (University of Vienna)
May 18, 2022 Eckhard Platen (University of Technology Sydney)
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.
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.
If you want to join the seminar, please apply here.
Information about the past Global Seminar can be found here.
From May 17 to 27, a qualifying stage for a new joint specialization of the Vega Institute Foundation and the Faculty of Mechanics and Mathematics “Fundamental Mathematics and Mathematical Finance” will be held. The written part of the qualifying round will take place on May 23 at 18:30 (room 12-24).More
The meeting of the Foundation’s scholarship recipients was held on September 17. During the meeting, members of the Board of Directors and the Foundation’s administration offered their congratulations to the competition’s winners, and presented them with scholarships, gifts and letters from the Foundation’s Scientific Director Yuri Kabanov.More