Yuliia Mishura: Fractional Cox-Ingersoll-Ross process and its applications to financial markets

Yuliia Mishura (Taras Shevchenko National University of Kiev) gives a lecture with the title: Fractional Cox-Ingersoll-Ross process and its applications to financial markets.

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Time and place: June 6, 2018 9:15 AM - 4:30 PM,

A seminar in the honour of Erik Bølviken at his 70’th birthday.

Time and place: May 30, 2018 11:00 AM - 11:30 AM,

Kostiantyn Ralchenko (Taras Shevchenko National University of Kyiv) gives a lecture with the title: Maximum likelihood estimation for drift parameter of Gaussian process.

Time and place: May 30, 2018 10:30 AM - 11:00 AM,

Yuliia Mishura (Taras Shevchenko National University of Kyiv) gives a lecture with the title: Fractional Cox-Ingersoll-Ross process and its applications to financial markets.

Time and place: Mar. 6, 2018 8:45 AM - 9:15 AM, Gates of Eden

Emanuela Rosazza (University of Milano Bicocca)  gives a lecture with a title: Time-consistency of risk measures: how strong is such a property?

Time and place: Mar. 6, 2018 8:30 AM - 5:30 PM, Gates of Eden

Stochastic Analysis PhD students and Post Docs will be sharing their current projects. Professors and Supervisors are all invited to attend the event.

Time and place: Mar. 2, 2018 10:00 AM - 11:30 AM, Ullevål Stadion: Desolation Row

Shiqi Song (University of Evry Val d'Esssone, France) will give a minicourse with the title: Topics on defaultable market and on default valuation

Time and place: Mar. 1, 2018 10:15 AM - 11:00 AM, Gates of Eden
Shiqi Song (University Evry Val Essonne) gives the lecture with a title: Multi-dimensional BSDEs whose terminal values are bounded and have bounded Malliavin derivatives
Time and place: Mar. 1, 2018 9:30 AM - 10:15 AM, Ullevål Stadion: Gates of Eden

Shiqi Song (University of Evry Val d'Esssone, France) will give a minicourse with the title: Topics on defaultable market and on default valuation

Time and place: Feb. 28, 2018 9:30 AM - 11:00 AM, Ullevål Stadion: End of the Line

Shiqi Song (University of Evry Val d'Esssone, France) will give a minicourse with the title: Topics on defaultable market and on default valuation

Time and place: Feb. 27, 2018 9:30 AM - 11:00 AM, Ullevål Stadion: Hurricane

Shiqi Song (University of Evry Val d'Esssone, France) will give a minicourse with the title: Topics on defaultable market and on default valuation

Time and place: Nov. 8, 2017 12:00 PM - Nov. 9, 2017 1:00 PM,

Welcome to the second FINEWSTOCH Networkshop. The workshop will bring together leading researchers in stochastics and probability theory to discuss recent developments with a particular focus on finance, insurance, energy and weather.

Time and place: Oct. 11, 2017 1:15 PM - 2:00 PM,

Eric Schaanning (Norges Bank) gives a lecture with the title: Interbank contagion and systemic risk: How robust are estimates?

Time and place: Sep. 6, 2017 1:15 PM - 2:00 PM, Meeting room End of the Line, Ullevål stadion (Sognsveien 77 B, second floor)

Nils Detering (University of California, Santa Barbara) gives a lecture with the title: Managing Default Contagion in Inhomogeneous Financial Networks

Time and place: June 9, 2017 9:15 AM - 1:00 PM,

Andrey Pilipenko (Institute of Mathematics of Ukrainian National Academy of Sciences) gives a minicourse with the title: Reflected Stochastic Differential Equations.

Time and place: June 8, 2017 2:15 PM - 4:00 PM,

Andrey Pilipenko (Institute of Mathematics of Ukrainian National Academy of Sciences) gives a minicourse with the title: Reflected Stochastic Differential Equations.

Time and place: June 7, 2017 2:15 PM - 4:00 PM,

Andrey Pilipenko (Institute of Mathematics of Ukrainian National Academy of Sciences) gives a minicourse with the title: Reflected Stochastic Differential Equations.

Time and place: June 7, 2017 1:15 PM - 2:00 PM,

Yaozhong Hu (University of Kansas) gives a lecture with the title: Feynman-Kac formula for the stochastic heat equation driven by fractional noise in time with $H\in (0,1/2)$.

Time and place: May 31, 2017 1:15 PM - 3:00 PM,

Yaozhong Hu (University of Kansas) gives a minicourse with the title: Some aspects of stochastic heat equations.

Time and place: May 29, 2017 1:15 PM - 3:00 PM,

Yaozhong Hu (University of Kansas) gives a minicourse with the title: Some aspects of stochastic heat equations.

Time and place: Apr. 27, 2017 1:15 PM - 2:00 PM,

Lluís Quer-Sardanyons (Universitat Autònoma de Barcelona) gives a lecture with the title: The Hyperbolic Anderson Model with rough noise in space

Time and place: Apr. 24, 2017 1:15 PM - 2:00 PM,

Achref Bachouch (Universitetet i Oslo) gives a lecture with the title: Numerical probabilistic method for Semi-linear Stochastic PDEs using Backward Doubly SDEs.

Time and place: Apr. 3, 2017 2:15 PM - 3:00 PM,

Nacira Agram (University of Oslo) gives a lecture with the title: A Hida-Malliavin white noise calculus approach to optimal control

Time and place: Apr. 3, 2017 1:15 PM - 2:00 PM,

Roxana Dumitrescu (King’s College, London) gives a lecture with the title: Game options in an imperfect market with default

Time and place: Mar. 27, 2017 1:15 PM - 2:00 PM,

Paul Krühner (TU Wien) gives a lecture with the title: On the Brownian limit order book dynamics

Time and place: Mar. 21, 2017 2:15 PM - 3:00 PM,

Jocelyne Bion-Nadal (Ecole Polytechnique) gives a lecture with the title: Feynman Kac formula for differential operators with path-dependent coefficients

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