Prof. Christa Cuchiero
Visit on November 18, 2019
Christa Cuchiero is professor at Vienna University of Economics and Business, Institute of Statistics and Mathematics. She has broad interest within probability, stochastic analysis and mathematical finance. Her research activity has touched fundamental questions within affine and polynomial processes on different state spaces in finite and infinite dimensions, Volterra processes, measure valued processes, McKean-Vlasov SDEs, interacting particle systems, mean field games. She is dealing both with the most theoretical aspect, but also effective applications. Her methods include functional analytic approach, statistics of stochastic processes, statistics with high-frequency data, covariance estimation, robust model calibration. The most recent applications of her work are in rough volatility modelling.
Seminar and abstract of her talk can be found here.
Prof. Paul Ehling
Visit on October 24, 2019
Paul Ehling is a Professor of Finance and founding director of the Centre for Asset Pricing Research at BI Norwegian Business School. Paul's research interests currently include asset pricing with heterogeneous investors, learning in financial markets, asset pricing and portfolio choice with capital gains taxes, and corporate risk management.
Seminar and abstract of his talk can be found here.
José Antonio Salméron Garrido
Expected visit: August 2019 - November 2019
Josè is currently studying the doctorate program in Mathematical Engineering at the Statistics Department of Carlos III University of Madrid. His advisor is Professor Bernardo d'Auria and their main topics are Stochastic Processes, Enlargement of Filtration, Insider Trading and Change of Probabilities.
Expected visit: July 15th 2019 - January 15th 2020
Leonardo is a PhD student at the University of Cologne, Germany, under the supervision of J.-Prof. Dr. Witthaut in the Institute for Theoretical Physics and the Research Centre Jülich. He is working in the modelling of different aspects of renewable energy. Leonardo is visiting our department and section for a semester under the E.ON Stipendienfonds German-Norwegian Scholarship Programme in "Energy Sciences".
Former visitors 2019
Prof. Habib Ouerdiane
Period of visit: April 25th - May 17th 2019
Habib Ouerdiane is is professor in stochastic analysis and director of the Laboratoire d'Analyse Stochastique et Applications at the Faculty of Sciences, University of Tunis El Manar. Among the many activities, Habib has promoted and organized a a regular series of conference held in Hammamet in October that have become a fix appointment for those interested in the interplay of probability and analysis methods.
Habib is visiting our department and holding a series of lectures on Stochastics and Infinite Dimensional Analysis.
Prof. Emanuela Rosazza Gianin
Period of visit: May 3-18, 2019
Emanuela Rosazza Gianin is Professor of Mathematical Finance at University
of Milano-Bicocca, Italy. Her research focuses on risk measures, BSDEs, option pricing and insurance premia. Emanuela is among the promoters and organizers of the deFinetti Risk Seminar series, involving different universities and institutes in Milano.
Dr. Asma Khedher
Period of visit: June 3-7, 2019
Asma Khedher obtained a PhD in stochastic analysis and Financial Mathematics from the University of Oslo in 2011. She joined the University of Amsterdam as an assistant professor since 2015. Her research focuses on the pricing and hedging of options in financial and energy markets. Important tools are the Malliavin method, Fourier techniques, backward SDEs and affine processes.
Prof. Carlo Sala
Period of visit: October 7-14, 2019
Carlo Sala is an assistant professor of Finance in the Department of Economics, Finance and Accounting at ESADE Business School. Carlo holds a Ph.D. in Finance from the Swiss Finance Institute (SFI) obtained at the University of Lugano, Switzerland.
He has been visiting research at the University of Oxford (UK), the University of Milano Bicocca (Italy) and Aalto Business School (Finland).
His research and publications focuses on option and asset pricing, risk management, econometrics and mathematical finance.
Carlo teaches Derivatives, Advanced Derivatives and Asset pricing at the graduate and undergraduate level and Fintech for executives.
As a private consultant Carlo worked in the risk management sector. Among the other, Carlo has designed and built an ad-hoc risk model for the Milan branch of the international fund CO.MO.I. Previously Carlo has worked as a consultant for the financial markets in Accenture, and as a pricing analyst for the gas and power market.