Guests

 

 

Adrián Hinojosa Calleja
Period of visit: April 20 - May 29, 2020

Adrian is a PhD student at the Department of Mathematics and Computer Science of the University of Barcelona with Prof. Marta Sanz-Solé as mentor. His research interest are in stochastic partial differential equations with Gaussian noise, hitting probabilities, and Malliavin calculus.

Webpage

 

Prof. Dan Crisan

Period of visit: May 4-8, 2020

Dan Crisan is Professor of Mathematics at the Department of Mathematics of Imperial College London and Director of the EPSRC Centre for Doctoral Training in the Mathematics of Planet Earth http://mpecdt.org/. His long-term research interests lie broadly in Stochastic Analysis. He is a world renown expert in filtering. Dan is a member of the STORM project.

During his visit he will be holding a series of lectures in his favourite subject, filtering. 

Webpage

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Former visitors 2020

Prof. Yuliya Mishura

Period of visit: January 12-22, 2020

Yuliya Mishura is Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, of Taras Shevchenko National University of Kyiv. She is a world renown expert in mathematical statistics, probability and she is specialised in fractional Gaussian noises. She is author of a number of books and papers on the subjects. Yuliya is a member of the STORM project and she is coming back to our department for a new visit.

During her stay she will present at the event "A list bite of STORM". See here.

Webpage

 

Prof. Kostiantyn Ralchenko

Period of visit: January 12-22, 2020

Kostia is Associate Professor at Department of Probability Theory, Statistics and Actuarial Mathematics, of Taras Shevchenko National University of Kyiv. He is an expert in mathematical statistics, fractional and multifractional processes. He has authored two books on the subject. Kostia is an active collaborator in the STORM project visiting us again.

During his stay he will present at the event "A first bite of STORM". See here.

Webpage.

 

Prof. Emanuela Rosazza Gianin

Period of visit: March 8-18, 2020 - Cancelled (measures against pandemia)

Emanuela Rosazza Gianin is Professor of Mathematical Finance at University
of Milano-Bicocca, Italy. She is coming back to Oslo to visit us this year again. Emanuela's 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. During her visit she will give a seminar talk.

Webpage

 

Prof. Carlo Sgarra 

Period of visit: March 23-29, 2020 - Cancelled (measures against pandemia)

Carlo Sgarra is Associate Professor of Mathematical Finance at  Politecnico (Milano, Italy). The main subjects of his present research in mathematical finance are exotic option pricing, valuation problems in incomplete market models, in particular stochastic volatility models, models with jumps and models with transaction cost. The mathematical methods applied  are essentially related to partial differential equations and stochastic calculus. His recent projects are mainly focused on energy market models and pricing and hedging of energy commodity derivatives: parameter estimation techniques and risk premium valuation for different model classes.

During his visit he will give a talk. See here.

Website

 

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Former visitors 2019

Prof. Habib Ouerdiane

Period of visit: April 25 - May 17 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.

Seminar Lectures' abstract

Webpage

 

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.

Seminar Lecture's abstract

Webpage

 

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.

Seminar Lecture's abstract

Webpage

 

Prof. Yuliya Mishura

Period of visit: September 2-13, 2019

Yuliya Mishura is Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, of Taras Shevchenko National University of Kyiv. She is a world renown expert in mathematical statistics, probability and she is specialised in fractional Gaussian noises. She is author of a number of books and papers on the subjects. Yuliya is a member of the STORM project. 

Webpage

 

Prof. Kostiantyn Ralchenko

Period of visit: September 2-13, 2019

Kostia is Associate Professor at Department of Probability Theory, Statistics and Actuarial Mathematics, of Taras Shevchenko National University of Kyiv. He is an expert in mathematical statistics, fractional and multifractional processes. He has authored two books on the subject. Kostia is an active collaborator in the STORM project.

Webpage.

 

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.

Lectures' Abstract

Webpage

 

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.

Webpage

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. 

Webpage

Seminar and abstract of his talk can be found here.

 

José Antonio Salméron Garrido

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. 

Webpage

 

Leonardo Rydin

Visit: July 15 - December 15, 2019

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".

Webpage

Published Jan. 15, 2019 9:40 AM - Last modified Apr. 24, 2020 3:46 PM