Workgroup Financial Mathematics
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Oberseminar Finanz- und Versicherungsmathematik

Organized by: Prof. Dr. F. Biagini, Prof. Dr. C. Czado, Prof. Dr. K. Glau, Prof. Dr. C. Klüppelberg, Prof. Dr. T. Meyer-Brandis, Prof. Dr. M. Scherer, Prof. Dr. R. Zagst

Date and Time

  • Mon 14:15 to 17:45. First date: 02.05.2016 - Last date: 11.7.2016

Venue

  • The venue is at LMU Mathematics Institute, Theresienstraße 39-B (Room B 349)
    (how to find us).

Date

Speaker Title
02.05.16 14:15 - 15:00: Frank Riedel

 

 

15:00 - 15:45: Dirk Becherer

Break

16:00 - 16:45: Christoph Czichowski

Incompleteness of Financial Markets under Knightian Uncertainty - the Non-Implementability of Arrow-Debreu Equilibria under Volatility Uncertainty

Stochastic Illiquidity: Optimal liquidation if resilience of price impact stochastic

Portfolio Optimisation, Transaction Costs, Shadow Prices and Fractional Brownian Motion
06.06.16

17:00 - 17:45: Steven Kou

Asset Pricing with Spatial Interaction
11.07.16