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. G. Svindland, Prof. Dr. R. Zagst

Date and Time

  • Mon 14:15 to 17:45. First date: 05.05.2014 - Last date: 14.7.2014

Venue

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

Date

Speaker Title
28.04.14

13:00 - 14:00: Elisa Alòs
(This talk will be in room B045)

On the closed-form approximation of short-time random strike options

05.05.14

 

14:15 - 15:00: Marcel Procopczuk

Break

15:15 - 16:00: Stefan Thonhauser

16:00 - 16:45: Francesca Biagini

Electricity Derivatives Pricing with Forward-Looking Information?

On optimal stochastic control problems in insurance

Mathematical models for the formation of financial bubbles

26.05.14

14:15 - 15:00: Tony Ware

15:00 - 15:45: Dimitris Politis

Break

16:15 - 17:00: Nils Detering

17:00 - 17:45: Robert Stelzer

Reliability-constrained hydropower valuation

High-dimensional autocovariance matrices, Linear Process Bootstrap and optimal linear prediction

Pricing and hedging Asian-style options in energy

Utility maximization of DC pension schemes with stochastic contributions

30.06.14

14:15 - 15:00: Marco Maggis

15:00 - 15:45: Martin Larsson

Break

16:15 - 17:00: Frank Seifried

Robust Arbitrage under Uncertainty in discrete time

Polynomial preserving diffusions and models of the term structure

Small-Cost Asymptotics for Long-Term Growth Rates with Stochastic Volatility

14.07.14

14:15 - 15:00: Eberhard Mayerhofer

The Limits of Leverage