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: 08.05.2017


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


Speaker Title
08.05.17 14.15-15.00: Aditi Dandapani

15.00-15.45: Philipp Harms

Coffee Break

16.00-16.50: Giorgia Riveccio (Parthenope University)


16.50-17.35: Jeannette Woerner

Martingales and strict local martingales

Markovian representations of fractional Brownian motion and
some applications in mathematical finance


Copula quantile regression for analysis of multiple time series

Inference for the driving Lévy process of continuous-time moving average processes


16:30 - 17:15 Sascha Desmettre (KIT)

Generalized Pareto processes and liquidity


14:15 - 15:00: Stefan Weber (Hannover)

15:00 - 15:45: Nacira agram (Uni Oslo)

Models and Measures of Systemic Risk


Model Uncertainty Stochastic Mean-Field Control