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: 13.05.2019


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


Speaker Title


Bachelier Finance Society Seminar

14.15-15.00:  Rama Cont, Oxford University


15.00-15.45: Russell Gerrard, CASS Business School

Coffee Break


16.00-16.45: Alessandra Cretarola, Perugia University


Rough calculus: pathwise calculus for functionals of irregular paths


An optimal investment strategy for future pension plans





Indifference Pricing of Pure Endowments via BSDEs under Partial Information


14.15-15.00: Matteo Burzoni, ETH Zürich

15.00-15.45: Lukas Gonon, University of St. Gallen

Coffee Break

16.00-16.45: TBD

Risk measures and benchmark distributions


Random neural networks, reservoir computing and hedging by deep learning techniques