1 |
Tomas Björk: An introduction to interest rate theory
David Heath: Risk Measures |

2 |
Rama Cont: Calibration of option pricing models: theory and algorithms
Marek Rutkowski: Credit Risk: Modelling, Valuation and Hedging |

3 |
Hélyette Geman: Stochastic Time Changes, Lévy Processes and Option Pricing
Paul Glasserman: Monte Carlo Methods in Risk Management |

4 |
Nizar Touzi: Hedging under constraints by face lifting and optimal stopping
Hanspeter Schmidli: On the Interplay between Insurance and Finance |

5 |
Paul Embrechts: Quantitative Risk Management: Concepts, Techniques and Tools
Hans Föllmer: Probabilistic Aspects of Financial Uncertainty |

6 |
René Carmona: Monte Carlo Methods for Financial Instruments with American Exercises
Thaleia Zariphopoulou: Portfolio Choice: Theoretical Foundations, Practice and New Directions |

7 |
Ernst Eberlein: Lévy driven financial models
Ragnar Norberg: Managing risk in life insurance and pensions |

8 |
Jérôme Detemple: Dynamic asset allocation
Georg Pflug: Risk functionals for multi-period decision problems |

9 |
Peter Forsyth: Numerical methods for Hamilton-Jacobi-Bellman equations in Finance
Alexander Schied: Market impact models and optimal execution |

10 |
Rüdiger Kiesel: Modelling Energy Markets
Bernt Øksendal: Malliavin calculus for Lévy processes and applications to finance |

11 |
Tom Hurd: Introduction to financial networks and systemic risk
Alexander Lipton: Applications of classical mathematical methods in finance |

12 |
Mike Giles: Adjoint methods for option pricing, Greeks and calibration using PDEs and SDEs
Xunyu Zhou: Mathematical behavioural finance |

13 |
Pierre Henry-Labordère: Martingale optimal transport: a nice ride in Finance
Eckhard Platen: A benchmark approach to investing, pricing and hedging |

14 |
Damiano Brigo: Nonlinear valuation under credit gap risk, collateral initial and variation margins, funding costs and multiple curves
Ludger Rüschendorf: Dependence, risk bounds, optimal allocations and portfolios |

15 |
Dirk Becherer: Model uncertainty and market impact
Fred Espen Benth: Analysis of futures price models in commodity and energy markets |

16 |
Damir Filipović: Polynomial models in finance
Jan Kallsen: Portfolio choice, pricing, and hedging under small frictions |

17 |
Emmanuel Gobet: Nested extreme risks in finance: regression Monte-Carlo, MCMC, stochastic algorithms
Sebastian Jaimungal: Algorithmic and high-frequency trading |

18 |
Jim Gatheral: Rough volatility
Paolo Guasoni: Long term investments |

19 |
Peter Bank: Dealing with market frictions: some challenges for stochastic analysis and optimal control
Bruno Bouchard: Hedging in market models with linear price impact |

online
Winter Seminar |
No mini courses |

20 |
Jan Obłój: Optimal transport methods in Mathematical Finance
Gilles Pagès: Functional convex ordering of stochastic processes : a constructive approach with applications to finance |

20 |
Carole Bernard: Robust risk management
Christa Cuchiero: Signature methods in finance |

1 |
Stewart Hodges: No Good Deal Bounds
Antoon Pelsser: Mathematical Foundation of Convexity Correction Chris Rogers: Monte Carlo Valuation of American Options |

2 |
Damiano Brigo: Volatility-Smile Modeling with Density-Mixture Stochastic Differential Equations
Dilip Madan: Purely Discontinuous Processes in Asset Pricing Jan Kallsen: Risk Management Based on Stochastic Volatility |

3 |
Rüdiger Frey: On Dynamic Models for Portfolio Credit Risk and Credit Contagion
Wolfgang Runggaldier: Estimation via stochastic filtering in financial market models Uwe Wystup: FX exotics and the relevance of computational methods in their pricing and risk management |

4 |
Damir Filipovic: Risk-based solvency testing for insurers
Marco Frittelli: On utility maximization in incomplete markets Farshid Jamshidian: Numeraire-invariant option pricing & american, bermudan, and trigger stream rollover |

5 |
Lane Hughston: Information-based approach to credit risk modelling
Monique Jeanblanc: Pricing And Trading Credit Default Swaps Fabio Mercurio: Pricing Inflation-Indexed Options with Stochastic Volatility |

6 |
Thomas Mikosch: Extremes of financial time series
John Schoenmakers: Policy iteration for American/Bermudan style derivatives Albert Shiryaev: On the duality principle in option pricing for semimartingale models |

7 |
Andreas Kyprianou: Scale functions and spectrally negative Lévy processes
Uwe Schmock: Risk aggregation, numerical stability and a variation of Panjer's recursion Michèle Vanmaele: Comonotonicity applied in finance |

8 |
Piotr Karasinski: Mindless fitting?
Damien Lamberton: Some option pricing problems in exponential Lévy models Martin Schweizer: New insights into exponential utility indifference valuation |

9 |
Pauline Barrieu: Robust asset allocation under model uncertainty
Mark Davis: Risk-sensitive asset management with jump-diffusion price processes Peter Tankov: Discrete hedging in exponential Lévy models |

10 |
Hansjoerg Albrecher: Solvency modelling with dependent risks
Gilles Pagès: Dual quantization methods and application to Finance Johan Tysk: Boundary behaviour of densities for non-negative diffusions |

11 |
Elyès Jouini: Financial markets equilibrium with heterogeneous agents (cancelled)
Yuri Kabanov: On local martingale deflators and market portfolios Josef Teichmann: Finite dimensional realizations for the CNKK-volatility surface model |

12 |
Pierre Collin-Dufresne: Insider trading, stochastic liquidity and equilibrium prices
Karel in 't Hout: Alternating direction implicit schemes for multi-dimensional PDEs in finance Ronnie Sircar: Portfolio optimization & stochastic volatility asymptotics |

13 |
Jesper Andreasen: Model independent Greeks
David Hobson: Gambling in contests Agnès Sulem: Reflected BSDEs and robust optimal stopping for dynamic risk measures with jumps |

14 |
Christian Bender: Primal-dual Monte-Carlo methods for nonlinear pricing problems
Freddy Delbaen: Monetary utility functions with the CxLS (convex level sets) property Matheus Grasselli: A stock-flow consistent macroeconomic model for asset price bubbles |

15 |
Nicole Bäuerle: Markov decision processes with applications to finance
Sara Biagini: Robust portfolio selection Thorsten Schmidt: Dynamic term structure theory (cancelled) |

16 |
Erhan Bayraktar: No-arbitrage and hedging with liquid American options
Thorsten Schmidt: A new perspective on multiple curve models Wim Schoutens: Applied conic finance |

17 |
Beatrice Acciaio: Non-anticipative optimal transport: a powerful tool in stochastic optimization
Giulia Di Nunno: Fully dynamic risk-indifference pricing and no-good-deal bounds Martino Grasselli: Quantization meets fourier: a new technology for pricing options |

18 |
Jean-Philippe Bouchaud: Market impact: a review
Stéphane Crépey: When capital is a funding source: the XVA anticipated BSDEs Roger Lord: Optimal contours and controls in semi-analytical option pricing revisited |

19 |
René Aïd: Optimal electricity demand response contracting with responsiveness incentives
Martin Keller-Ressel: Total positivity and the shape of the yield curve Vladimir Piterbarg: The classical optimal investment problem: modern models and deep learning |

online |
Christa Cuchiero: Signature SDEs as affine and polynomial processes
Blanka Horvath: Data-driven market simulators and some simple applications of signature kernel methods in mathematical finance Jan Obłój: Sensitivity analysis for Wasserstein Distributionally Robust Optimization and its applications Gilles Pagès: Functional convex ordering of stochastic processes : a constructive approach Mitja Stadje: Hedging and optimal portfolio choice under endogenous permanent market impacts |

20 |
José Manuel Corcuera: Path-dependent Kyle equilibrium mod
Christoph Reisinger: Risk management of options books with arbitrage-free neural-SDE market models Luitgard Veraart: Systemic Risk in Markets with Multiple Central Counterparties |

21 |
Griselda Deelstra: Some topics related to stochastic mortality and/or interest rates in the valuation of life insurance products
Claudio Fontana: Term structure modelling beyond stochastic continuity Antonis Papapantoleon: Model-free and data driven methods in mathematical finance |

1 |
Joost Driessen: The Cross-Firm Behaviour of Credit Spread Term Structures
Jiri Hoogland: Symmetries in Jump-Diffusion Models with Applications in Option Pricing and Credit Risk Jeroen Kerkhof: A Quantitative Assessment of Model Risk Pieter Klaassen: Loan maturity, economic cycles and bank insolvency risk Martijn Pistorius: Option pricing under a phase type model Michel Vellekoop: Pricing Methods for Defaultable Assets |

2 |
Steffan Berridge: An irregular grid method for pricing high-dimensional American options
Dominique Dupont: Hedging barrier options: current methods and alternatives André Lucas: Extreme tails for linear portfolio credit risk models Berend Roorda: Dynamic aspects of coherent acceptability measures |

3 |
Remco Peters: Structural Breaks in the Time Change of the S&P 500 index
Antoine van der Ploeg: A State Space Approach to the Estimation of Multi-Factor Affine Stochastic Volatility Option Pricing Models Raoul Pietersz: Projection Iteration Calibration of the Libor BGM Model Alessandro Sbuelz: Equilibrium Asset Pricing with Time-Varying Pessimism |

4 |
Bart Oldenkamp: The practice of financial theory
Sophie Ladoucette: Reinsurance of large claims David Schrager: Affine Stochastic Mortality Alex Zilber: FX barriers with smile dynamics |

5 |
Otto van Hemert: Dynamic portfolio and mortgage choice for homeowners
Ralph Koijen: Labor Income and the Demand for Long-Term Bonds Roger Laeven: On the tail probability for discounted sums of heavy-tailed losses Roger Lord: Pricing baskets, Asians and swaptions within general models |

6 |
Jasper Anderluh: Double Sided Parisian Options
Vera Minina: The Cost of Risk in Option Hedging Budhi Arta Surya: On Endogeneous Default Under Lévy Processes Martijn van der Voort: An Implied Loss Model |

7 |
Svetlana Borovkova: Modeling commodity forward curves
An Chen: Approximation solutions for indifference pricing under general utility functions Marcel Visser: Measuring volatility Andreas Würth: Equivalence of the minimax martingale measure |

8 |
Jiajia Cui: Longevity risk pricing
Xinzheng Huang: Generalized beta regression models for random loss-given-default Coen Leentvaar: Multi-asset option pricing using a parallel Fourier-based technique Denitsa Stefanova: Dynamic correlation hedging in copula models for portfolio selection |

9 |
Dion Bongaerts: Corporate bond liquidity and the credit spread puzzle
Alexander van Haastrecht: Valuation of guaranteed annuity options using a stochastic volatility model for equity prices Vincent Leijdekker: Sample-path large deviations in credit risk Mitja Stadje: Extending time-consistent risk measures from discrete time to continuous time: a convergence approach |

10 |
Ove Göttsche: Option pricing and the cost of risk
Michiel Janssen: Portfolio optimisation with a value at risk constraint in the presence of unhedgeable risks Roel Mehlkopf: Intergenerational risk sharing and long-run labor income risk Enno Veerman: The affine transform formula for affine jump-diffusions with a general closed convex state space |

11 |
Paul Gruntjes: Modeling dynamic default correlation in a Lévy world with applications to CDO pricing
Verena Hagspiel: Optimal investment strategies for product-flexible and dedicated production systems under demand uncertainty Kolja Loebnitz: Liquidity risk meets economic capital and RAROC Bowen Zhang: An efficient pricing method for Asian options based on Fourier cosine expansions |

12 |
Lech Grzelak: An equity-interest rate hybrid model with stochastic volatility and the interest rate smile
Alexander de Roode: Determinants of expected inflation in affine term structure models Marjon Ruijter: 2D-COS Method for Pricing Financial Options Kim Volders: Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition |

13 |
Servaas van Bilsen: Optimal consumption and investment during retirement
Zhenzhen Fan: Contagion asymmetry and the equity foreign and home biases Jan de Kort: Optimal investment under uncertain lifetime with stochastic mortality and stochastic interest rates Yanbin Shen: Algorithmic counterparty credit exposure for multi-asset bermudan options |

14 |
Kees de Graaf: Efficient computation of CVA sensitivities in the finite difference Monte-Carlo method for portfolios of FX-options
Shashi Jain: The Stochastic Grid Bundling Method: Application to exposure calculations Andrei Lalu: Asset returns with self-exciting jumps: option pricing and time-varying jump risk premia Daniël Linders: Basket option pricing and implied correlation in a Lévy copula model |

15 |
Hailong Bao: Multi-period risk sharing under financial fairness
Tim Boonen: Pareto optima and competitive equilibria in markets with expected and dual utility Fei Cong: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation Asma Khedher: Model risk and robustness of quadratic hedging strategies |

16 |
Anne Balter: Sets of indistinguishable models for robust optimisation
Qian Feng: Efficient computation of exposure profiles under real-world and risk-neutral scenarios for Bermudan swaptions Rutger-Jan Lange: A new approach to filtering for non-linear state space models Anton van der Stoep: A novel Monte Carlo approach to hybrid local volatility models |

17 |
Ki Wai Chau: Stochastic grid bundling method for backward stochastic differential equations
Andrea Fontanari: Urn modelling of joint mortality and its impact on annuity contracts Jitze Hooijsma: Long or short: how to optimally invest in variance swaps? Rob Sperna Weiland: Feedback between credit and liquidity risk in the US corporate bond market |

18 |
Misha van Beek: Conditional scenario generation
Anastasia Borovykh: Pricing Bermudan options under local Lévy models with default Shuaiqiang Liu: Pricing options and computing implied volatilities using artificial neural networks Rogier Quaedvlieg: Realized semicovariances: looking for signs of direction inside the covariance matrix |

19 |
Arnoud den Boer: Dynamic pricing and learning
Guusje Delsing: Capital reserve management for a multi-dimensional risk model Lingwei Kong: Hansen-Jagannathan distance in the presence of weak (proxy) factors Sofie Reyners: Machine learning for derivative pricing: Gaussian processes vs. gradient boosting |

online |
Ioannis Anagnostou: Financial market community detection and an application to portfolio risk modelling
Thijs Kamma: Dual formulation of the optimal consumption problem with ratio habit formation Sven Karbach: An affine stochastic volatility model in Hilbert spaces with state-dependent jumps Ioana Neamțu: Risk-taking and uncertainty: do contingent convertible (CoCo) bonds increase the risk appetite of banks? Anna Sulima: Completeness, arbitrage and optimal portfolio strategy in an Itô-Markov additive market |

20 |
Mike Derksen: Stochastic price formation in call auctions
Jian He: A Bayesian filter based dimension reduction approach for the pricing grid Matteo Michielon: Implied risk-neutral default probabilities via conic finance Stan Olijslagers: Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin preferences |

20 |
Jori Hoencamp: A static replication approach for callable interest rate derivatives: Efficient estimation of forward prices and SIMM-MVA
Thomas van der Zwaard: Valuation Adjustments with an Affine-Diffusion-based Interest Rate Smile Evgenii Vladimirov: Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. |

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