ETH Zürich - D-MATH - SFG (Stochastic Finance Group) - HOME - update on 2022-12-29

Talks

• Bachelier Colloquium 2024, Métabief (France), 15.-19.1.2024, Real analyticity in signature theory and mathematical finance.
• RIMS Stochastic Analysis, Kyoto (Japan), 6.-9.11.23, Ergodic robust maximization of asymptotic growth under stochastic factors.
• Stochastics in Mathematical Finance and Physics, Hammamet (Tunisia), 16.-20.10.23, Real Analyticity and Signature Transforms.
• New Challenges in the Interplay between Finance and Insurance, Oberwolfach (Germany), 1.-6.10.23, Ergodic robust maximization of asymptotic growth with stochastic factor processes.
• One World Seminar Bachelier Finance Society, online, 28.09.2023, Robust Optimal Growth from an analytical and learning perspective.
• Stochastics around Finance, Kanazawa (Japan), 28.-30.8.23, An Affine Perspective on Signature SDEs.
• ICIAM, Tokyo (Japan), 20.-25.8.23, A real analytic view on signatures.
• 7th International Conference Mathematics in Finance 2023, Kruger Park (RSA), 24.-28.7.23, Ergodic robust optimal asymptotic growth under stochastic factors.
• Oxford-ETH Workshop, Oxford (UK), 26.-27.6.23, Invariant Theory on path space.
• Ellis Theory Workshop, Tuebingen (Germany), 20.-22.06.2023, Signature SDEs from an affine and polynomial perspective.
• SIAM Conference on Financial Mathematics and Engineering (FM23), Philadelphia (USA), 6.-9.6.23, A Gaussian Process Point of View on Signature Kernels and Their Regularization Properties.
• QFW 2023, Gaeta (Italy), 20.-22.4.23, Ergodic robust maximization of asymptotic growth under stochastic volatility.
• Workshop on New Trends in Machine Learning for Finance, Imperial College London (UK), 30.03.2023, (Learning) Strategies for ergodic robust optimal asymptotic growth under stochastic volatility.
• FPWZ Seminar, Lindauer Huette (Austria), 27.2.-2.3.23, A functional analytic perspective on POMDP.
• Bachelier Colloquium 2023, Métabief (France), 16.-20.1.2023, Ergodic robust maximization of asymptotic growth under stochastic volatility.
• ICSDS, Florence, Italy, 13.-16.12.2022, Optimal Estimation of Generic Dynamics by Path-Dependent Neural Jump ODEs.
• NTU College of Science Seminar, Singapore, 17.11.2022, Robust Optimal Growth.
• Seminaire Bachelier at Institut Henri Poincare, Paris (France), 21.10.2022, Robust Optimal Growth.
• Conference in Memory of Tomas Bjoerk at Swedish House of Finance, Stockholm, 10.-11.10.2022, Geometry of Interest Rates.
• Third Symposium on Machine Learning and Dynamical Systems at Fields Institute, Toronto (Canada), 26.-30.9.2022, A Representation Theoretic View on Signature Transforms.
• Stochastic Control and Quantitative Finance at Mount Scopus, Jerusalem (Israel), 12.-14.9.2022, How to learn constraint dynamics: an example from volatility surface modeling.
• Stochastic and Rough Analysis, Berlin (Germany), 22.-26.8.2022, Optimal estimation of generic dynamics by path-dependent neural jump ODEs.
• Meeting SMF AMS Grenoble, Grenoble (France), 18.-22.7.2022, Optimal Stopping via randomized neural networks.
• LMU Workshop (Prof. Lukas Gonon), Munich, 22.-23.6.2022, Randomized Signatures: properties, proofs and applications.
• Seminar Alpen Adria Universitaet Klagenfurt, Klagenfurt, 10.6.2022, Machine Learning in Finance via Randomization.
• SIAM Annual Conference, Pittsburgh (hybrid), 11.-15.6.2022, Randomized Signatures: properties, proofs and applications.
• 11th world congress of BFS, Hongkong (online), 13.-17.6.2022, Geometry of Interest rates (in memory of Tomas Bjoerk).
• Workshop in the interplay between Finance and Insurance Mathematics, Lisbon, 23.-24.5.2022, Optimal Stopping via randomized neural networks.
• Seminar RWTH Aachen, Aachen (online), 9.5.2022, Machine Learning in Finance via Randomization.
• Seminar Princeton University, Princeton, 2.-8.5.2022, Machine Learning in Finance via Randomization.
• Seminar U Verona (Prof Sara Svaluto-Ferro), Verona, 20.4.2022, Sig-SDEs.
• QFW 2022, Roma, 31.3-1.4.2022, Optimal Stopping via randomized neural networks.
• MathFinance Digital Conference, Frankfurt, 21.-22.3.2022, Model free Deep Hedging.
• Winter School on Quantitative Finance, Zurich (online), January 2022, Machine Learnign in Finance.
• Workshop Mathematical Finance, Florence, Italy, 27.-29.10.2021, Model free deep hedging.
• Webinar Deep Learning in Finance, 27.-29.9.2021, Deep Asset Liability Management.
• Summer School in Risk Finance and Stochastics, online, 6.-8.9.2021, Machine Learning in Finance.
• COST conference, online, 9.9.2021, Model free Deep Hedging.
• 10th General AMaMeF Conference, online, 22.-25.6.2021, Representation of path functionals and non-parametric drift estimation.
• Stochastic Analysis and Hermite Sobolev Spaces, online, 21.-26.6.2021, Gaussian processes, Signatures and Kernelizations.
• From Networks to Neural Networks in Finance, online, 14.-18.6.2021, Provable Machine Learning Techniques in Finance.
• SIAM Conference on Financial Mathematics and Engineering (FM21), online, 1.-4.6.2021, Deep Asset Liability Management.
• Beyond the boundaries conference, online, 4.-7.5.2021, Approximation of path space functionals with applications to Finance.
• Black Sea School on new developments in mathematical finance, online, 19.-24.4.2021, Provable Machine Learning Techniques in Finance.
• MathFinance Digital Conference, online, 15.-16.3.2021, Consistent Recalibration Models and Deep Calibration.
• Quantitative Finance program Webinar, online, 5.3.2021, Consistent Recalibration Models and Deep Calibration.
• Pathwise Stochastic Analysis and Applications, CIRM, online, 8.-12.3.2021, An elementary proof of the reconstruction theorem.
• DataSig Seminar Series, online, 25.2.2021, Discrete-time signatures and randomness in reservoir computing.
• IRTG Colloquium, (Berlin, Germany), online, 16.12.2020, Semi-martingale signatures.
• New Directions in Rough Path Theory, (Oberwolfach, Germany), online, 6.-12.12.2020, Randomized Signatures and Reservoir Computing.
• Math-Finance seminar of Ritsumeikan University, (Kyoto, Japan), online, 3.12.2020, Training algorithms and generalized Langevin dynamics.
• Research in Options 2020, (Rio, Brazil), online, 29.11.-2.12.2020, Semi-martingale Signatures.
• Machine Learning of Dynamic Processes and Time Series Analysis, (Pisa, Italy), online, 26.-27.11.2020, Randomized signatures and applications to learning of stochastic dynamics and portfolio selection.
• Florida State University Mathematics Colloquium, (Florida, USA), online, 20.11.2020, Random signature methods and portfolio selection.
• Seminar talk (invited by Stéphane Crépey), (Paris, France), online, 19.11.2020, Semi-martingale Signatures.
• Paris Bachelier Seminar , (Paris, France), online, 13.11.2020, Deep Asset Liability management.
• Seminar talk, (Edinburgh, UK), online, 29.10.2020, Semi-martingale Signatures.
• New Challenges in the Interplay between Finance and Insurance, (Oberwolfach, Germany), online, 25.-31.10.2020, Randomized Signatures and portfolio selection.
• ESI Vienna, (Vienna, Austria), online, 5.-16.10.2020, Randomized Signature methods and Reservoir Computing.
• Second Symposium on Machine Learning and Dynamical Systems (Fields Institute), (Toronto, Canada), online, 29.9.2020, Randomized Signature and Reservoir Computing with application to Finance.
• 13th European Summer School in Financial Mathematics, Vienna (Austria), 31.8.-4.9.2020, Machine Learning in Finance.
• RSS Applied Probability Section: Rough path theory in machine learning, (London, UK), online, 26.8.2020, Randomized signature and reservoir computing.
• Current Theme: Market Generation and Applications, Alan Turing Institute, (London, UK), online, 6.6.2020, Deep calibration of LSV models.
• Thalesian Seminar, (New York, USA), online, 5.5.2020, Deep Hedging.
• Mathematical Finance Seminar at King’s College, London (UK), 6.2.2020, Randomness in training neural networks and applications to portfolio selection.
• 21st Workshop on Quantitative Finance QFW2020, Napoli (Italy), 29.-31.1.2020, Learning dynamics through random dynamical systems.
• 14th Bachelier Colloquium 2020, Métabief (France), 13.-18.1.2020, Machine Learning and Randomization.
• QMF 2019, Sydney (Australia), 16.-20.12.2019, Random Signature methods in Finance (invited plenary lecture).
• Fachhochschule Kärnten, Villach (Austria), 29.11.2019, Machine Learning in Finance.
• Algebraic and Analytic Perspectives in the Theory of Rough Paths and Signatures, Oslo (Norway), 14.-15.11.2019, Representing dynamics through random dynamical systems.
• Advances in Stochastic Analysis for Handling Risks in Finance and Insurance, Luminy (France), 21.-25.10.2019, Representation of dynamical systems via random dynamical systems.
• ÖMG conference 2019, Dornbirn (Austria), 16.-20.09.2019, Learning stochastic dynamics by random signatures with applications to mathematical Finance.
• Vienna Congress on Mathematical Finance, Vienna (Austria), 9.-13.9.2019, Representing dynamics through random dynamical systems (plenary lecture), The role of randomness in deep learning (workshop lecture).
• The International Summer School in Mathematical Finance, Moscow (Russia), 26.-30.08.2019, Machine Learning in Finance.
• Workshop on dynamical systems and brain inspired information processing, Konstanz (Germany), 29.-31.7.2019, Randomness in training algorithms.
• ICIAM 2019, Valencia (Spain), 15.-19.7.2019, Machine Learning of Dynamics in mathematical Finance.
• Third International Congress on Actuarial Science and Quantitative Finance, Manizales (Colombia), 19.-22.6.2019, Deep Simulation.
• SIAM Conference on financial mathematics and engineering, Toronto (Canada), 4.-7.6.2019, Reservoir Computing, Rough Paths and Learning of stochastic Dynamics in Finance.
• ESI workshop on optimal transport, Vienna (Austria), 17.-29.4.2019, Machine Learning in Finance.
• SNS Pisa, seminar of quantitative finance, Pisa (Italy), 4.-5.4.2019, Hörmander conditions, transport equations and supervised learning.
• Bachelier Colloquium 2019, Métabief (France), 7.-11.1.2019, Random projections of stochastic differential equations.
• QMF 2018, Sydney (Australia), 11.-14.12.2018, Local Stochastic Volatility models from several viewpoints (invited plenary lecture), Machine Learning in Mathematical Finance (pre-conference workshop).
• Research in Options 2018, Rio de Janeiro (Brazil), 26.-28.10.2018, Machine Learning in Mathematical Finance.
• Research Unit - Rough paths, stochastic partial differential equations and related topics, Berlin (Germany), 15.11.2018, Besov spaces in regularity structures.
• Machine Learning in Mathematical Finance, Budapest (Hungary), 19.10.2018, Machine Learning in Mathematical Finance.
• Innovative Research in mathematical Finance, Luminy (France), 3.-7.9.2018, Bayesian Finance.
• Advanced Methods in mathematical Finance, Angers (France), 28.-31.8.2018, Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case.
• 10th World Congress of the Bachelier Finance Society 2018, Dublin (Ireland), 16.-20.7.2018, Affine Filtering.
• Vienna International Summer School VISS 2018, Vienna (Austria), 9.-13.7.2018, Machine Learning methods in Finance.
• International Workshop on Applied Probability, Budpest (Hungary), 18.-21.6.2018, Deep Hedging.
• Mathematical and Computational Finance Seminar, Oxford (UK), 14.6.2018, Machine Learning in Finance.
• Workshop on Fractional Processes in Finance at l'X, Paris (France), 11.6.2018, Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case.
• Stochastic Analysis and its Applications, Oaxaca (Mexico), 14.-18.5.2018, Reservoir Computing, Regularity Structures and learning of Dynamics in Finance.
• XVIX Workshop on Quantitative Finance, Rome (Italy), 24.-26.1.2017, Affine processes and non-linear (partial) differential equations.
• Bachelier Colloquium 2018, Métabief (France), 15.-20.1.2018, Affine Filtering.
• Advances in Stochastic Analysis for Risk Modeling, Luminy (France), 13.-17.11.2017, Machine Learning in Mathematical Finance.
• Workshop on Dynamical Systems and Brain-inspired Information Processing October 5-6, 2017, Konstanz (Germany), 5.-6.10.2017, Machine Learning in mathematical Finance.
• Gran Sasso Workshop on mathematical Finance, L'Aquila (Italy), 27.-29.09.2017, Machine Learning in mathematical Finance.
• 2nd International Conference on Computational Finance, Lisbon (Portugal), 4.-8.9.2017, Rough volatility from an affine point of view.
• Vienna Doctoral School Summer School, Obergurgl (Austria), 2.-8.9.2017, Affine processes: theory, applications and new trends.
• Mathematics in Finance, Kruger Park (South Africa), 8.-12.8.2017, Bayesian Finance.
• Thera Stochastics, Santorini (Greece), 31.5.-2.6.2017, Bayesian Finance.
• Final Conference - Stochastic Dynamical Models in Mathematical Finance, Econometrics, and Actuarial Sciences, Lausanne (Switzerland), 29.5.-2.6.2017, Bayesian Finance.
• Innovations in Insurance, Risk- and Asset Management, Munich (Germany), 5.-7.4.2017, Bayesian Finance.
• Mathematics of Quantitative Finance, Oberwolfach (Germany), 26.2.-4.3.2017, Rough Volatility from an affine point of view.
• XVIII Workshop on Quantitative Finance, Milano (Italy), 25.-27.1.2017, Bayesian Finance.
• Bachelier Colloquium 2017, Métabief (France), 16.-21.1.2017, Bayesian Finance.
• Advances in financial mathematics, Paris (France), 10.-13.1.2017, Affine processes and non-linear DEs.
• Prague Workshop, Prague (Czech Republic), 6.-7.1.2017, Bayesian Finance.
• QMF 2016, Sydney (Australia), 13.-16.12.2016, Non-linear PDEs and affine processes.
• VCMF, Vienna (Austria), 12.-14.9.2016, Non-linear ODEs and affine processes.
• 9th World Congress of the Bachelier Finance Society, New York (USA), 15.-19.7.2016, A new perspective on the fundamental theorem of asset pricing for large financial markets.
• 5th Berlin Workshop on Mathematical Finance, Berlin (Germany), 1.-4.6.2016, Non-linear PDEs and affine processes.
• ISOR Colloquium, Vienna (Austria), 9.5.2016, Non-linear PDEs and affine processes.
• Rough paths, regularity structures and related topics, Oberwolfach (Germany), 1.-7.5.2016, Rough term structures.
• Lecture on regularity structures, Vienna (Austria), March to May 2016.
• London Mathematical Finance Seminar Series, London (UK), 17.3.2016, Rough Term structures.
• XVII Workshop on Quantitative Finance, Pisa (Italy), 28.-29.1.2016, Parabolic free boundary price formation models under market size fluctuations.
• Bachelier Colloquium 2016, Métabief (France), 18.-22.1.2016, Surprising relations between Americans and Europeans.
• Rough Paths Workshop Imperial College, London (UK), 7.-9.1.2016, Rough Term structures.
• Oberseminar Finanz- und Versicherungsmathematik LMU/TU Munich, Munich (Germany), 7.-8.12.2015, Surprising relations between Americans and Europeans.
• Seminar talk at Columbia University, New York (USA), 2.-6.11.2015, Suprising relations between Americans and Europeans.
• International Conference on Stochastic Analysis and Applications, Hammamet (Tunisia), 19.-23.10.2015, Tractable American Option problems.
• Mathematical Finance beyond Classical Models, Zurich (Switzerland), 16.-18.9.2015, Tractable American Option Problems.
• ICIAM 2015, Beijing (China), 10.-14.8.2015, Modeling in Finance beyond classical paradigms, Organization of the minisymposium.
• 12th Summer School in Stochastic Finance, Athens (Greece), 6.-10.7.2015, New computational methods for American Options.
• Seminar talk in Paris 7, Paris (France), 10.-12.6.2015, Stochastic integration and regularity structures.
• Methods of Mathematical Finance, Pittsburgh (USA), 1.-5.6.2015, A new perspective on the proof of the fundamental theorem of asset pricing.
• Advanced Modelling in Mathematical Finance, Kiel (Germany), 20.-22.5.2015, Bichteler-Dellacherie theorem under partial information.
• ETH Imperial Workshop, London (UK), 4.-6.3.2015, Rough Term structures.
• XVI Workshop on Quantitative Finance, Parma (Italy), 29.-30.1.2015, Discrete Time Term Structure Theory and Consistent Recalibration Model.
• QMF 2014, Sydney (Australia), 17.-20.12.2014, Consistent Recalibration models.
• Forum des Laureats, Paris (France), 11.12.2014, Geometry of term structure problems.
• Journee des Primes, Montpellier (France), 3.12.2014, Geometry of term structure problems.
• Academie des Sciences, Paris (France), 14.10.2014, Geometry of interest rates.
• Belgrade University, Belgrade (Serbia), 7.-10.10.2014, Geometry of interest rates (talk at economics department), Recent developments in the theory of affine processes (talk at mathematics department).
• Stochastics of environmental and financial economics, Oslo (Norway), 15.-19.9.2014, Consistent Recalibration models.
• SAV 105. Mitgliederversammlung, Davos (Switzerland), 5.9.2014, Consistent Recalibration for interest rate models.
• Stochastic calculus, Martingales, and Financial modeling, St Petersburg (Russia), 29.6.-6.7.2014, A convergence theorem in the Emery topology and another view on the Fundamental Theorem of Asset Pricing.
• Bachelier Finance Society 8th World Congress 2014, Brussels (Belgium), 2.-6.6.2014, When roll-overs do not qualify as numeraire: bond markets beyond short rate paradigms.
• Mathematical Finance: Arbitrage and Portfolio Optimization, Banff (Canada), 11.-16.5.2014, FTAP for large financial markets.
• Stochastic Analysis in Finance and Insurance – Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach (Germany), 4.-10.5.2014, Term Structure Problems.
• XV Workshop on Quantitative Finance, Florence (Italy), 23.-24.1.2014, An L0-interpretation of BDG inequalities and a proof alternative for FTAP.
• Bachelier Colloquium 2014, Métabief (France), 12.-19.1.2014, An L0-interpretation of BDG inequalities and a proof alternative for FTAP.
• Swiss-Kyoto-Symposium, Zürich (Switzerland), 21.-22.11.2013, When roll-overs do not qualify as numéraire: bond markets beyond short rate paradigms.
• Stochastic processes and their statistics in Finance, Okinawa (Japan), 26.10.-1.11.2013, Bond markets beyond short rate paradigms.
• 18th ÖMG Congress and Annual DMV Meeting, Innsbruck (Austria), 23.-27.9.2013, Stochastic Evolutions of Term structures.
• Stochastic Methods in Finance and Physics, Heraklion (Greece), 15.-19.7.2013, Term structure models in discrete time.
• Workshop PDE and Mathematical Finance, Stockholm (Sweden), 10.-14.6.2013, Stochastic Evolutions of Term structures.
• Frontiers in Financial Mathematics 2013, Dublin (Ireland), 4.-7.6.2013, Stochastic Evolutions of term structures of option prices.
• Seminar Bonn University (Stefan Ankirchner), Bonn (Germany), 16.5.2013, Robust Calibration.
• Mini Course at Chebyshev Lab, St. Petersburg (Russia), 22.4.-25.4.2013, Term structure problems.
• ETH Imperial Workshop (Rama Cont), London (UK), 6.-8.3.2013, Robust calibration.
• Seminar Cambridge University, Cambridge (UK), 4.-5.3.2013, Robust Calibration.
• Bachelier Colloquium 2013, Métabief (France), 13.-20.1.2013, Robust calibration of models in finance.
• Vienna University (Christa Cuchiero), Vienna (Austria), 29.11.2012, Robust calibration.
• Université de Franche-Comté (Juan-Pablo Ortega), Besançon (France), 22.11.2012, Robust calibration of models in finance.
• Stochastic analysis with applications in biology, physics and finance, Festkolloquium in honour of Hans Föllmer, Berlin (Germany), 16.-17.11.2012, Robust calibration of models in finance.
• University of Ulm (Wolfgang Arendt), Ulm (Germany), 26.10.2012, Stochastic evolutions of volatility surface processes.
• PRisMa 2012 Vienna University of Technology, Vienna (Austria), 5.10.2012, Consistent Long-Term Interest Rate Prediction.
• Workshop on Stochastics and PDE Methods in financial mathematics, Yerivan (Armenia), 7.-12.9.2012, Stochastic evolutions of volatility surface processes.
• Quantitative Methods in Finance Conference (QMF) 2012, Cairns (Australia), 26.-30.6.2012, Stochastic evolutions of volatility surface processes.
• Bachelier Finance Society 7th World Congress 2012, Sydney (Australia), 19.-22.6.2012, Quick Calibration of generic models.
• Augsburg University (Dirk Blömker), Augsburg (Germany), 12.6.2012, Stochastic evolutions of volatility surface processes.
• Ecole Polytechnique Fédérale de Lausanne (Robert Dalang), Lausanne (Switzerland), 4.-8.6.2012, A functional analytic setting for cubature methods.
• Stochastic Analysis and Applications, University of Växjö (Sweden), 24.-25.5.2012, Robust Calibration and estimation of invariant parameters.
• Universite d'Evry (Monique Jeanblanc), Evry (France), 3.5.2012, An SPDE-approach to peacocks.
• Vienna University (Walter Schachermayer), Vienna (Austria), 30.4.2012, Some general ideas about small time asymptotics for affine processes.
• Jahrestagung DAV, Stuttgart (Germany), 27.4.2012, Consistent Long-Term Yield Curve Prediction.
• EPSRC Symposium Workshop - Stochastic Analysis and Stochastic PDEs, University of Warwick (UK), 16.-20.4.2012, Finite dimensional realization for the CNKK volatility surface model.
• London School of Economics, London (UK), 15.3.2012, Finite dimensional realizations for the CNKK volatility surface model.
• The Mathematics and Statistics of Quantitative Risk Management – Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach (Germany), 29.1.-4.2.2012, Risk management and No Arbitrage.
• 11th Winterschool on mathematical Finance, Lunteren (The Netherlands), 23.-25.1.2012, Finite dimensional Realizations for the CNKK volatility surface model.
• Mathematik-Kolloquium Universität Innsbruck, Innsbruck (Austria), 17.1.2012, A functional analytic setting for cubature methods.
• Quantitative Methods in Finance Conference (QMF) 2011, Sydney (Australia), 14.-17.12.2011, Finite dimensional Realizations for the CNKK volatility surface model.
• Workshop, Chemnitz (Germany), 24.-25.11.2011, Finite dimensional Realizations for the CNKK volatility surface model.
• Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs, Imperial College, London (UK), 27.-29.9.2011, Filtering of affine processes.
• NIM 11 Workshop: Rough Paths and Numerical Integration Methods, Philipps-University, Marburg (Germany), 21.-23.9.2011, A functional analytic setting for cubature methods.
• OR2011 Zurich, UZH, Zurich (Switzerland), 31.8.-2.9.2011, Filtering of affine processes.
• Applied Dynamics and Geometric Mechanics – Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach (Germany), 14.-20.8.2011, Geometry of option price surface models.
• MAN Institute Conference – LMS - EPSRC, Oxford (UK), 18.-22.7.2011, Malliavin Calculus (Analysis on Gaussian Spaces, Absolute continuity and regularity, The Hörmander Theorem).
• DYNSTOCH 2011: Statistical Methods For Dynamical Stochastic Models, Heidelberg (Germany), 16.-18.6.2011, Finite dimensional realizations for the CNKK-volatility surface models.
• 7th Seminar on Stochastic Analysis, Random Fields and Applications, Centro Stefano Franscini, Ascona (Switzerland), 23.-27.5.2011, Affine Processes: theory and applications.
• Recent Developments in Mathematical Finance in honour of Tomas Björk's 64th birthday, KTH Royal Institute of Technology, Stockholm (Sweden), 9.-10.5.2011, Recent progresses in the theory of affine processes.
• Probability seminar NYU, New York, 02.05.2011, Affine processes on positive-semidefinite matrices.
• Colloquium Talk, Rutgers University (New Jersey), 22.04.2011, Stochastically invariant manifolds for Jump diffusion on Hilbert space.
• ORFE Colloquia, Princeton University (New Jersey), 26.04.2011, Filtering of affine processes.
• Minerva Foundation Lectures, Columbia University, New York (USA), 19.-29.4.2011, Series of lectures on Affine Processes: Theory and Applications.
• Swansea University (Prof. Niels Jacob), Swansea (UK), 24.-25.3.2011, Affine processes.
• IMPACT-Workshop in honour of Peter Imkeller's 60th birthday, Berlin (Germany), 24.-26.2.2011, Recent progresses in the theory of affine processes.
• Stochastic Analysis in Finance and Insurance – Mathematisches Forschungsinstitut Oberwolfach, Oberwolfach (Germany), 23.-28.1.2011, Covariance matrix valued affine processes: theory and applications.
• MAN Institute, Oxford (UK), 12.-21.1.2011, Affine processes.
• Levy processes and their applications, Zürich (Switzerland), 13.-14.12.2010, Affine processes – theory, applications and numerics.
• SIAM conference on financial mathematics and engineering, San Francisco (USA), 19.-20.11.2010, High Order Numerical Schemes for Affine Processes with Applications.
• Talks in Financial and Insurance Mathematics, Zürich (Switzerland), 30.09.2010, A semigroup point of view on cubature formulas for S(P)DEs with applications to interest rate theory.
• Workshop on numerical methods for solving the filtering problem and high order methods for solving parabolic PDEs, London (UK), 27.-29.09.2010, A semigroup point of view on cubature formulas for S(P)DEs with applications.
• 6th Bachelier Conference, Toronto (Canada), 22.-26.06.2010, Risk management, Arbitrage and Scenario generation for interest rates.
• MAN Institute Workshop on robust techniques, Oxford (UK), 18.-19.03.2010, Discussion leader.
• Bachelier Seminar, Paris (France), 12.03.2010, Covariance matrix valued affine processes – structure and numerics.
• Topics on Leading-edge Numerical Procedures and Models, Tokyo (Japan), 16.-18.02.2010, Numerical Methods for Affine Processes Inspired by the Ninomiya-Victoir Scheme.
• Workshop on Foundations of Mathematical Finance, Toronto (Canada), 11.01.2010, Matrix-valued affine processes – theory and applications.
• BG/BRG Lienz, Lienz (Austria), 22.12.2009, Ein Streifzug durch die Geschichte der Finanzmathematik.
• University of Vienna, Vienna (Austria), 18.12.2009, A dynamic approach to scenario generation for risk management.
• Probability Seminar ETHZ, Zürich (Switzerland), 09.12.2009, (substitute for Martin Keller-Ressel), Affine processes.
• Université de Strasbourg, Strasbourg (France), 20.11.2009, Positive matrix-valued affine processes.
• OeMG-DMV congress 2009, Graz (Austria), 20.-25.09.2009, organisation of a session on actuarial mathematics and mathematical finance and a contributed talk on "A new approach to scenario generation for risk management".
• Risk Day 2009, Zürich (Switzerland), 11.09.2009, A new approach to scenario generation for risk management.
• Conference on Stochastic Differential Equations, Stochastic Partial Differential Equations and Related Topics, Manchester (UK), 24.-28.08.2009, Another approach to some classes of Rough and stochastic partial differential equations.
• SPA 2009, Berlin (Germany), 27.-31.07.2009, organisation of a contributed session on simulated annealing and an invited session talk on "Rough partial differential equations and applications".
• Central European Seminar, Eduard Cech Center, Mikulov (Czech Republic), 29.-30.05.2009, Rough partial differential equations and applications.
• 6th TU-Forum, TU Vienna, Vienna (Austria), 19.05.2009, Wirtschafts- und Finanzkrise: Woher kommt sie? Wohin kann sie führen?
• Heath Lectures In Probability and Mathematical Finance, Pittsburgh (USA), 11.-16.05.2009, series of lectures, Introduction to Malliavin Calculus and its Applications.
• Österreichische Gesellschaft für Operations Research, ISDS-Colloquium, Vienna (Austria), 20.04.2009, A new approach to scenario generation in risk management.
• Third Conference on Numerical Methods in Finance, Marne-la-Vallée (France), 15.-17.04.2009, A new approach to SPDEs with applications to numerics in interest rate theory.
• Workshop Finance and Insurance, Jena (Germany), 16.-20.03.2009, A new approach for scenario generation in risk management.
• Spring School Finance and Insurance – Stochastic Analysis and Practical Methods, Jena (Germany), 08.-13.03.2009, invited lecture series (4 parts), A new approach to SPDEs with applications to mathematical Finance.
• TU Vienna, Seminar Talk at START (together with Martin Keller-Ressel and Antonis Papapantoleon), Vienna (Austria), 29.01.2009, A new approach to LIBOR modeling.
• Matheon Research Group-Workshop, TU Berlin, Berlin (Germany), 05.-06.12.2008, The Brody-Hughston SPDE of interest rate theory.
• Probability Seminar, Lausanne (Switzerland), 28.11.2008, A new Approach to Stochastic Partial Differential Equations with Applications to Scenario Generation in Risk Management.
• Special Semester on Stochastics with Emphasis on Finance – Workshop on Computational Methods with Applications in Finance, Insurance and the Life Sciences AND Stochastic Methods in Partial Differential Equations and Applications of Deterministic and Stochastic PDEs, RICAM Linz (Austria), 19.-21.11.2008, Numerical methods for SPDEs with applications to the HJM equation.
• ETH Zurich, Seminar talk, Zürich (Switzerland), 07.11.2008, A new approach to stochastic partial differential equations with applications to mathematical finance.
• Workshop on Optimal Transportation and Applications, Pisa (Italy), 03.-06.11.2008, SPDEs taking values in Wasserstein space.
• Mathematical Finance and Stochastic Analysis Seminars, York (UK), 02.10.2008, invited lecture, A new approach to SPDEs without stochastic integration.
• Stochastic Analysis Seminar, Warwick (UK), 01.10.2008, Numerical methods for SPDEs with applications to the HJM equation.
• University of Bonn (Prof. Karl-Theodor Sturm), Bonn (Germany), 19.09.2008, Numerical methods for SPDEs with applications to the HJM equation.
• Workshop on Finance and related Mathematical and Statistical Issues, Kyoto (Japan), 03.-06.09.2008, 2 lectures, Evaluation of the Heath-Jarrow-Morton equation by cubature methods for SPDEs, and: Natural OU-processes on Lie groups with applications to simulated annealing.
• Summerschool 2008 – Stochastic Models of Complex Processes, Disentis (Switzerland), 20.-25.07.2008, invited lecture, SPDEs-Stochastic Partial Differential Equations and Applications to Term Structure Problems in Mathematical Finance.
• Fifth World Congress of the Bachelier Finance Society, London (UK), 15.-19.07.2008, Talk in the recent results session about easy numerical schemes for the HJM equation.
• TU Berlin (Prof. Peter Bank), Berlin (Germany), 09.-10.07.2008, Simulation of HJM models.
• Thematic Day: New Perspectives on Malliavin Calculus, Centre de Recerca Matematica, Barcelona (Spain), 24.-26.06.2008, A new approach to SPDEs with applications to financial mathematics.
• University of Lisbon, Lisbon (Portugal), 22.-24.06.2008, Natural OU-Processes.
• Dublin City University, Dublin (Ireland), 15.05.2008, Simulation of HJM models.
• University of Vienna, Vienna (Austria), 16.04.2008, Natural OU-processes on Lie groups with applications to simulated annealing algorithms in high dimensions.
• Université de Franche-Comté Besançon (Prof. Juan-Pablo Ortega), Besançon (France), 10.-14.03.2008, Polynomial Processes.
• TU Vienna, Seminar Talk at START, Vienna (Austria), 06.03.2008, How to calculate moments of affine processes easily.
• University of Ljubljana (Prof. Matjaz Omladic), Ljubljana (Slovenia), 26.-27.02.2008, Natural OU-processes on Lie groups and applications to simulated annealing.
• Cambridge University (Prof. Chris Rogers), Cambridge (UK), 11.-12.02.2008, Natural OU-processes on Lie groups and applications to simulated annealing.
• Stochastic Analysis in Finance and Insurance, Oberwolfach (Germany), 27.01-01.02.2008, How to calculate moments for affine processes in a very easy way?
• TU Vienna, Seminar Talk at START, Vienna (Austria), 29.11.2007, Cubature on Wiener Space in infinite dimensions.
• Stochastic Partial Differential Equations (a program of the Mittag-Leffler Institute), Stockholm (Sweden), 18.-26.11.2007, Natural OU-processes on Lie groups with applications to simulated annealing.
• Workshop "Stochastic Problems and Degenerate Elliptic Equations" at WPI, Vienna (Austria), 12.-14.11.2007, Natural OU-processes on Lie groups with applications to simulated annealing.
• Complex Stochastic Systems: Discrete vs. Continuous, HIM, Bonn (Germany), 08.-12.10.2007, Natural OU-processes on Lie groups with applications to simulated annealing.
• TU Vienna, Seminar Talk at START, Vienna (Austria), 04.10.2007, New Classes of OU-processes and applications to Optimization procedures.
• Workshop "Optimal transportation structures, gradient flows and entropy methods for applied PDE's" at WPI, Vienna (Austria), 26.09.2007, Stochastic Differential Equations with values in Wasserstein Spaces.
• Stochastic Partial Differential Equations (a program of the Mittag-Leffler Institute), Stockholm (Sweden), 10.-14.09.2007, Hypo-ellipticity in infinite dimensions.
• University of Uppsala (Prof. Johan Tysk), Uppsala (Sweden), 15.09.2007, Convexity in Interest Rate Theory – some conceptual considerations.
• PDE and Finance, Stockholm (Sweden), 20.-23.08.2007, Convexity Theorems in Interest Rate Theory.
• TU Vienna, Seminar Talk at START, Vienna (Austria), 28.06.2007, An invitation to random Schrödinger operators V.
• Stochastic Analysis and Related Fields, Toulouse (France), 19.-21.06.2007, Hypo-ellipticity in infinite dimensions.
• TU Graz (Prof. Wolfgang Woess), Graz (Austria), 15.06.2007, Recombination of Cubature Formulas.
• TU Vienna, Seminar Talk at START, Vienna (Austria), 14.06.2007, An invitation to random Schrödinger operators III.
• TU Vienna, Seminar Talk at START, Vienna (Austria), 31.05.2007, An invitation to random Schrödinger operators II.
• WPI-Workshop on Optimal Transport (organized by Marco di Francesco), Vienna (Austria), 09.-11.05.2007, Stochastic gradient Flows (Mini-course on invariant measures for Hilbert-space-valued SDEs).
• AMAMEF-Conference Bedlewo, Bedlewo (Poland), 29.04.-05.05.2007, Convexity Propagation in Interest Rate Theory.
• TU Vienna, Seminar Talk at START, Vienna (Austria), 26.04.2007, A heat kernel approach to Interest Rate Models.
• University of Bonn (Prof. Karl-Theodor Sturm), Bonn (Germany), 12.-13.04.2007, Hypo-ellipticity in infinite dimensions.
• University of Ljubljana (Prof. Matjaz Omladic), Ljubljana (Slovenia), 19.-23.02.2007, Recombination of Cubature Methods.
• TU München, Seminar, München (Germany), 08.-09.02.2007, Deterministic Methods for the weak approximation of high-dimensional SDEs with Application to mathematical Finance.
• TU Graz, Graz (Austria), 30.11.-02.12.2006, Weak and Strong Taylor Approximations for the Solution of Kolmogorov's Equation with Applications to Libor Market Models (joint work with Maria Siopacha).
• Mathematisches Kolloquium of the University of Vienna, Vienna (Austria), 08.11.2006, Characterization of optimal transport plans for the Monge-Kantorovich-Problem.
• Mathematisches Kolloquium at the University of Freiburg, Freiburg (Germany), 03.11.2006, Calculation of Greeks for Jump-Diffusion.
• One-Day Workshop on Portfolio Risk Management, Vienna University of Technology, Vienna (Austria), 26.09.2006, Flexibility of OU-Interest Rate Models (pdf-version of the slides).
• International Conference on Mathematical Finance and Related Topics, University of Kanazawa, Kanazawa (Japan), 21.-23.08.2006, How to make Cubature Formulas feasible?
• Université de Bretagne Occidentale, Seminaire (Prof. Marc Quincampoix), Brest (France), 08.-18.07.2006, Existence Theorems for the Monge-Kantorovich-Problem.
• AMAMEF Conference, Side (Turkey), 26.-29.04.2006, How to make Cubature formulas feasible?
• Department of Mathematics, Mathematical Finance, ETH Zürich (Switzerland), 18.04.2006, Pricing and Hedging by Cubature Methods.
• Workshop "Feynman-Kac Formulas and their Applications" at WPI, organized by Dr. Joszef Lörinczi, Vienna (Austria), 24.03.2006, Feynman-Kac Formulas in infinite dimensions.
• WWTF-Workhop on Credit Risk and Risk Transfer, TU Vienna (Austria), 25.01.2006, Adaptive Recombination for Cubature Methods.
• Seminar on Optimal Transportation (Prof. Peter Markovich, Prof. Walter Schachermayer), Research Group for Financial and Actuarial Mathematics, TU Vienna (Austria), 15.12.2005, Solution of a problem in Villani's book.
• Workshop on Stochastic Analysis and Computational Finance, Institute for Mathematical Sciences Imperial College, London (UK), 10.-12.11.2005, Adaptive Recombination of Cubature Methods.
• 16. Internationaler Kongress der Österreichischen Mathematischen Gesellschaft, Jahrestagung der Deutschen Mathematiker-Vereinigung, Universität Klagenfurt, Klagenfurt (Austria), 18.-23.09.2005, Geometry of Interest Rates.
• Workshop in PDE and Mathematical Finance, Mittag-Leffler Institute – KTH, Stockholm (Sweden), 15.-19.08.2005, Calculation of Greeks by Cubature Formulas.
• TU Berlin (Prof. Alexander Schied), Quantitative Finance Seminar, Berlin (Germany), 07.-08.06.2005, Calculation of Greeks by Cubature Formulas.
• Scuola Normale Superiore, TMR Workshop, Pisa (Italy), 23.-26.05.2005, Calculation of Greeks for Jump-Diffusions.
• Developments in Quantitative Finance, Isaac Newton Institute, Cambridge (UK), 19.05.2005, Cubature Formulas on Wiener Space.
• University of Cambridge, Cambridge (UK), 17.05.2005, Hypo-ellipticity in infinite dimensions with applications to interest rate theory.
• RICAM, Linz (Austria), 29.04.2005, 10.05.2005, 13.05.2005, Mini-Lecture on Malliavin Calculus.
• Workshop Stochastic Analysis and Applications in Finance, Leipzig (Germany), 20.-22.04.2005, Stochastic Analysis in infinite dimensions with Applications to Term Structure Models.
• CREST (Prof. Nizar Touzi), Paris Malakoff (France), 29.11.-05.12.2004, Calculating the Greeks by Cubature Formulas (talk on 03.12.2004 in the Seminaire Louis Bachelier)
• Austrian Working Group for Banking and Finance, 19. Workshop, Vienna (Austria), 26.-27.11.2004, Flexible complete Models with stochastic volatility generalising Hobson-Rogers (the slides of the talk as pdf-file: pdf-version.)
• Université Paul Sabatier Toulouse 3 (Prof. Fabrice Baudoin), Toulouse (France), 15.-17.11.2004, Calcuating the Greeks by Cubature Formulas.
• Evolution Equations for Deterministic and Stochastic Systems, Research Training Network HPRN-CT-2002-00281, Delft (Netherlands), 01.-05.06.2004, Hypo-ellipticity in infinite dimensions and applications to interest rate theory.
• Columbia University (Prof. Peter Bank), New York (USA), 19.02.2004, Flexible complete stochastic volatility models generalising Hobson-Rogers.
• Courant Institute of Mathematics (Dr. Peter Friz), New York (USA), 20.02.2004, Canonical approximations of Brownian motion on nilpotent Lie groups.
• Berlin Workshop on Mathematical Finance for Young Researchers, Berlin (Germany), 08.-10.01.2004, Hypo-ellipticity in infinite dimensions and applications to interest rate theory.
• Mathematisches Kolloquium (Prof. Christoph Kühn), Frankfurt (Germany), 28.11.2003, Hypo-ellipticity in infinite dimensions and applications to interest rate theory.
• Herbstschule des Graduiertenkollegs, Jena (Germany), 30.10.-03.11.2003, Interest Rate Theory (Lecture course).
• EMS Mathematical Weekend, Lisboa (Portugal), 12.-14.09.2003, Hypo-ellipticity in infinite dimensions and applications to interest rate theory.
• Blaise Pascal International Conference on Financial Modeling, Paris (France), 01.-03.07.2003, On the Geometry of the Term Structure of Interest Rates.
• Evolution Equations for Deterministic and Stochastic Systems, Research Training Network HPRN-CT-2002-00281, Roscoff (France), 19.-23.05.2003, Interest Rate Theory (Lecture course).
• University of Princeton, Operations Research and Financial Engineering (Prof. Damir Filipovic), Princeton (USA), 05.-11.05.2003, Hypo-ellipticity in infinite dimensions.
• University of Zagreb, Department of mathematics (Prof. Zoran Vondracek), Zagreb (Croatia), 21.-26.04.2003, Hypo-ellipticity in infinite dimensions and an application to mathematical finance, Interest Rate Theory.
• HYKE Conference (Prof. Norbert Mauser), Wien (Austria), 27.02.2003, PDEs in mathematical finance.
• Seminaire Louis Bachelier, IHP, Paris (France), 07.03.2003, Are finite dimensional realizations a good concept for solutions of stochastic PDEs?
• Université d'Evry (Prof. Anton Thalmaier), Evry (France), 20.02.2003, Geometry of Interest Rates and Frobenius Theorems.
• CREST (Prof. Nizar Touzi), Paris Malakoff (France), 16.02.-11.03.2003, Interest Rate Theory (DEA Lecture Course).
• Université Paris 6 (Prof. Laurence Carassus), Paris (France), 01.-28.02.2003, Geometry of Stochastic Evolution Equations.
• Humboldt Universität zu Berlin – Bereich Stochastik (Prof. Peter Bank), Berlin (Germany), 17.-22.12.2002, Geometry of Interest Rates.
• Austrian Working Group on Banking and Finance, Vienna (Austria), 29.-30.11.2002, Invariance problems for stochastic differential equations in infinite dimensions.
• Institute of Mathematics, University of Vienna, Mathematisches Kolloquium (Prof. Harald Rindler), Vienna (Austria), 20.11.2002, Geometry of Interest Rates.
• KTH Stockholm (Prof. Tomas Björk, Prof. Lars Svensson), Stockholm (Sweden), 23.-27.09.2002, Convenient Analysis and Frobenius Theorems (the slides of the talk as pdf-file: pdf-version), Geometry and Regularity of Finite Factor Models.
• Satellite Conference of the ICM2002 on Stochastic Analysis, Beijing (China), 29.08.-03.09.2002, Geometry and Regularity of finite factor models for the Term structure of Interest Rates.
• 2nd World Congress of the Bachelier Finance Society, Crete (Greece), 12.-15.06.2002, On the Term Structure of Interest Rates.
• Frankfurt MathFinance Workshop, Frankfurt (Germany), 03.-05.04.2002, On finite dimensional Term structure models.
• CEREMADE, Paris Dauphine (Prof. Ivar Ekeland, Prof. Elyes Jouini) – Seminaire mathematiques de l'economie et de la finance, CREST – Paris I – Paris VII – Paris IX, Paris (France), 15.-22.03.2002, On the Term Structure of Interest Rates.
• Theoretical Physics Section, KU Leuven (Michel Verschuere), Leuven (Belgium), 08.11.2001, Interest Rate Theory and Geometry.
• Department of Mathematics, Mathematical Finance, ETH Zürich (Switzerland), 11.10.2001, Existence of invariant manifolds for stochastic equations in infinite dimensions.
• Institute of Mathematics, University of Vienna (Prof. Peter Michor), 09.10.2001, Smooth Perfectness through decomposition of diffeomorphisms into fiber preserving ones.
• 15. ÖMG-Kongress, Jahrestagung der Deutschen Mathematikervereinigung, Vienna (Austria), 16.-22.09.2001, A Frobenius Theorem on convenient manifolds (Differential Geometry), Interest Rate Theory and Infinite dimensional Geometry (Financial Mathematics).
• 8th International Conference on Differential Geometry and its Applications, Opava (Czech Republic), 27.-31.08.2001, A Frobenius Theorem on convenient manifolds.
• AMS-SMF Congress, Lyon (France), 17.-20.07.2001, Finite dimensional Realizations in HJM-framework.
• Meeting on stochastic analysis, Berlin (Germany), 02.-06.07.2001, HJM-theory – Classification of finite factor models.
• Workshop on Mathematical Finance, Polish Academy of Sciences, Bedlewo (Poland), 04.-09.06.2001, HJM-theory and finite dimensional realizations – the classification result
• Warwick Symposium on Stochastic Partial Differential Equations and Related Topics – Infinite dimensional models in mathematical finance, University of Warwick (UK), 22.-26.05.2001, Interest rate models and infinite dimensional geometry – the classification result.
• Department of Mathematics and Statistics, Columbia University New York (Prof. Ioannis Karatzas), 04.05.2001, Finite Dimensional Realizations in HJM-theory.
• Institute of Mathematics, University of Vienna (Prof. Peter Michor), 24.04.2001, HJM-theory and infinite dimensional geometry – the classification result.
• Department of Algebra and Geometry, Masaryk University Brno (Prof. Jan Slovak), Brno (Czech Republic), 28.02.2001, HJM-theory and infinite dimensional geometry.
• 21st Winter school on Geometry and Physics, Srni (Czech Republic), 13.-20.01.2001, HJM-theory and infinite dimensional geometry.
• Institut für Finanzmathematik der Kepler Universität Linz (Prof. Gerhard Larcher), 18.12.2000, HJM-theory and infinite dimensional geometry.
• Ecole d'été de Probabilités de Saint-Flour XXX, St. Flour (France), 16.08.-02.09.2000, Regularity of Lie groups
• Infinite dimensional Lie groups in Geometry and Representation theory, Washington D.C. (USA), 2000 Howard Conference, 17.-21.08.2000, Regularity of Lie groups.
• 20th Winter school on Geometry and Physics, Srni (Czech Republic), 17.-22.01.2000, Lipschitz-metrizable Lie groups.
• Conference on Geometry and Topology of Manifolds, Krynica Górska (Poland), 24.-29.04.1999, Lipschitz-metrizable Lie groups.
• Mathematisches Kolloquium of the University of Vienna, Vienna (Austria), 17.03.1999, Convenient Hille-Yosida-Theory.
• 19th Winter school on Geometry and Physics, Srni (Czech Republic), 10.-17.01.1999, Convenient Hille-Yosida-Theory.