Birs- 18w5080: Stochastic Analysis and its Applications

  1. Title:
    Short- and long-term relative arbitrage in stochastic portfolio theory
    Speaker:
    Martin Larsson

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805170902-Larsson.html

  2. Title:
    Filtration shrinkage, the structure of deflators, and the failure of market completeness
    Speaker:
    Johannes Ruf

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805170952-Ruf.html

  3. Title:
    Simple Transaction cost bounds
    Speaker:
    Bruno Bouchard

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805171145-Bouchard.html

  4. Title:
    Periodic strategies in optimal execution with multiplicative impact
    Speaker:
    Daniel Hernández

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805171210-Hernandez.html

  5. Title:
    Functional central limit theorems for rough volatility
    Speaker:
    Blanka Horvath

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805171307-Horvath.html

  6. Title:
    Volatility derivatives in rough forward variance models
    Speaker:
    Stefano De Marco

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805171336-DeMarco.html

  7. Title:
    High dimensional problems for continuous time models
    Speaker:
    Mark Podolskij

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805171505-Podolskij.html

  8. Title:
    Measure-valued martingales and optimality of solutions to the Skorokhod embedding problem
    Speaker:
    Sigrid Källblad

    Link:
    http://www.birs.ca/events/2018/5-day-workshops/18w5080/videos/watch/201805171545-Kallblad.html