Seminars

Path dependent modelling in Finance and Technology Josef Teichmann
Friday, Oct. 23, 2026 - 12:00 PM
online

Short-maturity skew stickiness ratio under local volatility Masaaki Fukasawa
Friday, Oct. 30, 2026 - 9:00 AM
online

Machine Learning and Distributional Forecasting for Dynamic Portfolio Risk Management Rexford Boakye
Friday, Oct. 16, 2026 - 2:00 PM
online

Stackelberg games and stochastic targets Dylan Possamaï
Friday, Oct. 16, 2026 - 9:00 AM
online

Stochastic Dominance, Analyticity, and High-Order Expansions in Optimal Investment Oleksii Mostovyi
Friday, Oct. 9, 2026 - 2:00 AM
online

Reinforcement Learning for Mean Field Game and Control Problems Jean-Pierre Fouque
Friday, Oct. 2, 2026 - 2:00 PM
online

Challenges in Using Machine Learning for Rough Volatility Models Dan Leonte
Friday, Sep. 25, 2026 - 11:00 AM
online

Optimal Fund Menus Jakša Cvitanić
Friday, Sep. 18, 2026 - 2:00 PM
online

Learning Dynamic Uncertainty via Schrödinger–Bass Bridges: From Generative Modeling to Financial Time Series Huyên Pham
Friday, Sep. 11, 2026 - 2:00 PM
online

Propagation of carbon price shocks through the value chain: a mean-field game of defaults Peter Tankov
Friday, Aug. 28, 2026 - 2:00 PM
online

Differential Beliefs in Financial Markets Under Information Constraints: A Modeling Perspective Prof. Karen Grigorian
Friday, May. 1, 2026 - 2:00 PM
online

Dynamic asymmetric tail dependence structure among multi-asset classes for portfolio management: Dynamic skew- copula approach Dr. Kakeru Ito
Friday, Apr. 24, 2026 - 9:00 AM
online

Corruption via Mean Field Games Dr. Kirill Golubnichiy
Friday, Apr. 17, 2026 - 2:00 PM
online

ABIDES-MARL: A Multi-Agent Reinforcement Learning Environment for Endogenous Price Formation and Execution in a Limit Order Book Dr. Jean-Loup Dupret
Friday, Apr. 3, 2026 - 12:00 PM
online

A time-stepping deep gradient flow method for option pricing in (rough) diffusion models Professor Antonis Papapantoleon
Friday, Mar. 27, 2026 - 12:00 PM
online

Portfolio optimization in a market with hidden Gaussian drift and expert opinions Prof. Ralf Wunderlich
Friday, Mar. 13, 2026 - 2:00 PM
online

Mean-CVaR portfolio optimization under ESG disagreement Prof. Davide Lauria
Friday, Mar. 6, 2026 - 2:00 PM
online

Coherent estimation of risk measures Prof. Igor Cialenco
Friday, Feb. 27, 2026 - 2:00 PM
online

Some general results on risk budgeting portfolios Prof. Pierpaolo Uberti
Friday, Feb. 20, 2026 - 12:00 PM
online

Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets Prof. Andrey Itkin
Friday, Feb. 6, 2026 - 2:00 PM
online

Lambda Value-at-Risk under ambiguity and risk sharing Alexander Schied
Friday, Jan. 30, 2026 - 2:00 PM
online

Multivariate affine GARCH in portfolio optimization. Analytical solutions and applications Prof. Marcos Escobar-Anel
Friday, Nov. 21, 2025 - 2:00 PM
online

Decomposition of the option pricing formula for infinite activity jump-diffusion stochastic volatility models Prof. Josep Vives
Friday, Nov. 14, 2025 - 12:00 PM
online

Robust Bayesian Portfolio Optimization Dr. Carlos Andres Zapata Quimbayo
Friday, Nov. 7, 2025 - 2:00 PM
online

A general framework for pricing and hedging under local viability Prof. Huy Chau
Friday, Oct. 31, 2025 - 12:00 PM
online

Option Pricing with a Compound CARMA(p,q)-Hawkes Prof. Lorenzo Mercuri
Friday, Oct. 24, 2025 - 12:00 PM
online

Multi-hypothesis prediction for portfolio optimization: A structured ensemble learning approach to risk diversification Dr. Alejandro Rodriguez Dominguez
Friday, Oct. 17, 2025 - 12:00 PM
online

Beyond Traditional Models: Assessing the Role of LSTM Networks in Volatility Prediction Prof. Massimo Guidolin
Friday, Oct. 10, 2025 - 12:00 PM
online

New runs-based approach to testing value at risk forecasts Prof. Marta Malecka
Friday, Oct. 3, 2025 - 12:00 PM
online

Risk-aware Trading Portfolio Optimization Dr. Marco Bianchetti & Dr. Fabio Vitale
Friday, Sep. 26, 2025 - 12:00 PM
online

Recent advances in stochastic volatility jump diffusions: Calibration and exotic option pricing Dr. Jean-Phillipe Aguilar
Friday, Sep. 19, 2025 - 2:00 PM
online

Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR( ∞) processes and applications Prof. Zhenyu Cui
Friday, Sep. 12, 2025 - 2:00 PM
online

The Bachelier implied volatility: A Malliavin calculus approach. Prof. Elisa Alos
Friday, Sep. 5, 2025 - 12:00 PM
online

Discrete-time hedging, basis risk, and covariance-dependent pricing kernels Prof. Maciej Augustyniak
Friday, Aug. 29, 2025 - 2:00 PM
online

ESG Mania and Institutional Trading Prof. Riza Demirer
Friday, May. 2, 2025 - 2:00 PM
online

Drought parametric insurances by a Two-Step machine learning approach under climate change scenarios Dr. Hirbod Assa
Friday, Apr. 25, 2025 - 12:00 PM
online

Option pricing in a stochastic delay volatility model Prof. Álvaro Guinea Julia
Friday, Apr. 18, 2025 - 12:00 PM
online

Custom ESG Indexing: How Direct ESG Indexing Can Solve Many Responsible Investing Problems Prof. Dr. Dirk Soehnholz
Friday, Apr. 11, 2025 - 2:00 PM
online

Measures of stochastic non-dominance in portfolio optimization Prof. Miloš Kopa
Friday, Apr. 4, 2025 - 12:00 PM
online

Portfolio optimization in deformed time Assoc. Prof. Malick Fall
Friday, Mar. 28, 2025 - 12:00 PM
online

Dynamic tail risk forecasting: What do realized skewness and kurtosis add? Prof. Giuseppe Storti
Friday, Mar. 14, 2025 - 12:00 PM
online

Water as a commodity in hydropower generation Prof. Eduardo Schwartz
Friday, Feb. 28, 2025 - 2:00 PM
online

Multi-asset return risk measures Dr. Christian Laudagé
Friday, Feb. 21, 2025 - 12:00 PM
online

Do online attention and sentiment affect cryptocurrencies’ correlations? Prof. Aurelio Bariviera
Friday, Feb. 7, 2025 - 12:00 PM
online

Hedonic Models Incorporating Environmental, Social, and Governance Factors for Time Series of Average Annual Home Prices Jason Bailey
Friday, Jan. 31, 2025 - 2:00 PM
online

Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies Prof. Piotr Fiszeder
Friday, Jan. 24, 2025 - 1:00 PM
online

Deep learning-based portfolio optimization with transaction costs Prof. Aihua (Eva) Zhang
Friday, Jan. 17, 2025 - 9:00 AM
online

Inverse Problem for Forecasting Stock Options Prices Dr. Kirill Golubnichiy
Friday, Nov. 22, 2024 - 2:00 PM
online

Stochastic dominance, stochastic volatility, and jump risk: new theory interprets old results Prof Stylianos Perrakis
Friday, Nov. 15, 2024 - 2:00 PM
online

Pricing options with a new hybrid neural network model Dr. Yossi Shvimer
Monday, Nov. 4, 2024 - 12:00 PM
online

Estimation and backtesting of risk measures with emphasis on distortion risk measures Prof. Hideatsu Tsukahara
Friday, Oct. 25, 2024 - 10:00 AM
online

Elicitability and identifiability of tail risk measures Dr. Tobias Fissler
Friday, Oct. 18, 2024 - 1:00 PM
online

Option Pricing under a Generalized Black–Scholes Model with Stochastic Interest Rates, Stochastic Strings, and Lévy Jumps Prof. Steven P. Clark
Friday, Oct. 4, 2024 - 2:00 PM
online

ESG performance and investment efficiency: The impact of information asymmetry Prof. Seda Erdogan
Friday, Sep. 27, 2024 - 12:00 PM
online

To hedge or not to hedge? Cryptocurrencies, gold and oil against stock market risk Prof. Agata Kliber
Friday, Sep. 20, 2024 - 12:00 PM
online

Optimal Portfolios with Sustainable Assets - Aspects for Life Insurers Prof. Ralf Korn
Friday, Sep. 13, 2024 - 2:00 PM
online

Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress Prof. Md. Rayfayet Alam
Friday, Aug. 30, 2024 - 2:00 PM
online

Quanto Option Pricing on a Multivariate Lévy Process Model with Generative Artificial Intelligence Prof. Aaron YS Kim
Friday, Aug. 23, 2024 - 2:00 PM
online

Elementary function solutions to the Bachelier model generated by Lie point symmetries Dr. Evangelos Melas
Friday, May. 3, 2024 - 12:00 PM
online

Gold-backed cryptocurrencies: A hedging tool against categorical and regional financial stress Prof. Md. Rayfayet Alam
Wednesday, May. 1, 2024 - 8:00 AM
online

Hedging with temporary price impact Prof. Peter Bank
Friday, Apr. 26, 2024 - 12:00 PM
online

Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach Prof. Abderrahim Taamouti
Friday, Apr. 19, 2024 - 2:00 PM
online

Semi-analytic pricing of American options in some time-dependent jump-diffusion models Prof. Andrey Itkin
Friday, Apr. 19, 2024 - 12:00 PM
online

Supermartingale Brenier's Theorem with full-marginals constraint Prof. Dominykas Norgilas
Friday, Apr. 12, 2024 - 2:00 PM
online

Bayesian Optimization of ESG Financial Investments Prof Eduardo César Garrido Merchán
Monday, Mar. 18, 2024 - 12:00 PM
online

On the Bachelier implied volatility at extreme strikes Dr. Fabien Le Floc’h
Friday, Mar. 8, 2024 - 2:00 PM
online

Unpacking the ESG ratings: Does one size fit all? Prof. Monica Billio
Friday, Feb. 23, 2024 - 2:00 PM
online

On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model Makar Pravosud
Friday, Feb. 16, 2024 - 12:00 PM
online

Good for the Planet, Good for the Wallet: The ESG Impact on Financial Performance in India Prof. Tauhidul Islam Tanin
Friday, Feb. 9, 2024 - 2:00 PM
Department of Mathematics & Statistics, TTU

On subordinated generalizations of 3 classical models of option pricing Dr. Grzegorz Krzyżanowski
Friday, Jan. 26, 2024 - 12:00 PM
online

Risk budgeting portfolios: Existence and computation Prof. Olivier Guéant
Friday, Jan. 19, 2024 - 12:00 PM
online

Convergence of the fixed-point iteration for the Bass Local Volatility model Dr. Gudmund Pammer
Friday, Jan. 12, 2024 - 12:00 PM
online

Optimal Portfolio with Sustainable Attitudes under Cumulative Prospect Theory Prof. Massimiliano Kaucic
Friday, Nov. 10, 2023 - 12:00 PM
online

Modeling Bitcoin Volatility: A Dual Perspective Analysis Prof. Abootaleb Shirvani
Wednesday, Nov. 8, 2023 - 2:00 PM
online

When ESG talks: ESG tone of 10-K reports and its significance to stock markets Dr. Konstantin Ignatov
Friday, Nov. 3, 2023 - 2:00 PM
online

Investigating Short-Term Dynamics in Green Bond Markets Prof. Lorenzo Mercuri
Friday, Oct. 27, 2023 - 12:00 PM
online

Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital Massimo Guidolin
Friday, Oct. 13, 2023 - 12:00 PM
online

Identification and Estimation of Parameter Instability in High Dimensional Approximate Factor Models Prof. Ruiqi Liu
Friday, Oct. 6, 2023 - 2:00 PM
online

Folly and Fantasy in Finance Prof. Dilip Madan
Friday, Sep. 29, 2023 - 2:00 PM
online

ESG integration strategy for stocks portfolios based on a resampling methodology with a multivariate normal distribution Prof. Antonio Francisco de Almeida da Silva Jr.
Friday, Sep. 22, 2023 - 2:00 PM
online

Hedonic Models of Real Estate Prices with ESG Factors Jason Bailey
Friday, Apr. 28, 2023 - 3:00 PM
online

Did ESG Save the Day? Evidence From India During the COVID 19 Crisis Prof. Ved Beloskar
Friday, Apr. 21, 2023 - 10:00 AM
online

How Do Investors Value Sustainability? A Utility-Based Preference Optimization Dr. Aydin Aslan
Friday, Apr. 14, 2023 - 12:00 AM
online

ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks Beatrice Bertelli
Friday, Mar. 31, 2023 - 12:00 PM
online

A Comparison of ESG and Credit Ratings Prof. Thierry Roncalli
Friday, Mar. 24, 2023 - 12:00 PM
online

Risk-return performance of optimized ESG equity portfolios in the NYSE Prof. Javier Lopez Prol
Friday, Mar. 10, 2023 - 9:00 AM
online

Do lower ESG rated companies have higher systemic impact? Empirical Evidence from Europe and the United States Prof. Sandra Paterlini
Friday, Mar. 3, 2023 - 12:00 PM
online

Equity costs and risks in emerging markets: Are ESG and Sharia principles complementary? Stefan Pisera
Friday, Feb. 24, 2023 - 12:00 PM
online

The dilemma between ‘comply or explain’ and SRI, ESG methodology; transitional terminology Prof. Kazuyuki Shimizu
Friday, Feb. 17, 2023 - 4:00 PM
online

International market exposure to sovereign ESG Christian Morgenstern
Friday, Feb. 10, 2023 - 2:00 PM
online

Cross-dispersion bias-adjusted ESG rankings Prof. Jean-Charles Garibal
Friday, Feb. 3, 2023 - 12:00 PM
online

Sustainable Finance and E, S, and G Issues – Values versus value Prof. Laura T Starks
Friday, Jan. 27, 2023 - 2:00 PM
online

Does sustainability generate better financial performance? Review, meta-analysis, and propositions Ulrich Atz
Friday, Jan. 20, 2023 - 2:00 PM
online

On ESG Investing: Heterogeneous Preferences, Information, and Asset Prices Prof. Lin Shen
Friday, Jan. 13, 2023 - 2:00 PM
online

A simulation of the insurance industry: The problem of risk model homogeneity Dr. Juan Sabuco
Friday, Dec. 2, 2022 - 2:00 PM
online

Statistical analysis and stochastic interest rate modelling for valuing the future with implications in climate change mitigation Prof. John Geanakoplos
Friday, Nov. 18, 2022 - 2:00 PM
online

The economic impact of ESG ratings Prof. Julian Koelbel
Friday, Nov. 11, 2022 - 2:00 PM
online

A unified Bayesian framework for pricing catastrophe bond derivatives Prof. Matthew Dixon
Friday, Nov. 4, 2022 - 2:00 PM
online

ESG investments: Filtering versus machine learning approaches Dr. Carmine de Franco
Friday, Oct. 28, 2022 - 12:00 PM
online

Quantile diffusions for risk analysis Prof. Andrea Macrina
Friday, Oct. 21, 2022 - 2:00 PM
online

Mathematical psychology of behavioural dynamics Prof. Dorje C. Brody
Friday, Oct. 14, 2022 - 12:00 PM
online

Cross-sectional explanatory power of ESG features Prof. Damien Challet
Friday, Oct. 7, 2022 - 12:00 PM
online

The China trade shock and the ESG performances of US firms Prof. Hui Xu
Friday, Sep. 23, 2022 - 1:00 PM
online

ESGBERT: Language model to help with classification tasks related to companies ESG practice Srishti Mehra
Friday, Sep. 16, 2022 - 2:00 PM
online

Environmental, Social, Governance scores and the missing pillar: Why does missing information matter? Dr. Oezge Sahin
Friday, Sep. 9, 2022 - 12:00 PM
online

Artificial intelligence with uncertainty quantification can plug gaps in climate science and inform multi-sector resilience Prof. Auroop Ganguly
Friday, Sep. 2, 2022 - 2:00 PM
online