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    Global Seminar

The Global Seminar is an interfaculty event of the Faculty of Mechanics and Mathematics and the Moscow School of Economics of Moscow State University, organised by Vega Institute Foundation. It is headed by Professor Yuri Kabanov from the Department of Probability Theory of Moscow State University. If you want to join the seminar, please apply here. 

May 18, 15.00 GMT+3
Speaker: Walter Schachermayer (University of Vienna).
Title: A Weak Law of Large Numbers for Dependent
Random Variables.

Schedule for the spring semester 2022

February 12, 2022  Thaleia Zariphopoulou (The University of Texas at Austin)

Topic: Robo-advising modeling and methodological challenges.

February 19, 2022  Zbigniew Palmowski (Wroclaw University of Science and Technology)

Topic: Double continuation regions for American options.

February 26, 2022  Darrell Duffie (Stanford University)

Topic: Fragmenting Financial Markets.

March 12, 2022    Ioannis Karatzas (Columbia University)

Topic: Portfolio theory and arbitrage.

March 26, 2022  Sergei Vartanov

Topic: Optimal advertising under uncertainty.

April 9, 2022   Mikhail Zhitlukhin (Steklov Mathematical Institute)

Topic: Asymptotic optimality in a repeated prediction game.

April 23, 2022 Shige Peng (Shandong University)

Topic: SDE, BSDE under Nonlinear Expectation and the Paths of PDE.   \

May 7, 2022 Alexander Melnikov (University of Alberta)

Title: Bachelier model revisited: extensions, option pricing and related questions.

May 18, 2022  Walter Schachermayer (University of Vienna)
        Title: A Weak Law of Large Numbers for Dependent Random Variables.

The list of past sessions of the Global Seminar:

Fall semester 2021

September 25, 2021 Rama Cont (Mathematical Institute, University of Oxford)

Topic: Liquidity and volatility in electronic markets: a stochastic journey across time scales.

October 2, 2021 Ernst Eberlein (University of Freiburg)

Topic: Fourier based methods for the management of complex life insurance products.

October 9, 2021  Nizar Touzi (Ecole Politechique, Paris)

Topic: Mean field game of mutual holding

October 16, 2021 Kostas Kardaras (London School of Economics)

Topic: Estimation of growth in fund models.
         October 23, 2021 Josef Teichman (ETH Zurich)
Topic: Gaussian processes, signatures and kernelizations.

October 30, 2021 Paolo Guasoni (Dublin City University)

Topic: Lightning network economics: channels.

November 6, 2021 Evgeny Burnaev (Skoltech)

Topic: Large-Scale Wasserstein Gradient Flows.

November 13, 2021 Masaaki Fukasawa (Osaka University)

Topic: Realized cumulants for martingales.

November 20, 2021 Vasili Kolokoltsov (University of Warwick)

Topic: Inspection — corruption game of illegal logging and other violations: generalized evolutionary approach.

November 27, 2021  Martin Schweizer  (ETH Zurich) 

Topic: What is absence of arbitrage in a general setting?

December 1, 2021 Walter Schachermayer (University of Vienna)

Topic: Faking Brownian motion with continuous Markov martingales.

December 11, 2021 Thorsten Schmidt (University of Freiburg)

Topic: The future of insurance? Taming the stock market in insurance products.

December 15, 2021 Jan Obloj (University of Oxford)

Topic: Sensitivity analysis for Wasserstein Distributionally Robust Optimization and its applications

December 23, 2021 Dmitry Kramkov (Carnegie Mellon University)

Topic: Replication under Price Impact and Martingale Representation Property.

2020/2021 academic year
May 22, 2021  Pavel Shevchdnko (Macquarie University Sydney).

Subject: Bias-corrected Least Squares Monte Carlo for Utility-Based Optimal Stochastic Control Problems.

May 15, 2021  Juri Hinz (University of Technology Sydney). 

Subject: An Algorithmic Approach to Optimal Asset Liquidation Problems.

April 17, 2021 Albina Danilova (LSE). 

Subjects: On Pricing Rules and Optimal Strategies in General Kyle-Back Models.

April 10, 2021 Rostislav Protasov 

Subject: Practical Aspects of Risk-Based Margining.

April 3, 2021 Dmitry Muravey (together with Andrey Itkin), Moscow State University 

Subject: Semianalytic Pricing of Double Barrier Options with Time-Dependent Barriers and Discounts Upon Reaching the Barrier

March 27, 2021 Miryana Grigorova (University of Leeds) 

Subject: Assessment and Hedging of Options in Non-Linear Model of Noncomplete Market.

March 20, 2021 Marvin Müller (ETH Zurich) 

Subject: Statistical Aggregate of Analyst’s Forecasts.

March 13, 2021 Ernest Presmann (Moscow, Central Economic and Mathematical Institute of the Russian Academy of Sciences) and Isaac Sonin (University of North Caroline in Charlotte) 

Subject: Inventory Model with Commodity Prices Dependent on Markov Chain with Continuous Time.

March 6, 2021  Alex Lipton (MIT)  

Subject: Blockchains in perspective and retrospective. 

February 27, 2021 Denis Belomestny (University of Duisburg-Essen). 

Subject: Semitractability of Optimal Stopping Problems Via a Weighted Stochastic Mesh Algorithm.

February 20, 2021 (University of Duisburg-Essen) 

Subject: Trade Execution with Stochastic Liquidity in Discrete and Continuous Time.

February 13, 2021 Konstantin Borovkov (Univeristy of Melbourne) 

Subject: The Exact Ssymptotics of the Large Deviation Probabilities in the Multivariate Boundary Crossing Problem.

December 12, 2020 Alexander Melnikov (University of Alberta).  

Subject: On Modifications of the Bachelier Model and Option Pricing.

December 5, 2020 Sergey Pergamenchtchikov (Université de Rouen). 

Subject: Hedging Problems for Asian Options with Transaction Costs.

November 28, 2020 Juri Hinz (University of Technology Sydney).  

Subject: On Optimal Planning of Double-Spending Attacks.

November 21, 2020 Ilya Molchanov (University of Bern). 

Subject: Towards Geometry and Set-Valued Functions in Multivariate Finance. 

November 14, 2020 Peter Tankov (ENSAE, Paris).

Subject: Price Formation and Optimal Trading in Intraday Electricity Markets.

October 31, 2020 Dmitry Kramkov (Carnegie Mellon).  

Subject: An Optimal Transport Problem with Backward Martingale

Constraints Motivated by Insider Trading

October 24, 2020 Rostislav Berezovsky (FinForge). 

Subject: Stablecoins: Implementation Examples and Lines of Research.