Peter K. Friz: conference activities and related topics, 2010 -
 Share
The version of the browser you are using is no longer supported. Please upgrade to a supported browser.Dismiss

 
View only
 
 
ABCDEFGHIJKLMNOPQRST
1
datelocationname of meetingweblinkwhattitle / detailsabstractDR Abradd info / weblinks
2
February 2U PotsdamAnalysis Seminar*** talk cancelled ***speakerAlgebraic geometry meets rough pathsabstract: The stack of iterated integrals - the signature - of a path has played a key role in Lyons' rough path analysis and gave rise, recently, to the so-called signature method in machine learning. The geometry of signatures is a rich field by itself. I will survey the Lie group and Hopf algebra perspective, and then report on work in progress with C. Amendola Ceron and B. Sturmfels, in which we study signatures in the framework of algebraic geometry.
3
Feb 5-10Berlin Schulferien
4
February 13Imperial CollegeStochastic Analysis Seminarhttp://www.imperial.ac.uk/stochastic-analysis-group/seminars--events/regular-seminars/speakerRough path analysis of rough volatilityabstract: We will explain that the analysis of rough volatility models becomes a natural application area of rough paths and regularity structures. As a specific application, we will consider the option pricing problem in the moderate regime.
5
14 - 15 FebWarwickProbability Seminarhttps://warwick.ac.uk/fac/sci/maths/research/events/seminars/areas/stochastic/speaker
6
16 FebMPI Leipzigvisit Sturmfels
7
13-16 March 2018
Osaka University Nakanoshima CenterMathematical Finance and Related Issueshttp://www-mmds.sigmath.es.osaka-u.ac.jp/structure/workshop2018/index.htmlorganizer[21.12.17 - 02.01.18]
[05.02.18 - 10.02.18]
[26.3.18 - 6.4.18]
[05.07. - 17.08]
8
Mar 26 - Apr 4Berlin Schulferien
9
12 - 13 AprilTU Fak II Retreat
10
18-20 Aprilnear BerlinDeep Learning Retreat
11
24-26 AprilBerlinPathwise SLEhttps://sites.google.com/view/pathwiseslemeetingberlin2018/startseiteorganizer
12
25-26 AprilKölnMATHS+ Evaluierungparticipant
13
2-4 Mai 2018ParisBerlin-Paris Young Researchers workshop on
Stochastic Analysis with Applications in Biology and Finance
https://bpy2018.wixsite.com/bpstochastics invited speakerRough analysis of rough volatility
14
7-9 May 2018WarwickSeminarVarieties, Signature Tensors, Rough PathsThe signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is here examined through the lens of algebraic geometry. We introduce varieties of signaturetensors for both deterministic and random paths. For the former, we focus on piecewise linear paths, on polynomial paths, and on varieties derived from free nilpotent Lie groups. For the latter, we focus on Brownian motion and its mixtures. Joint work with Carlos Améndola and Bernd Sturmfels
15
11 May 2018PotsdamSeminarVarieties, Signature Tensors, Rough Pathsas above
16
Mo, 14. Mai 2018 – Fr, 18. MaiLuminy, FranceSPDE Meetinghttps://conferences.cirm-math.fr/1742.htmlScientific Committee
17
Mi, 16. MaiGlobal Derivatives 2018, LisbonSteram: Volatility modelling & Tradinghttps://www.clocate.com/conference/25th-Global-Derivatives-Trading-and-Risk-Management-2018/24238/invited speakerStepping Stoch Vol and Related Topics
18
Mi, 16. MaiGlobal Derivatives 2018, LisbonSteram: Volatility modelling & Tradinghttps://www.clocate.com/conference/25th-Global-Derivatives-Trading-and-Risk-Management-2018/24238/panel discussionAsymptotics in Finance
19
22 - 23 MayBerlin Schulferien
20
May 26 - Jun 8Visit A. Gulisashvili
21
Jun 5ETH Zurich“METE - Mathematics and Economics: Trends and Explorations”, in honor of Mete Soner’s 60th birthday.https://www.math.ethz.ch/fim/conferences/METE.htmlinvited speakerAnalysis of rough volatility via rough paths / regularity structuresA new paradigm recently emerged in financial modelling: rough (stochastic) volatility, first observed by Gatheral et al. in high-frequency data, subsequently derived within market microstructure models, also turned out to capture parsimoniously key stylized facts of the entire implied volatility surface, including extreme skews that were thought to be outside the scope of stochastic volatility. On the mathematical side, Markovianity and, partially, semi-martingality are lost. We show that Hairer's regularity structures, a major extension of rough path theory, which caused a revolution in the field of stochastic partial differential equations, also provides a new and powerful tool to analyze rough volatility models. This talk is based on joint works with C. Bayer, P. Gassiat, J. Martin, B. Stemper and P. Pigato.
22
June 8-9FOR2402 Retreat
23
June 11- 16Visit G. Cannizaro
24
June 14-16, 2018WIAS BERLIN9th annual ERC Berlin-Oxford meetinghttp://www.wias-berlin.de/workshops/YRM2018/organizer
25
18 - 22 JUNE 2018. BUDAPESTNINTH INTERNATIONAL WORKSHOP ON APPLIED PROBABILITY (IWAP2018)https://iwap2018.com/en/SCIENTIFIC_PROGRAM/Plenary_Speakersplenary speakerRough path analysis of rough volatilityWe will explain that the analysis of rough volatility models becomes a natural application area of
rough paths and regularity structures (arxiv.org/abs/1710.07481). As a specific application, we consider
the problem of precise asymptotics under rough volatility. This is joint work work with C. Bayer, P. Gassiat, J. Martin, P. Pigato and B. Stemper.
26
21-22 JuneImperial CollegeWorkshop on Stochastic Analysis, Geometry and Statisticshttp://www.imperial.ac.uk/sagest-2018/ .invited speakerVarieties of Signature Tensors
The signature of a parametric curve is a sequence of tensors whose entries are iterated integrals. This construction is central to the theory of rough paths in stochastic analysis. It is here examined through the lens of algebraic geometry. We introduce varieties of signature tensors for both deterministic and random paths. For the former, we focus on piecewise linear paths, on polynomial paths, and on varieties derived from free nilpotent Lie groups. For the latter, we focus on Brownian motion and its mixtures. Joint work with Carlos Améndola and Bernd Sturmfels
27
July 2-4, 201812th International Vilnius Conference on Probability Theory and Mathematical
Statistics and 2018 IMS Annual Meeting on Probability and Statistics
28
05/07/2018 - 19/08/2018Berlin Schulsommerferien
29
6th of July, 2018.Berlin6th colloquium of the Einstein Center for MathematicsRough Paths, Stochastics and PDEsI will introduce the basic ideas of Lyons' rough path analysis, taking a numerical analysis perspective. The theory is purely deterministic but allows for many applications to stochastic analysis and PDEs. I will mention large deviations and homogenization as natural application areas of these ideas, making a link to the other talks of this EC
Colloquium.
30
23 - 27 Juli, 2018SMFP 2018 Greece
31
Mon 3rd Sep 2018 - Fri 7th Sep 2018 (5 days).INI CambridgeRenormalisation in Field Theory and stochastic pde: a gentle introduction and some recent developmentshttps://www.newton.ac.uk/event/srqw01
32
Sept. 9-14, 2018Stochastic Analysis workshop, Oaxaca
33
Wed 19th Sep 2018 - Fri 21st Sep 2018 (3 days).INI Cambridge
34
Wed 26th Sep 2018 - Fri 28th Sep 2018 (3 days).INI Cambridge
35
22/10/2018 - 02/11/2018Berlin Herbstferien
36
Mon 10th Dec 2018 - Fri 14th Dec 2018 (5 days).INI CambridgeConclusions and Future Directions Workshop
37
38
39
40
Mar 18-22, 2019Conference on Rough Paths, SPDEs and Related Topics (working title)
41
Sep 16-20, 2019Sep 19-21DEA 2019 September 16-20, 2019http://www.dea.agh.edu.pl/organizer mini-symposium,
invited speaker
42
http://www.berlin.de/sen/bjf/service/kalender/ferien/artikel.420979.php
43
Sep 26-28
44
45
10th December 2018 to 14th December 2018
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
Loading...
 
 
 
2018
2017
2016
2015
2014-
2013
2012
2011
2010
 
 
Main menu