1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr | add info / weblinks |
---|---|---|---|---|---|---|---|---|---|

2 | Feb 10, 2017 | Potsdam | Colloquium | Rough paths perspective on renormalization | |||||

3 | 2/26/2017 - 3/4/2017 | Oberwolfach | Mathematics of Quantitative Finance (ID: 1709) | https://www.mfo.de/occasion/1709/www_view | organizer | ||||

4 | [TUB-SS17: 18.04.2017-22.07.2017] | ||||||||

5 | 27/3/2017 | Imperial | 5th Imperial -ETH Workshop on Mathematical Finance. | plenary speaker | Aspects of rough volatility | We discuss how a major extension of rough path theory known as regularity structures, gives rise to new mathematical tools for the analysis of rough volatility models. Applications include small noise/time approximations in the spirit of the SABR formula, as well as higher order numerical schemes. This is joint work with C. Bayer (WIAS Berlin), P. Gassiat (Paris Dauphine), A. Gulisashvili (Ohio), B. Horvath (Imperial), J. Martin (HU Berlin) and B. Stemper (TU and WIAS Berlin). | |||

6 | 8-12 Mai | Barcelona | Global Derivatives | invited speaker | A Regularity Structure for Rough Volatility | We discuss how the work of Hairer (Fields Medal 2014), a major extension of rough path theory known as regularity structures, gives rise to new mathematical tools of interest for the analysis of rough volatility models. Applications include small noise/time approximations in the spirit of the SABR formula, as well as higher order numerical schemes. This is joint work with C. Bayer (WIAS Berlin), P. Gassiat (Paris Dauphine), J. Martin (HU Berlin) and B. Stemper (TU Berlin). | |||

7 | Do, 18-Mai --> Sa, 20-Mai | Berlin | 7th Berlin-Oxford meeting / | ||||||

8 | June 8-9, 2017 | Barcelona | Fractional Brownian Motion and Rough Models | http://www.barcelonagse.eu/summer-forum/workshop-fractional-brownian-motion-rough-models | |||||

9 | July 10th to July 20th 2017. | Durham, UK | Durham Symposium on Stochastic Analysis | invited speaker | [Attention: 2017 Berlin Summer School Holiday 20.07 - 01.09] | ||||

10 | [Dresden Summer School 28.09 - 01.09] | ||||||||

11 | Mo, 4. September 2017 – Fr, 8. September 2017 | Kaiserlautern | Japanese-German Meeting | invited speaker | "A rough path perspective on renormalisation" | ||||

12 | September 11-15, 2017 | Paris-Lodron University of Salzburg | 19th ÖMG Congress and Annual DMV Meeting | http://fuchsc.sbg.ac.at/congress/ | Leitung der Sektion Probability Theory | ||||

13 | |||||||||

14 | [TUB-WS17-18: 16.10.2017 - 17.02.2018] [Herbstferien 23.10. - 04.11.] | ||||||||

15 | [21.12.17 - 02.01.18] [05.02.18 - 10.02.18] [26.3.18 - 6.4.18] [05.07. - 17.08] | ||||||||

16 | Sept 3 - 7, 2018 | INI Cambridge | Renormalisation in Field Theory and stochastic pde: a gentle introduction and some recent developments | ||||||

17 | Sept. 9-14, 2018 | Stochastic Analysis workshop, Oaxaca | |||||||

18 | |||||||||

19 | |||||||||

20 | http://www.berlin.de/sen/bjf/service/kalender/ferien/artikel.420979.php | ||||||||

21 | |||||||||

22 | |||||||||

23 | |||||||||

24 | |||||||||

25 | |||||||||

26 | |||||||||

27 | |||||||||

28 | |||||||||

29 | |||||||||

30 | |||||||||

31 | |||||||||

32 | |||||||||

33 | |||||||||

34 | |||||||||

35 | |||||||||

36 | |||||||||

37 | |||||||||

38 | |||||||||

39 | |||||||||

40 | |||||||||

41 | |||||||||

42 | |||||||||

43 | |||||||||

44 |

1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr | add info / weblinks |
---|---|---|---|---|---|---|---|---|---|

2 | 06/01/2016 - 10/01/2016 | Imperial College | Stochastic Analysis, Rough paths, Geometry | https://sites.google.com/site/sarpg2016/ | invited speaker | A regularity structure for rough volatility | |||

3 | 17/1/2016 - 24/1/2016 | TU Berlin | Guest: Ugo Boscain (Paris), mini-course | https://www.mathematik.hu-berlin.de/de/rtg1845/qualprog/minicourses | host, incoming visitor | ``Geodesics, Laplacians and random walks in sub-Riemannian geometry'' | |||

4 | 7 - 14 Feb 2016 | TU Berlin | Guest: Terry Lyons | host, incoming visitor | |||||

5 | 8-12 February 2016 | U Potsdam | Paths to, from and in renormalisation. At the confluence of rough paths, algebra, analysis and geometry. | http://recherche.math.univ-bpclermont.fr/~manchon/Potsdam2016/paths.html | |||||

6 | 16-17 February 2016 | TU Berlin | WIAS DAY | plenary speaker | Plenarvortrag "Rough paths and SPDEs" | We will present some typical problems arising in non-linear stochastic partial differential equations, and explain how rough paths inspired techniques have led to much recent progress here (Hairer and others, 2012-). From a mathematical point of view, this is a consistent way to multiply Schwartz distributions. Remarkably, similar techniques have recently proved useful in the context of rough volatility, a present hot topic in Quantitative Finance pioneered by Gatheral--Rosenbaum and Bayer et al. (2014-). | |||

7 | 24-26 Feb | TU Berlin | Guest: Arpad Pinter (TU Wien) | host, incoming visitor | |||||

8 | 07-?? Feb | TU Berlin | Guest: Yvain Bruned (Warwick) | host, incoming visitor | |||||

9 | 09-10/03/2016 | Warwick | PhD defense / Matetski, Konstantin | Title: Discretisations of Rough Stochastic Partial Differential Equations | examiner | ||||

10 | 17-18/03/2016 | Bamberg | Humboldt Award Lyons | ||||||

11 | 18/03/2016 | Pisa | PhD report / Maurelli, Mario | Title: Regularization by noise in finite dimension | reviewer | ||||

12 | Tuesday 29th March 2016 to Saturday 02nd April 2016 | Warwick | Probabilistic models - from discrete to continuous | http://www2.warwick.ac.uk/fac/sci/maths/research/events/2015-16/nonsymposium/pmdc | invited speaker | [Attention: Berlin Easter School Holiday 21.3 - 3.4] | |||

13 | 10 - 14 April 2016 | TU Berlin | Guest: Terry Lyons | host, incoming visitor | |||||

14 | 13.04 - 15.04.2016 | MPI Leipzig | Berlin-Leipzig workshop in analysis and stochastics | http://www.mis.mpg.de/de/veranstaltungen/konferenzen/2016/be-le.html | organizer | ||||

15 | 1 May - 7 May 2016 | Oberwolfach | Rough Paths, Regularity Structures and Related Topics (ID: 1618) | https://www.mfo.de/occasion/1618/www_view | organizer | ||||

16 | May 16 – 20, 2016 | Greater NY area | Stochastic Partial Differential Equations (organizer: M. Hairer) | http://scgp.stonybrook.edu/archives/14866 | invited speaker | Support Theorem for the (generalized) parabolic Anderson model | |||

17 | 26/05/2016 | Oxford | PhD defense / Flint, Guy | Title: Discrete approximations in stochastic rough path theory | examiner | ||||

18 | May 29th - June 4th, 2016 | Levico | SPDE X“Stochastic Partial Differential Equations and Applications - X” | https://sites.google.com/site/levico2016/program/program | invited speaker | Support theorem for singular SPDEs: the case of gPAM | https://cirm.fbk.eu/events/stochastic-partial-differential-equations-and-applications-x | ||

19 | 6.6. - 16.6 | TU Berlin | Guest: A. Gulisashvili (Ohio) | host, incoming visitor | |||||

20 | Wed, 8 Jun - Fri, 10 Jun | TU Berlin | Guest: Y. Wang (ETH) | host, incoming visitor | |||||

21 | 8.6. - 16.6. | TU Berlin | Guest: B. Horvath (ETH) | host, incoming visitor | |||||

22 | 20.6 - 23.6 (TBC) | TU Berlin | Guest: H. Tran (UCLA) | host, incoming visitor | |||||

23 | Thursday-Friday, June 23-June 24, 2016 | University of Mannheim | workshop on “Stochastic Differential Equations” | http://wima5.math.uni-mannheim.de/en/workshops/workshop-on-stochastic-differential-equations-2016/ | invited speaker | cancelled | |||

24 | June 27, 2016 to June 30, 2016. | Edinburgh | At the frontiers of Quantitative Finance | http://www.icms.org.uk/workshop.php?id=366 | invited speaker | Option Pricing in the Moderate Deviations Regime | |||

25 | [Attention: 30.6 - 12.7 Wg] | ||||||||

26 | July 18 - 22, 2016 | TU Berlin | 7ECM | http://www.7ecm.de/ | [Attention: Berlin Summer School Holiday 21.7-4.9] | ||||

27 | August 12 - 15, 2016 | Weierstrass Institute, Berlin | 5th Annual ERC Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis | https://www.wias-berlin.de/workshops/YRM2016/ | organizer | ||||

28 | 15. – 19. August 2016 | TU Berlin | Varadhan 75 | http://www.wias-berlin.de/workshops/index.jsp?lang=0 | organizer and invited speaker | A Stroock-Varadhan support theorem for a singular SPDE | We consider the generalized parabolic Anderson equation (gPAM) in 2 dimensions with periodic boundary. This is an example of a singular semilinear stochastic partial differential equation in the subcritical regime, which can be understood either via Hairer’s regularity structures or paracontrollled distributions due to Gubinelli, Imkeller and Perkowski. Using the paracontrolled machinery we obtain a Stroock–Varadhan support theorem. In the spirit of rough paths, the crucial step is to identify the support of the enhanced noise in a sufficiently fine topology. The renormalization is seen to affect the support description in a delicate way. (Joint work with K. Chouk) | ||

29 | |||||||||

30 | Mon–Wed, Sept. 12–14, 2016 | Vienna | Vienna Congress on Mathematical Finance - VCMF 2016 | https://fam.tuwien.ac.at/events/vcmf2016/index.php | invited speaker | Option Pricing in the Moderate Deviations Regime | We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options. First and higher order small-time moderate deviation estimates of call prices and implied volatility are obtained. The expansions involve only simple expressions of the model parameters, and we show in detail how to calculate them for generic stochastic volatility models. (Joint work with S. Gerhold and A. Pinter.) Time permitting, I will report on similar result in classes of rough volatility models. | ||

31 | Oct 7-8 | Imperial College London | Rough Volatility Meeting | - | organizer | ||||

32 | October 10 — 14, 2016 | Bielefeld University | Stochastic Partial Differential Equations and Related Fields | https://www.math.uni-bielefeld.de/sfb701/2016_SPDERF/ | invited speaker | Malliavin Calculus for regularity structures: the case of gPAM | Malliavin calculus is implemented in the context of [M. Hairer, A theory of regularity structures, Invent. Math. 2014]. This involves some constructions of independent interest, notably an extension of the structure which accomodates a robust, and purely deterministic, translation operator, in L2-directions, between "models". In the concrete context of the generalized parabolic Anderson model in 2D - one of the singular SPDEs discussed in the afore-mentioned article - we establish existence of a density at positive times. Joint work with. G. Cannizzaro (Berlin/Warwick) und P. Gassiat (Paris). | ||

33 | October 17 — 21, 2016 | Korteweg-de Vries Institute for Mathematics, Amsterdam | Seminar | invited seminar speaker | Signatures, rough paths and probability | A powerful summary of path is given by the sequence of its iterated integrals, viewed as element in an infinite-dimensional tensor algebra. I will survey the main results in this area, making in particular the link to rough path analysis and its applications to probability theory. | |||

34 | October 26 - 30 | TU Wien | Visit S. Gerhold | ||||||

35 | November 9 - 11 | Madrid | Colloquium | invited colloquium speaker | From rough paths to regularity structures and back | Many key objects in Hairer's theory have a clear correspondence in rough path theory (rough path in the sense of Lyons -> model, controlled rough path in sense of Gubinelli -> modelled distribution, rough integration -> reconstruction map etc.). However, the theory of regularity structures then proceeds with heavy Hopf algebraic considerations, crucially needed for a unified approach to renormalisation of subcritical singular SPDEs (Hairer, Bruned, Zambotti, Chandra ...). In this talk we will explain that many of these considerations actually do arise in the context of (geometric resp. branched) rough paths, including the need for renormalisation in some finite-dimensional examples. Joint work with I. Chevyrev (Berlin) and Y. Bruned (Warwick). | |||

36 | December 8-10 | Oxford | Berlin-Oxford Meeting | https://docs.google.com/spreadsheets/d/1uSLi6e1aUD-NkxH0Ko6mavrwCcgZLZnWWLC8ysL113g/pubhtml?gid=1508783462&single=true | organizer |

1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr | add info / weblinks | |
---|---|---|---|---|---|---|---|---|---|---|

2 | 15/01/2015 | Muenster | Colloquium Vortrag | invited speaker | Rough paths | I will survey the basic ideas of rough paths, with focus on the techniques that have prove useful in the analysis of stochastic partial differential equations. | ||||

3 | January 27-29, 2015 | WIAS Berlin | 3rd Annual ERC Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis | http://www.wias-berlin.de/workshops/YRM2015/ | organizer | |||||

4 | March 9-13th 2015 | Edinburgh | Stochastic Systems Simulation and Control 2015 Workshop (SSSC2015) | invited speaker | ||||||

5 | 23.3. bis 27.3. 2015 | Bonn | Rough Path Mini-Kurs im Rahmen des Junior Trimester Programms am Hausdorff Institut | http://www.him.uni-bonn.de/programs/future-programs/future-junior-trimester-programs/optimal-transportation/lecture-series/ | invited spring school lectures (details TBC) | https://drive.google.com/file/d/0B2Ji0NvZ00FKdGh3RDQwSnVmWG8/view?usp=sharing | https://drive.google.com/file/d/0B2Ji0NvZ00FKWkdobWtBQmgtbzQ/view?usp=sharing | https://drive.google.com/file/d/0B2Ji0NvZ00FKeE1VUU9JZHIxYmc/view?usp=sharing | https://drive.google.com/file/d/0B2Ji0NvZ00FKSzB1R3hnc3huVEU/view?usp=sharing | |

6 | Apr 21- 23, 2015 | Cambridge | Invited Lecture Series | http://www.maths.cam.ac.uk/postgrad/mathiii/courseguide/2014-15/cg9/RoughPathsandRegularityStructures.pdf | ||||||

7 | Apr 28- 30, 2015 | Cambridge | Invited Lecture Series | as above | ||||||

8 | May 4- 7 2015 | Cambridge | Invited Lecture Series | as above | ||||||

9 | 11-14 May 2015 | Luminy | Averaging and Homogenization in Deterministic and Stochastic Systems. | http://scientific-events.weebly.com/1198.html | ||||||

10 | 18-22 May 2015 | Amsterdam | Global Derivatives | https://drive.google.com/file/d/0B2Ji0NvZ00FKZ3plSnNlcDBSdDIxS0I2NDNIVGE0emhKQlFR/view?usp=sharing | ||||||

11 | University of Padova | PhD defense / Paolo Pigato | Title: Multi-scaling of moments in stochastic volatility models | reviewer | ||||||

12 | 13-17th of July 2015 | Oxford | SPA | inivited session speaker | ||||||

13 | 27-29 Sep 2015 | Rennes | HDR Ismael Bailleul | Title: CONTRIBUTIONS TO STOCHASTIC DIFFERENTIAL GEOMETRY AND ROUGH PATHS THEORY | examiner | |||||

14 | 24/09/2015 | HU Berlin | PhD defense D. Proemel | Title: Robustness Stochastic Analysis with Applications | examiner | |||||

15 | 30 Sep - 1 Oct | ETH Zuerich | PhD defense / Doktorprüfung Blanka Horvath | Title: ROBUST METHODS FOR THE SABR MODEL AND RELATED PROCESSES: ANALYSIS, ASYMPTOTICS AND NUMERICS | examiner | |||||

16 | Dec 7-9, 2015 | Berlin | Berlin-Oxford meeting | https://www.wias-berlin.de/workshops/YRM-December2015/ | ||||||

17 | 09/12/2015 | TU Berlin | PhD defense / A. Shekhar | Title: Rough paths, probability and related topics | examiner | |||||

18 | 14/12/2015 | Paris 6 | PhD defense / Y. Bruned | Title: Equations singulières de type KPZ | rapporteur | |||||

19 | ||||||||||

20 | 06/01/2016 - 10/01/2016 | Imperial College | Stochastic Analysis, Rough paths, Geometry | https://sites.google.com/site/sarpg2016/ | invited speaker | |||||

21 | TBC (2016) | Warwick | PhD defense / Matetski, Konstantin | |||||||

22 | Tuesday 29th March 2016 to Saturday 02nd April 2016 | Warwick | Probabilistic models - from discrete to continuous | invited speaker | ||||||

23 | 1 May - 7 May 2016 | Oberwolfach | Rough Paths, Regularity Structures and Related Topics (ID: 1618) | https://www.mfo.de/occasion/1618/www_view | organizer | |||||

24 | May 16 – 20, 2016 | Greater NY area | Stochastic Partial Differential Equations (organizer: M. Hairer) | http://scgp.stonybrook.edu/archives/14866 | invited speaker | |||||

25 | Thursday-Friday, June 23-June 24, 2016 | University of Mannheim | workshop on “Stochastic Differential Equations” | invited speaker | ||||||

26 | June 27, 2016 to June 30, 2016. | Edinburgh | At the frontiers of Quantitative Finance from | International Centre for Mathematical Sciences (www.icms.org.uk) in Edinburgh, Scotland | June 27, 2016 to June 30, 2016 | |||||

27 | 2/26/2017 - 3/4/2017 (MM/DD/YYYY) | Oberwolfach | Mathematics of Quantitative Finance (ID: 1709) | organizer | ||||||

28 | July 10th to July 20th 2017. | Durham, UK | Durham Symposium on Stochastic Analysis | invited speaker |

1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr | add info / weblinks |
---|---|---|---|---|---|---|---|---|---|

2 | 6-10 January 2014 | Trento | SPDE Meeting, Levico Terme | http://www.science.unitn.it/~tubaro/spde14.html | invited speaker | Gaussian rough paths with applications to SPDEs | We consider classes of SPDEs where the noise can be understood in a roughpathwise fashion. The first approach is based on Kunita type flow decompositions combined with viscosity theory. A different approach passes through a "rough" Feynman-Kac type formula based on Gaussian rough path analysis (which also proved useful in Hairer's KPZ analysis). Time permitting, I will also report on a recent result concerning stochastic viscosity solutions a la Lions-Souganidis for fully non-linear equations with x-dependent Hamiltonian. | ||

3 | 20/01/2014 | Paris | PhD exam, Khalil Chouk | ||||||

4 | January 27 - 31, 2014 | L.A. | Rough Paths: Theory and Applications | http://www.ipam.ucla.edu/programs/rp2014/ | co-organizer | ||||

5 | 05/02/2014 | Potsdam | Kolloquiumsvortrag | invited speaker | Signatures, rough paths and related topics | A powerful summary of path is given by the sequence of its iterated integrals, viewed as element in an infinite-dimensional tensor algebra. I will survey the main results in this area, making in particular the link to Lyons' rough path theory and its applications to stochastic analysis. | |||

6 | 10-15 Feb 2014 | Toulouse | work shop on rough path theory and partial differential equation | http://www.math.univ-toulouse.fr/edp_proba/index.php?id=4 | invited spring school lectures (4 x 60 min) | Rough path and stochastic analysis | We shall explain the basics of rough path theory with particular focus on the construction of random rough paths in a non-martingale setting. Gaussian tools play a key role. Applications to SPDEs will be given. | ||

7 | Monday, 17 February | Berlin | BMS Days 2014 | http://www.math-berlin.de/academics/bms-days | invited speaker | Signatures, rough paths and probability | A powerful summary of path is given by the sequence of its iterated integrals, viewed as element in an infinite-dimensional tensor algebra. I will survey the main results in this area, making in particular the link to rough path analysis and its applications to probability theory. | ||

8 | 04. bis 07. Maerz 2014 | Ulm | 11. Stochastik Tage | Sektionsleitung "Stochastic Analysis" | |||||

9 | 14/03/2014 | Paris | Model Approximation and Numerical Methods | https://www.ceremade.dauphine.fr/~bouchard/ModelsRisks/lectures_and_workops.html | invited speaker | Implied, local and stochastic volatility: analytical results in Heston and Stein Stein | I will survey some techniques, finite and infinite-dimensional, which allow to analyze implied and local volatiliy in various asymptotic regimes, resulting in many new closed form expression. (Joint with S. Gerhold, S. De Marco and others.) Time permitting, I shall also report on a novel regularization scheme for the local volatility surface, allowing diffusion based simulations also in presence of jumps. (Joint with S. Gerhold and M. Yor.) | ||

10 | 02/06/2014 | MFO | Around KPZ | invited speaker | Basic of rough paths | ||||

11 | July 1- 3, 2014 | Oxford | Berlin-Oxford meeting | http://www.oxford-man.ox.ac.uk/events/berlin-oxford-young-researchers-meeting-on-applied-stochastic-analysis-1519 | organizer and speaker | https://docs.google.com/spreadsheet/ccc?key=0AkOXfE1FIjGCdDg0X0VmTFBSaGpXdTQ5eUFVVWhhbEE&usp=sharing#gid=0 | |||

12 | 7 -11 July 2014 | Madrid | Special session on SPDE at the AIMS-conference | www.aimsciences.org/conferences/2014/ | invited speaker | Fully-nonlinear SPDEs with rough path dependence | We shall briefly review the pathwise approach to fully non-linear stochastic partial differential equations due to Lions--Souganidis. In some cases (joint work Caruana, Diehl, Oberhauser) this was extended to rough path noise in the sense of Lyons. The focus of this talk will be on a fully non-linear evolution equations, with noise of the form H(x,Du)∘dB where the Hamiltonian is quadratic in Du and B can be an arbitrary, scalar continuous path. | https://drive.google.com/file/d/0B2Ji0NvZ00FKcHNvNzMxY05kbjQ/edit?usp=sharing | |

13 | 7-11 July 2014 | Sydney | Joint Meeting between the IMS and the ASC (Australian Statistical Conference) | organizer (invited session) | Rough paths | RPT | |||

14 | 6,7 Oct 2014 | Paris | IHP Trimester, Geometry, Analysis and Dynamics on Sub-Riemannian ManifoldsInstitut Henri Poincaré, Paris | http://www.cmap.polytechnique.fr/subriemannian/programma.html | invited lectures (minicourse on rough paths) | Short course on rough paths | RPT | ||

15 | 08/10/2014 | Paris | IHP Trimester, Geometry, Analysis and Dynamics on Sub-Riemannian ManifoldsInstitut Henri Poincaré, Paris | http://www.cmap.polytechnique.fr/subriemannian/programma.html | co-organizer | Thematic day in Rough paths | RPT | ||

16 | 10/10/2014 | Edinburgh | Probability Seminar | inivited seminar talk | Rough paths, with jumps | Abstract: Over the last years Lyons' rough path theory has led to spectular breakthroughs in SDE and SPDE theory (Hairer). However, the theory takes place in spaces of continuous paths. I will introduce cadlag rough paths and explain similarties and differences to the continuous theory. A general class of Levy rough paths is introduced and characterized by structural conditions of Hunt's generator, explicit formulae for the expected signature are computed. Joint work with Atul Shekhar. | |||

17 | |||||||||

18 | |||||||||

19 | |||||||||

20 | |||||||||

21 | |||||||||

22 | LEGEND: | RK ABR OK | ABSCHLAG + MISSING RK ABR | NOTHING SO FAR | |||||

23 | |||||||||

24 | did not cause travel expenses | travel costs occured, not yet submitted |

1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr | add info / weblinks |
---|---|---|---|---|---|---|---|---|---|

2 | 8 - 12 April 2013 | Cambridge | UK Probability Easter Meeting; Geometry and Analysis of Random Processes | http://www.statslab.cam.ac.uk/GARP/index.html | invited talk | Some aspects of stochastic area | In the first part of the talk, a recently established theorem aimed at the understanding of large strike implied volatility is seen to provide a new understanding of density expansions of Levy's stochastic area, previously studied by Takanobu--Watanabe. [Joint work with Deuschel-Jacquier-Violante.] In the second part of the talk we address the very existience of stochastic area when Brownian motion is replaced by a non-semimartingale. We shall give some results applicable to random Fourier series, as used in Hairer's work on rough SPDEs and KPZ. [Joint with Gess-Gulisashvili-Riedel.] | https://docs.google.com/file/d/0B2Ji0NvZ00FKTHMwQVEycHFzdTg/edit?usp=sharing | |

3 | 9 -11 April 2013 | London, Imperial College | Large deviations and asymptotic methods in finance | http://www2.imperial.ac.uk/~ajacquie/WorkshopLDP/index.html | invited talk | Marginal density expansions for diffusions and stochastic volatility and related stuff | https://docs.google.com/file/d/0B2Ji0NvZ00FKVlRRZmQzd0EtLU0/edit?usp=sharing | ||

4 | 15 - 19 April 2013, Hotel Okura, Amsterdam | Amsterdam | Global Derivatives Trading & Risk Management 2013 | http://www.icbi-derivatives.com/ | invited talk | Rational Shapes of the Local Volatility Surface | Bullet points: - behaviour and extrapolation analytics of local volatility in stochastic volatility models - local volatility parametrization - a new saddle point formula for local vol in wings; effect of jumps and numerical results - most likely path analysis and some explicit new formulae in Heston and Stein-Stein | 02.04.2013 ABSCHLAG | |

5 | workshop: 16-17 May 2013 | WIAS Berlin, Advances in Predictive Modeling and Optimization | Berlin-Moskau meeting | invited talk | Stochastic control with rough paths | ||||

6 | 02/05/2013 | MPI MIS | Emerging Trends in Probability Theory | http://www.mis.mpg.de/calendar/conferences/2013/stochastics/participants.html | registered participant | ||||

7 | 3-13 June 2013 | Rennes | Perspectives en Analyse et Probabilités | http://www.lebesgue.fr/content/sem2013-Ecole-en | invited summer school lectures (4 x 90 min) | les chemins rugueux | RPT | https://drive.google.com/file/d/0B2Ji0NvZ00FKcHpsYy1qeXE1TEU/edit?usp=sharing | |

8 | 20/06/2013 | Klagenfurt | Seminar | invited speaker | On the Information Content of Iterated Integrals and Applications | Given a (smooth) d-dimensional path defined on the unit interval, one may consider the ensemble of iterated integrals, to be viewed as (some sort of) transfrom. Remarkably, the path can - in essence - be recovered from this transform. For (multi-dimensional) stochastic processes such as Brownian motion, one can ask for the expected value of iterated integrals (say, in Stratonovich sense). The (closed) form answer has been at the heart of the Lyons--Victoir cubature method on Wiener space (an efficient method to solve second order partial differential equations as those arising in financial maths). As it turns out, closed form answers are also possible for Levy processes (joint work with A. Shekhar), a starting point for numerical analysis of Levy-driven stochastic differential equations. Another interesting example is given by a charged Brownian particle in a magentic field (joint with P. Gassiat and T. Lyons) which is closely related to a homogenization problem for PDEs. | |||

9 | 25/06/2013 | MPI MIS | Emerging Trends in Probability Theory | http://www.mis.mpg.de/calendar/conferences/2013/sl60/participants.html | registered participant | ||||

10 | 27/06/2013 | Hannover | LUH-Kolloquium "Versicherungs- und Finanzmathematik" // Stochastic Analysis Day | http://www.stochastik.uni-hannover.de/kolloquium.html?&L=1 | Information Content of Iterated Integrals and Applications | ||||

11 | 15–19 July 2013 | Heraklion, Crete, Greece (RPT) | Stochastic Methods in Finance and Physics | http://page.math.tu-berlin.de/~papapan/smfp.html | co-organizer | ||||

12 | 20-25 July 2013 | Budapest | 29th European Meeting of Statisticians | http://ems2013.eu/site/index.php | organizer (invited session) & speaker | Applications of rough paths to stochastic control and filtering | We start with a discussion of optimally controlled rough differential equations. The value function is seen to satisfy a HJB type equation with "rough" time depedence. Deterministic problems of this type arise in the duality theory for controlled diffusion processes and typically involve anticipating stochastic analysis. We propose a formulation based on rough paths and then obtain a generalization of Roger's duality formula [Rogers, 2007] from discrete to continuous time. We also make the link to old work of [Davis--Burstein, 1987]. | In the second part of the talk we discuss robust filtering. In the late seventies, Clark [The design of robust approximations to the stochastic differential equations of nonlinear filtering, Communication systems and random process theory, 1978] pointed out that it would be natural for $\pi_t$, the solution of the stochastic filtering problem, to depend continuously on the observed data $Y=\{Y_s,s\in [0,t]\}$. Indeed, if the signal and the observation noise are independent one can show that, for any suitably chosen test function $f$, there exists a continuous map $\theta^f_t$, defined on the space of continuous paths $C([0,t],\R^d)$ endowed with the uniform convergence topology such that $\pi_t(f)=\theta^f_{t}(Y)$, almost surely. | https://docs.google.com/file/d/0B2Ji0NvZ00FKRFp4bVlXSHZVT0E/edit?usp=sharing |

13 | 04/09/2013 | Vienna | Summer School, Numerical Methods for Stochastic Differential Equations | http://www.asc.tuwien.ac.at/~juengel/sde/sde.html | invited speaker | Rough path analysis | We shall explain the basic ideas of rough path analysis and indicate their significance for weak and strong approximation schemes, both for SDEs and SPDEs | ||

14 | 11-15 Sep 2013 | Leipzig | German-Japanese Meeting on Stochastic Analysis | http://www.math.uni-leipzig.de/~renesse/GJC/index.html | invited speaker | Physical Brownian motion in magnetic field as rough path | The indefinite integral of the homogenized Ornstein-Uhlenbeck process is a well-known model for physical Brownian motion, modelling the behaviour of an object subject to random impulses [L. S. Ornstein, G. E. Uhlenbeck: On the theory of Brownian Motion. In: Physical Review. 36, 1930, 823-841]. One can scale these models ... | ||

15 | 23-27 September 2013 | Oxford | Stochastic Analysis and its Applications' , 60th birthday of Terry Lyons | http://www.oxford-man.ox.ac.uk/sites/default/files/events/Stochastic%20Analysis%20%26%20Applications%20Programme%20as%20at%2027.08.13.pdf | invited speaker | (Rough) pathwise stochastic analysis: old and new | Pathwise arguments play an important role whenever one is in the need of robustness: examples include filtering, statistic inference and risk management. The classical Doss-Sussmann method has found its definite extension in rough path theory. We will revise the above application areas in the light of rough path theory and also report on some progress concerning pathwise SPDE theory. | https://docs.google.com/file/d/0B2Ji0NvZ00FKa3Vfa0s4SGNUeE0/edit?usp=sharing | |

16 | 30/10/2013 | Vienna | Seminar TU Wien | http://www.fam.tuwien.ac.at/events/index.php | invited speaker | ||||

17 | 11-13 Dec 2013 | Berlin | Berlin-Oxford Young Researchers Meeting on Applied Stochastic Analysis | http://www.wias-berlin.de/workshops/YRM2013/ | co-organizer |

1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr | add info / weblinks |
---|---|---|---|---|---|---|---|---|---|

2 | 16-20 April 2012 | Barcelona | Global Derivatives Trading & Risk Management 2012 | www.informaglobalevents.com/event/globalderivatives | invited speaker | Volatility expansions based on Laplace's method | (TBC) - Tail Wing Formula and some refinements - Laplace's method in finite dimensions - applications to Heston implied and local volatility - Laplace's method on path space - applications to the Stein--Stein model | 08.11.2012 | http://www.informaglobalevents.com/appdata/downloads/globalderivatives/Global_Derivatives_2012_Speaker_Line-Up_21.12.pdf |

3 | 24/04/2012 | Cambridge | Probability Seminar | http://talks.cam.ac.uk/talk/index/37418 | invited speaker | Generalized sub-Riemannian cut loci and implied/local volatility smiles | Density expansions for hypoelliptic diffusions $(X^1,...,X^d)$ are revisited. In particular, we are interested in density expansions of the projection $(X_T^1,...,X_T^l)$, at fixed time $T>0$, with $l \leq d$. Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymptotics (Molchanov, Bismut, Ben Arous, ...). Our small noise expansion allows for a "second order" exponential factor, not present in small time expansions. Applications include tail and implied/local volatility asymptotics in some correlated stochastic volatility models. In particular, we are able to analyze the Stein--Stein model in case of negative correlation (the typical case in equity markets), thereby solving a problem left open by A. Gulisashvili and E.M. Stein. (Joint work with J.-D. Deuschel, A. Jacquier and S. Violante). | 06.11.2012 | |

4 | May 9-10-11, 2012 | Nancy | Stochastic Analysis Days | http://www.iecn.u-nancy.fr/~nourdin/standays/ | invited speaker (cancelled) | NA | |||

5 | 28/05/2012 | Paris | PHD Defense | 10.01.2013 | |||||

6 | 2/7/2012 - 7/7/2012 | Krakow | 6ECM | http://www.6ecm.pl/en | (mini-symposium) organizer and speaker | Generalized sub-Riemannian cut loci and volatility smiles | Generalized sub-Riemannian cut loci and volatility smiles Peter K. Friz TU and WIAS Berlin, DE Density expansions for hypoelliptic diﬀusions (X 1 , ..., X d ) are re- visited. In particular, we are interested in density expansions of the projection (X 1 T , ..., X l T ) , at ﬁxed time T > 0 , with l ≤ d . ("Marginal density expansions") Global conditions are found which replace the well-known "not-in-cutlocus" condition known from heat-kernel asymp- totics (Molchanov, Bismut, Ben Arous, ...). Our small noise expansion allows for a "second order" exponential factor, not present in small time expansions. Applications include tail and implied/local volatility asymptotics in some correlated stochastic volatility models. In partic- ular, we are able to analyze the Stein–Stein model in case of negative correlation (the typical case in equity markets), thereby sollem left open by A. Gulisashvili and E.M. Stein. ( Joint worDeuschel, A. Jacquier and S. Violante). | 12.04.2013 | http://www.6ecm.pl/docs/BachelierFinanceSocietyMathematicalFinance.pdf |

7 | 19.08. – 25.08.2012 | Mathematisches Forschungsinstitut Oberwolfach | Rough Paths and PDEs | http://www.mfo.de/occasion/1234b/www_view | organizer (Scientific Commitee) | Applications of rough paths: Physical Brownian in a magnetic fields, Modelling of markets with infinitesimally delayed reactions | 21.03.2013 | ||

8 | October 11-13, 2012 | Berlin | 4th Berlin Workshop on Mathematical Finance for Young Researchers | http://www.qfl-berlin.com/workshop2012 | organizer (Scientific Commitee) | ||||

9 | November 5-9, 2012 | ICMAT Madrid | Stochastic Systems Simulation and Control (SSSC2012) | http://www.icmat.es/congresos/sssc2012/info.html | invited lecture (workshop feeder talk) | Rough paths and control | |||

10 | 28/11/2012 | Warwick | Probability Seminar | http://www2.warwick.ac.uk/fac/sci/maths/research/events/seminars/areas/stochastic/ | invited seminar talk | Marginal density expansion with applications to Levy area and the Stein--Stein model |

1 | date | location | name of meeting | weblink | what | title / details | abstract | DR Abr |
---|---|---|---|---|---|---|---|---|

2 | January 23 - 29, 2011 | MATHEMATISCHES FORSCHUNGSINSTITUT OBERWOLFACH | Stochastic Analysis in Finance and Insurance | http://www.mfo.de/cgi-bin/path?programme/schedule/2011/ | invited talk | On refined density and smile expansion in the Heston model | http://www.mfo.de/programme/schedule/2011/04/OWR_2011_06.pdf | |

3 | 26/01/2011 | Bonn | Bonn Probability Day | invited talk | Gaussian Rough Paths | We will explain the basics of Gaussian rough path theory and discuss (time permitting) two recent applications; [Cass--Friz, Densities for RDEs under Hoermander's Condition, Annals of Mathematics, 171 (3), 2010 no. 3)] and [Hairer, Rough Stochastic PDEs; arXiv 2010]. | ||

4 | Friday, March 25, 2011 | Le Mans, France | SPDE and applications | invited speaker (cancelled) | Pathwise aspects of some stochastic partial differential equations. | I will report on ongoing joint-work with M. Caruana, J. Diehl and H. Oberhauser concerning a (rough) pathwise view on certain non-linear stochastic partial differential equations. | 08.06.2011 | |

5 | 09/05/2011 | Frankfurt | SPP 1324 Presentation | poster | 26.07.2011 | |||

6 | June 19-25, 2011 | Oaxaca, Mexico | SPA2011 | http://abalontico.matem.unam.mx/SPA/ | organizer (invited session) | NA | NA | |

7 | July 11-15, 2011. | National Taiwan University | A Conference in Honor of the 70th Birthday of S. R. Srinivasa Varadhan | www.tims.ntu.edu.tw/workshop/Default/index.php?WID=119 | invited talk | Rough path analysis and applications | We will explain the basics of rough path analysis [5,3] with some focus on random rough paths associated to Gaussian processes. Applications include non-Markovian Hoermander theory [2] and some new ways to deals with stochastic partial differential equations [1,4]. [1] M. Caruana, P. Friz, H. Oberhauser: A (rough) pathwise approach to a class of nonlinear SPDEs Annales de l'Institut Henri Poincaré / Analyse non linéaire 28 (2011), pp. 27-46 [2] T. Cass, P. Friz: Densities for RDEs under Hoermander's Condition, Annals of Mathematics, 171 (3), 2010 no. 3) [3] P. Friz, N. Victoir: Multidimensional Stochastic Processes as Rough Paths. Theory and Applications, Cambridge Studies of Advanced Mathematics Vol. 120, Cambridge University Press, 2010. [4] M. Hairer: Rough Stochastic PDEs; CPAM (to appear) [5] T. Lyons, Z. Qian: System Control And Rough Paths, Oxford Mathematical Monographs, Oxford University Press, 2003. | 11.05.2011, 11.10.2011 |

8 | August 8-10 | Oxford | OMI and OCCAM Joint Workshop | http://www.oxford-man.ox.ac.uk/events/OMI-OCCAM2011.html | invited talk | On some recent aspects of option pricing under stochastic volatility | Towards the common goal of getting fast information about European option prices in stochastic vol models I shall report on two recent projects: (i) a variation of the Ninomiya-Victoir scheme that enlarges the class of models for which numerical ODE solvers are unnecessary (joint with C. Bayer, R. Loeffen); (ii) a novel asymptotic expansion of call prices for extreme strikes (joint with J.D. Deuschel, A. Jacquier) | 16.12.2011 |

9 | 12 to 17 September 2011 | ETH Zuerich | Stochastic Partial Differential Equations: Analysis, Geometry, Modeling and Numerics | http://www.fim.math.ethz.ch/conferences/2011/Stochastic_PDEs | invited talk | Rough analysis applied to some classes of SPDEs and related topics | I will report on ongoing joint-work with J. Diehl and H. Oberhauser concerning a (rough) pathwise view on certain non-linear stochastic partial differential equations. Relatedly, we shall discuss rough path stability of the filtering problem (joint with D. Crisan). | 12.12.2011, 19.12.2011 |

10 | 21 to 23 September 2011 | Marburg / Berlin | Rough Paths and Numerical Integration | http://www.dfg-spp1324.de/nuhagtools/event_NEW/make.php?event=NIM11 | invited talk | Rough analysis applied to PDE and Filtering | 12.12.2011 | |

11 | 21 to 23 September 2011 | Marburg / Berlin | Rough Paths and Numerical Integration | http://www.dfg-spp1324.de/nuhagtools/event_NEW/make.php?event=NIM11 | organizer | NA | ||

12 | 10 to 11 Oct 2011 | WIAS Berlin | Berlin Mini-Workshop on Asymptotic Expansions in Applied Analysis and Stochastics | http://www.wias-berlin.de/workshops/AEAAS11/ | organizer | NA | ||

13 | ||||||||

14 | ||||||||

15 | ||||||||

16 | ||||||||

17 | ||||||||

18 | - |

1 | date | location | name of meeting | weblink | what | title / details | abstract |
---|---|---|---|---|---|---|---|

2 | 4 - 8 January 2010 | Newton Institute, Cambirgde | Stochastic Partial Differential Equations (SPDEs) | http://www.newton.ac.uk/programmes/SPD/spdw01.html | poster | A (rough)pathwise approach to a class of non-linear stochastic partial differential equations | |

3 | 05/01/2010 | Microsoft, Cambridge | Seminar | seminar talk, machine learning group | Stochastic Financial Models | ||

4 | 18/02/2010 | WIAS Berlin | WIAS Days | invited talk | Splitting methods for some classes of differential equations | ||

5 | 6 - 7 April 2010 | Newton Institute, Cambirgde | Rough Paths, SPDEs and Related Topics; part of programme on Stochastic Partial Differential Equations (SPDEs) | http://www.newton.ac.uk/programmes/SPD/spdw06.html | organizer | workshop | |

6 | 10/06/2010 | Institut Henri Poincaré, Paris | ANR ECRU - Workshop Rough paths in interaction | http://www.ceremade.dauphine.fr/~mgubi/ecru/rpi | invited talk | Applications of rough path theory to stochastic analysis | We will report on some recent applications of rough path theory to stochastic analysis. In particular, we discuss applications of rough path theory to stochastic partial differential equations in viscosity sense. |

7 | 15/06/2010 | Newton Institute, Cambirgde | Workshop on Filtering, part of programme on Stochastic Partial Differential Equations (SPDEs) | http://www.newton.ac.uk/programmes/SPD/spdw05.html | invited talk | Rough path stability of SPDEs arising in non-linear filtering and beyond. | We present a (rough)pathwise view on stochastic partial differential equations. Our results are based on the marriage of rough path analysis with (2nd order) viscosity theory. Joint work with M. Caruana and H. Oberhauser. |

8 | 29/06/2010 | Newton Institute, Cambirgde | Stochastic Partial Differential Equations (SPDEs): Approximation, Asymptotics and Computation | http://www.newton.ac.uk/programmes/SPD/spdw04.html | invited talk | Rough viscosity solutions and applications to SPDEs | TBA |

9 | July 12-16, 2010 | Uni Vienna | Analysis, Stochastics, and Applications: A Conference in Honour of Walter Schachermayer | http://www.mat.univie.ac.at/anstap10/schedule.php | invited talk | Ordinary, partial and backward stochastic differential equations driven by rough signals | We shall discuss the applicabilty of rough paths methods in the novel context of partial and backward stochastic differential equations. In the case of non-linear noise terms, there are connections to the theory of "quadratic" PDEs and BSDEs. Joint work with M. Caruana, H. Oberhauser and J. Diehl. |

10 | August 13-17, 2010 | Indian Statistical Institute, Bangalore | ICM Satellite Conference on Probability and Stochastic Processes | http://www.isibang.ac.in/~statmath/icmprobsat/index.php?module=Home | invited talk | A (rough)pathwise approach to SPDEs | We present a (rough)pathwise view on stochastic partial differential equations; examples range from the (fully non-linear) stochastic HJB equation (introduced by Lions--Souganidis) to the (generalized) Zakai equation arising from non-linear filtering (with correlation). Our results are based on the marriage of rough path analysis with (2nd order) viscosity theory. Joint work with M. Caruana and H. Oberhauser. |

11 | 6th to 10th of September, 2010. | Osaka, Japan | SPA 2010 | http://stokhos.shinshu-u.ac.jp/SPA2010/program0617.pdf | invited talk | A new pathwise theory of SPDEs | We propose the marriage of rough path analysis with (2nd order) viscosity theory. This allows to handle large classes of linear- and non-linear stochastic partial differential equations with rough path methods. Joint work with M. Caruana and H. Oberhauser. |

12 | September 27-30 | Berlin | Workshop on Advanced Mathematical Methods for Finance | http://sites.google.com/site/amamefberlin2010/home-1 | organizer | Scientific Commitee | |

13 | October 4-6 | Dijon, France | Conference in Memory of Paul Malliavin | http://math.u-bourgogne.fr/ProbaGeo/MemoryMalliavin.htm | invited talk | Ordinary, partial and backward stochastic differential equations driven by rough paths | We shall discuss the applicabilty of Lyons' rough path theory in the context of partial and backward stochastic differential equations. Stability results of viscosity resp. BSDE theory play a key role. Joint work with M. Caruana, H. Oberhauser and J. Diehl. |