Probability Colloqium
Date
Time
17:15
Location:
WIAS Berlin
Shige Peng (Shandong University)

Space-time white noises in a nonlinear expectation space

Under the framework of nonlinear expectation, we introduce a new type of random fields, which contains a type of space-time white noise as a special case. Based on this result, we also introduce a space white noise. Different from the case of linear expectation, in which the probability measure is given and fixed.

Under the uncertainty of probability measures, space white noises are intrinsi- cally different from the space cases, which is generalized from G-Gaussian processes which are different from a G-Brownian motion (joint work with Xiaojun JI).

Mathematical Finance Seminar
Date
Time
16:15
Location:
TUB; MA042
Marko Weber (National University of Singapore)

General Equilibrium with Unhedgeable Fundamentals and Heterogeneous Agents

We examine the implications of unhedgeable fundamental risk, combined with agents’ hete- rogeneous preferences and wealth allocations, on dynamic asset pricing and portfolio choice. We solve in closed form a continuous-time general equilibrium model in which unhedgeable fundamental risk affects aggregate consumption dynamics, rendering the market incomplete. Several long-lived agents with hete- rogeneous risk-aversion and time-preference make consumption and investment decisions, trading risky assets and borrowing from and lending to each other. We find that a representative agent does not exist. Agents trade assets dynamically. Their consumption rates depend on the history of unhedgeable shocks. Consumption volatility is higher for agents with preferences and wealth allocations deviating more from the average. Unhedgeable risk reduces the equilibrium interest rate only through agents’ heterogeneity and proportionally to the cross-sectional variance of agents’ preferences and allocations.

 

Mathematical Finance Seminar
Date
Time
17:15
Location:
TU; MA042
Shige Peng (Shandong University)

Solving probability measure uncertainty by nonlinear expectations

In 1921, economist Frank Knight published his famous ”Uncertainty, Risk and Profit”in which his challenging is still largely open. In this talk we explain why nonlinear expectation theory provides a powerful and fundamentally important mathematical tool to this century problem.

Workshop/Conference
Date
Time
9:oo
Location:
WIAS
Denis Belomestny, Christian Bender et al

Developments in Computational Finance and Stochastic Numerics

We are delighted to extend our invitation to you for the workshop titled “Developments in Computational Finance and Stochastic Numerics," commemorating the retirement of John Schoenmakers. The workshop will be held at WIAS on July 1st, 2024.
 
John Schoenmakers' profound contributions to stochastic numerics and computational finance have significantly enriched our field. His dedication and generosity have left a lasting mark on the Weierstrass Institute, Humboldt University, and the mathematical finance and stochastics communities in Berlin and beyond.
 
Participation in the workshop is free of charge; however, we kindly request registration by April 30th, 2024. For detailed information and registration, please visit the workshop homepage at https://www.wias-berlin.de/workshops/Schoenmakers2024/.
Workshop/Conference
Date
Time
9:oo
Location:
Humboldt University, Unter den Linden 6
Rene Aid, Andreas Lange, Mete Soner, Sara Biagini et al

Risk Mitigation - Climate, Energy and Finance

This workshop brings together mathematicians and economists to discuss recent developments in the field of Risk Mitigation with a particular focus on applications to climate, energy and financial risk. The workshop is part of a conference series initiated by the Editors-in-Chief of the Springer published journal Mathematics and Financial Economics to promote the interaction between mathematics, economics and finance. Previous workshops focussed on Knightian Uncertain in Financial Markets, Mathematics of Behavioral Economics, and Many-Player Games and Applications.

The workshop will be held on September 2nd and 3rd, 2024 at the Humboldt University Berlin. It is sponsored by Springer Verlag, the Collaborative Research Center 1283(Bielefeld), the Collaborative Research Center 190 (Berlin, Munich) and the Berlin-Oxford International Research Training Group IRTG 2544. The workshop is jointly organized by the chair Applied Financial Mathematics at Humboldt University Berlin and the Center for Mathematical Economics at Bielefeld University.

Click here for the conference webpage. 

Workshop/Conference
Date
Time
9:oo
Location:
HUB, Senatssaal, Unter den Linden 6
Mete H. Soner, Sara Biagini, et al.

7th Berlin Workshop on Mathematical Finance for Young Researchers

The 7th Berlin Workshop on Mathematical Finance for Young Researchers provides a forum for PhD students, postdoctoral researchers, and young faculty members from all over the world to discuss their research in an informal atmosphere. Keynote lectures will be given by

  • Sara Biagini (Rome)
  • Luciano Campi (Milano)
  • Giorgio Ferrari (Bielefeld)
  • Mete H. Soner (Princeton)
  • Luitgard Veraart (London)

We also invite up to 20 contributed talks from young researchers. The deadline for abstract submission is May 20. Notification of acceptance will be sent by May 31. Accommodation for speakers will be arranged. 
Limited support for travel expenses may be available upon request. Here a link to the workshop webpage