01.07.2019, 12:00 – Golm Haus 9 Raum 0.13
Precise asymptotics of rough stochastic volatility models
Paolo Pigato (WIAS Berlin)
I will review some empirical facts on implied volatility and how they recently led to the introduction of rough (fractional) stochastic volatility models in finance. I will recall some results in...
08.07.2019, 12:00 – Golm, Haus 9, Raum 0.13
Concentration of weakly dependent Banach-valued sums and applications to statistical learning methods.
Oleksandr Zadorozhnyi (Potsdam)
In the talk I present a Bernstein type inequality for Banach-valued random sums under weak-dependency assumption of general kind on the variables and smoothness assumption on the underlying Banach...
15.07.2019, 12:00 – Golm Haus 9 Raum 0.13
Continuum limits of tree-valued stochastic processes
Wolfgang Löhr (Universität Duisburg-Essen)
Markov chains on sets of (finite, graph-theoretic) trees arise in applications, e.g., as evolving genealogical trees in population models or in Markov chain Monte Carlo methods for the reconstruction...