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Center for Mathematical Economics - Tag [talk]

Online Talk by Giorgio Ferrari

Veröffentlicht am 11. April 2021
On April 13 at 1pm (CEST), Giorgio Ferrari will give talk with the title "Two-sided Singular Control of an Inventory with Unknown Demand Trend".
Abstract: We study the problem of optimally managing an inventory with unknown demand trend. Our formulation leads to a stochastic control problem under partial observation, in which a Brownian motion with non-observable drift can be singularly controlled in both an upward and downward direction. We first derive the equivalent separated problem under full information, with state-space components given by the Brownian motion and the filtering estimate of its unknown drift, and we then completely solve this latter problem. Our approach uses the transition amongst three different but equivalent problem formulations, links between two-dimensional bounded-variation stochastic control problems and games of optimal stopping, and probabilistic methods in combination with refined viscosity theory arguments. We show substantial regularity of (a transformed version of) the value function, we construct an optimal control rule, and we show that the free boundaries delineating (transformed) action and inaction regions are bounded globally Lipschitz continuous functions. This is based on a joint work with Salvatore Federico (University of Genova) and Neofytos Rodosthenous (Queen Mary University of London).
Gesendet von GBauch in Forschung
Tags: talk

Frank Riedel gives an online talk at Wuhan University on April 14

Veröffentlicht am 27. März 2021
On April 14, Prof. Riedel gives an online talk with the title "Frank Knight’s Legacy: the Economics of Uncertainty and Risk" at Wuhan University.
Abstract: Motivated by the centenary of the publication of Frank Knight’s book „Risk, Uncertainty, and Profit“, we review some of his ideas and discuss how they are reflected in current research in finance and economics. We discuss three recent contributions including insurance premia, viability and arbitrage in financial markets, and market breakdown due to uncertainty in prices.
Gesendet von GBauch in Forschung
Tags: talk

Frank Riedel Invited Speaker in Oxford Workshop

Veröffentlicht am 8. März 2021
An (online) workshop commemorates the centenary of publication of two important books, Frank Knight’s „Risk, Uncertainty, and Profit“ and John M. Keynes’ „Treatise on Probability“. The workshop takes place from March 17-19 2021. Further information on registration, speakers and more can be found at the webpage of Uncertainty and Risk
Gesendet von RDoleske in Forschung

Talks by Ms. Schmeck and Ms. Kemper on the EFI6

Veröffentlicht am 23. Februar 2021
There are two talks, held by Maren Schmeck and Annika Kemper on the Energy Finance Italia 6 Workshop. The respective titles are "Capturing the Power Options Smile by an Additive Two-Factor Model for Overlapping Futures Prices" and "The Market Price of Risk for Electricity Swaps".
Gesendet von GBauch in Forschung
Tags: workshop talk

Giorgio Ferrari gives a webinar at Brescia University

Veröffentlicht am 15. Dezember 2020
Professor Giorgio Ferrari gives a webinar with the title "Taming the spread of an epidemics by lockdown policies" in a seminar of Brescia University. Further information can be found here.
Gesendet von GBauch in Forschung
Tags: talk

Marieke Pahlke gives a talk at the TOM Seminar of PSE

Veröffentlicht am 27. November 2020
On Thursday, November 26, 2020, Marieke Pahlke gave an online talk at the TOM seminar of the Paris School of Economics. The title of her talk was: "Dynamic Consistency in Ambiguous Persuasion". Further information on the Lunch Seminar TOM (Theory, Organisation and Markets) of PSE: TOM-Seminar
Gesendet von RDoleske in Forschung
Tags: talk

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