Imperial Finance and Stochastics Day 2016, 13 October 2016

The Imperial Finance and Stochastics Day is a one-day workshop on Stochastic Analysis and Mathematical Finance.  Registration is required for attending the workshop. To register please email  m.guzzon@imperial.ac.uk before Oct 8, 2016. Please note that this is an Internal Event.

TIMETABLE

TimeActivity

09:20 - 09:30

Rama Cont 
Registration and Opening remarks
09:30 - 10:10 Pietro Siorpaes 
Martingale Polar Sets
10:10 - 10:50  Eyal Neuman 
Pathwise Uniqueness for The Stochastic Heat Equation with Multiplicative White Noise
10:50 - 11:10 Coffee Break
11:10 - 11:50 Alex Hening
Persistence and Extinction for Populations Modeled by Stochastic Differential Equations or Piecewise Deterministic Markow Processes
11:50 - 12:30 Athena Picarelli
A Class of Filtered Schemes for Second Order Hamilton-Jacobi-Bellman Equations                                                              
12:30 - 13:10 Sandeep Juneja (Tata Institute of Fundamental Research, Mumbai)
Dynamic Portfolio Credit Risk Measurement 
13:10 - 14:30 Lunch for Registered Participants