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 before Oct 8, 2016. Please note that this is an Internal Event.



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