Department of Mathematics and Systems Analysis

Research groups

Aalto Stochastics & Statistics Seminar - Past seminars

 

Fall 2017

  • 14.8. 15:15  Mikko Kivelä (Aalto University): Randomized reference models and spreading in temporal networks – M3 (M234)

    For a long time network science concentrated on static graphs as representations of networked systems. This abstraction was used to analyse shortest path lengths, spreading of disease or information in networks, and many other things. Often the underlying assumption behind such analysis was that the activation of nodes and links is controlled by homogeneous Poisson processes. More recently there has been growing interest in analysing 'temporal networks' where the link activation times are determined directly from data. In this talk I will illustrate how this approach can be used to analyse a large communication network with hundreds of millions of link activation events. I will focus on how 'reference models', in which the data is shuffled in various ways, can be used for this data and how they are used in the literature on temporal networks in general. I will also discuss the challenges in the literature that are caused by the sudden increase in use of such shuffling methods of temporal network.




Fall 2014

Mon 15 Dec 2014, 16:15

Collisions technique for multi-type opinion and cultural models
Stylianos Scarlatos, Aalto University

Mon 1 Dec 2014, 16:15

Data collection in mobile networks with low-power devices: a performance evaluation (abstract)
Mario Di Francesco, Aalto University

Mon 24 Nov 2014, 16:15

Predictable projection of a normal integrand
Matti Kiiski, Aalto University

Mon 17 Nov 2014, 16:15

Convex duality in continuous-time stochastic optimization (abstract)
Ari-Pekka Perkkiö, Technische Universität Berlin, Germany

Tue 11 Nov 2014, 14:15 @ Room Y225a (Riihi) (Note: nonstandard time and place)

Infinitely iterated Brownian motion
Takis Konstantopoulos, Uppsala University, Sweden

Mon 10 Nov 2014, 16:15

Stochastic calculus for Gaussian processes: A unified approach
Lauri Viitasaari, Saarland University, Germany

Mon 3 Nov 2014, 16:15

Scaling limits of correlations in the critical planar Ising model (abstract)
Konstantin Izyurov, University of Helsinki

Mon 27 Oct 2014, 16:15

The characteristic polynomial of a random unitary matrix and Gaussian Multiplicative Chaos (abstract)
Christian Webb, Aalto University

Mon 20 Oct 2014, 16:15

Motif search for large graphs (abstract)
Petteri Kaski, Aalto University

Mon 29 Sep 2014, 16:15

Lattice-model crossing probabilities and a system of PDEs for multiple SLE (abstract)
Steven Flores, University of Helsinki

Mon 15 Sep 2014, 16:15

Multifractality from randomness and basic properties of Gaussian Multiplicative Chaos (abstract)
Christian Webb, Aalto University

Mon 8 Sep 2014, 16:15

Particle systems and selection principles (abstract)
Matthieu Jonckheere, University of Buenos Aires, Argentina

Mon 25 Aug 2014, 16:15–17:15

On trees, graphs, clouds and heavy tails (abstract)
Mariana Olvera-Cravioto, Columbia University, USA

Spring 2014

Mon 26 May 2014, 16:15-17:15

On pathwise stochastic integrals with applications
Lauri Viitasaari, Aalto University

Mon 19 May 2014, 16:15-18:00

Stochastic geometry and wireless networks (abstract)
Ayalvadi Ganesh, University of Bristol, UK

Mon 12 May 2014, 16:15-17:00

How things crackle: The average avalanche shape in out-of-equilibrium systems
Lasse Laurson, Aalto University

Mon 28 April 2014, 16:15-18:00

Conditional stochastic orders and martingale couplings.
Lasse Leskelä, Aalto University

Mon 7 April 2014, 16:15-18:00

Hitting probabilites and some result about ruin theory in the continous-time.
Hoa Ngo, Aalto University

Mon 24 March 2014, 16:15-18:00

Crossing inequality for Gaussian processes and applications.
Lauri Viitasaari, Aalto University

Mon 17 March 2014, 16:15-18:00

Pathwise integral of multidimensional gaussian processes.
Zhe Chen, Aalto University

Mon 10 March 2014, 16:15-18:00 (Kumpula, Finnish Mathematical Society Talk)

Stochastic orders in stochastic networks.
Lasse Leskelä, Aalto University

Thursday 27 February 2014, 16:15-17:00 (Finnish Mathematical Society talk)

Malliavin calculus and its applications.
David Nualart, University of Kansas, USA

Mon 17 February 2014, 16:15-18:00

Short note on stationary Gaussian processes representation.
Adil Yazigi, University of Vaasa

Mon 10 February 2014, 16:15-18:00

Hörmander's theorem and Malliavin calculus.
Dario Gasbarra, University of Helsinki

Mon 20 January 2014, 16:15-18:00

Some remarks on integral representations with respect to Gaussian processes.
Lauri Viitasaari, Aalto University

Autumn 2013

Mon 2 December 2013, 16:15-18:00

Jensen's inequality for normal integrands.
Matti Kiiski, Aalto University

Mon 18 November 2013, 16:15-18:00 (Kumpula)

Modeling catastrophe risk in life insurance with a microsimulation approach to re/insurance pricing.
Matias Leppisaari

Mon 11 November 2013, 16:15-18:00

Integral representation of random variables with respect to Gaussian processes.
Lauri Viitasaari, Aalto University

Mon 28 October 2013, 16:15-18:00

Convergence towards chi-squared combinations on Wiener space.
Ehsan Azmoodeh, University of Luxembourg

Mon 21 October 2013, 16:15-18:00

Mathematical models for longevity risk management.
Helena Aro, Aalto University

Mon 7 October 2013, 16:15-18:00

On rough asymptotic behaviour of ruin probabilities in a general discrete risk model.
Jaakko Lehtomaa, University of Helsinki

Mon 23 September 2013, 16:15-18:00

Central limit theorem on Wiener chaos (abstract).
Guillaume Poly, University of Luxembourg

Mon 9 September 2013, 16:15-18:00

Pathwise integrals and Ito-Tanaka Formula for Gaussian processes.
Lauri Viitasaari, Aalto University

Spring 2013

Mon 29 April 2013, 16:15-18:00

Empirical processes, Khmaladze's goodness of fit test and change of filtration.
Dario Gasbarra, Helsinki University

Mon 22 April 2013, 16:15-18:00

Parameter estimation in fractional Ornstein-Uhlenbeck model.
Lauri Viitasaari, Aalto University

Mon 25 March 2013, 16:15-18:00

Microsimulation of the Finnish Pension System.
Heikki Tikanmäki, Eläketurvakeskus

Mon 11 March 2013, 16:15-18:00

New look to fourth moment theorem.
Ehsan Azmoodeh, University of Luxembourg

Mon 25 February 2013, 16:15-18:00

Geometric and virtual juggling with q-analogues (abstract).
Harri Varpanen, Aalto University

Mon 11 February 2013, 16:15-18:00

Valuation of options depending on multiple assets.
Lauri Viitasaari, Aalto University

Mon 28 January 2013, 16:15-18:00

Simple arbitrage.
Tommi Sottinen, University of Vaasa

Mon 21 January 2013, 16:15-18:00 (at B120 in Kumpula, Exactum)

v Pricing with Small Balls.
Tommi Sottinen, University of Vaasa

Mon 14 January 2013, 16:15-18:00

Statistical methods in Diffusion Tensor Imaging.
Dario Gasbarra, Helsinki University

Mon 7 January 2013, 16:15-18:00

Rate of convergence for discrete approximation of option prices.
Lauri Viitasaari, Aalto University

Fall 2012

Tuesday 18 December 2012, 15:15-17:00 (Note date and time)

Generalized Gaussian bridges.
Adil Yazigi, University of Vaasa

Mon 10 December 2012, 16:15-18:00

Enlargement of filtration for singular models: a Markov chain example.
Dario Gasbarra, Helsinki University

Spring 2012

Mon 14 May 2012, 16:15-18:00

Approximations of white and colored noise
Gustaf Gripenberg, Aalto University

Mon 23 April 2012, 16:15-18:00

Optimal hedging of longevity-linked instruments
Helena Aro, Aalto University

Mon 16 April 2012, 16:15-18:00

An S-transform approach to stochastic calculus for convoluted Levy processes with Brownian component
Philip Oberacker, Saarland University, Germany

Mon 2 April 2012, 16:15-18:00

Indifference pricing in illiquid markets
Teemu Pennanen, King's College, London

Mon 26 March 2012, 16:15-18:00

Semicontinuity in measure for set-valued mappings
Ari-Pekka Perkkiö, Aalto University

Mon 19 March 2012, 16:15-18:00

No seminar

Mon 12 March 2012, 16:15-18:00

Rate of convergence for approximation of integrals with respect to fractional Brownian motion
Lauri Viitasaari, Aalto University (School of Science)

Mon 5 March 2012, 16:15-18:00

Risk-based approach in segmentation with hidden Markov models
Jüri Lember, University of Tartu

Mon 27 February 2012, 16:15-18:00

Robust hedging and pathwise calculus
Heikki Tikanmäki, Aalto University (School of Science)

Mon 20 February 2012, 16:15-18:00

Generalized Norris' lemma for fractional Brownian motion
Ehsan Azmoodeh, Aalto University (School of Science)

Mon 13 February 2012, 16:15-18:00

Rate of convergence for binomial prices to Black-Scholes prices
Lauri Viitasaari, Aalto University (School of Science)

Mon 6 February 2012, 16:15-18:00

No seminar

Mon 30 January 2012, 16:15-18:00

Seminar kickoff. Random variables and fractional Brownian motion
Esko Valkeila, Aalto University (School of Science)

Fall 2011

Mon 7 November 2011, 16:15-18:00

Minicourse: Limit Theorems in Financial Mathematics, part VI
Yuliya Mishura, Kiev, Ukraine.

Friday 4 November 2011, 12:15-14:00 (Note date and time)

Minicourse: Limit Theorems in Financial Mathematics, part V
Yuliya Mishura, Kiev, Ukraine.

Mon 31 October 2011, 16:15-18:00

Minicourse: Limit Theorems in Financial Mathematics, part IV
Yuliya Mishura, Kiev, Ukraine.

Friday 28 October 2011, 12:15-14:00 (Note date and time)

Minicourse: Limit Theorems in Financial Mathematics, part III
Yuliya Mishura, Kiev, Ukraine.

Mon 24 October 2011, 16:15-18:00 (Place: Room U344)

Recent progress in mixed models
Georgiy Shevchenko, Kiev, Ukraine.

Friday 21 October 2011, 12:15-14:00 (Note date and time)

Minicourse: Limit Theorems in Financial Mathematics, part II
Yuliya Mishura, Kiev, Ukraine.

Mon 17 October 2011, 16:15-18:00

Minicourse: Limit Theorems in Financial Mathematics, part I (abstract)
Yuliya Mishura, Kiev, Ukraine.

Mon 10 October 2011

No seminar

Mon 3 October 2011, 16:15-18:00

Hedging of Game Options With the Presence of Transaction Costs (abstract)
Yan Dolinsky, ETH, Switzerland.

Mon 26 September 2011, 16:15-18:00

Normal integrands and predictable projections
Ari-Pekka Perkkiö, Aalto University

Mon 19 September 2011, 16:15-18:00

"Everything is possible if you have the data" - How machine learning, statistical modeling and genetic algorithms can help in making more money
Veli-Pekka Julkunen

Mon 12 September 2011, 16:15-18:00

The Impact of Volcker Rule on Bank Profits and Loan Spreads (abstract)
Jussi Keppo, University of Michigan/Aalto University (School of Economics)

Mon 5 September 2011, 16:15-18:00

Path-wise stochastic integrals with respect to fractional Brownian motion can replicate constants (and program for Fall 2011).
Esko Valkeila, Aalto University (School of Science)

Spring 2011

Mon 16 May 2011, 16:15-18:00

The Central Limit Theorem for Convex Bodies (repeat of the talk given in the geometry seminar in October 2010)
Milla Kibble, Aalto University

Mon 9 May 2011, 16:15-18:00

On Valuation of American Options
Lauri Viitasaari, Aalto University

Mon 2 May 2011, 16:15-18:00

Counting processes and an incomplete market
Heidi Halme, University of Helsinki

Mon 25 April 2011

No seminar

Mon 18 April 2011, 16:15-18:00

No arbitrage under small transaction costs
Yuri Kabanov, U.F.R. des Sciences et Technologie, France

Mon 11 April 2011

No seminar

Mon 4 April 2011

No seminar

Mon 28 March 2011

No seminar

Mon 21 March 2011, 16:15-18:00

Stochastic programs without duality gaps, part II
Ari-Pekka Perkkiö, Aalto University

Mon 14 March 2011, 16:15-18:00

How to hedge Asian options in fractional Black-Scholes model
Heikki Tikanmäki , Aalto University

Mon 7 March 2011

No seminar

Mon 28 February 2011, 16:15-18:00

Parameter estimation in nonlinear AR-GARCH models
Pentti Saikkonen , University of Helsinki

Mon 21 February 2011, 16:15-18:00

On validity of bootstrap source separation
Nima Reyhani, Aalto University

Mon 14 February 2011, 16:15-18:00

On the super replication price of contingent claims in fractional Black-Scholes market model
Ehsan Azmoodeh, Aalto University

Mon 7 February 2011, 16:15-18:00

Stochastic programs without duality gaps
Ari-Pekka Perkkiö, Aalto University

Mon 31 January 2011, 16:15-18:00

Robust replication in some Gaussian market models
Esko Valkeila, Aalto University

Fall 2010


Tuesday 21 December 2010, 14:00-17:00 Stochastic Sauna, UH Exactum D123

Microfoundations for heavy-tailed stock returns (30 min)
Mikko Pakkanen, University of Helsinki

A non-Gaussian local limit theorem for a chaotic walk in a frozen environment (30 min)
Mikko Stenlund, Courant Institute and University of Helsinki

Fractional Poisson process (30 min)
Ehsan Azmoodeh (Aalto)

TBA (30 min)
Ilkka Norros, Technical Research Centre of Finland

Kotiharjun sauna 17 -
Contact Antti Kupiainen or Esko Valkeila if you come to sauna.

Mon 22 November 2010, 16:15-18:00

Scaling limits of random curves using discrete complex analysis and martingales (abstract)
Antti Kemppainen, University of Helsinki

Mon 15 November 2010, 16:15-17:15

Sparse tensor discretizations and hp-stochastic FEM
Harri Hakula, Aalto University

Mon 8 Novermber 2010

No seminar
(due to José M. Corcuera's colloquium talk on Thursay)

Mon 1 Novermber 2010

No seminar

Mon 25 October 2010

No seminar

Mon 18 October 2010, 16:15

Initial enlargement in a Markov chain market model
Esko Valkeila, Aalto University

Mon 11 October 2010, 16:15-17:15

Complexity and heuristics in stochastic optimization (abstract)
Teemu Pennanen, Aalto University

Mon 4 October 2010, 16:15-18:00

On fractional Lévy processes
Heikki Tikanmäki, Aalto University

Mon 27 September 2010, 16:15-17:00

Local vs. central limits of a chaotic walk in a frozen environment (abstract)
Lasse Leskelä, Aalto University

Mon 20 September 2010, 16:15-18:00

Convex duality in stochastic optimization over adapted processes of bounded variation
Ari-Pekka Perkkiö, Aalto University

Fractional Poisson processes
Esko Valkeila, Aalto University

Mon 13 September 2010, 16:15-17:00

Seminar kickoff
Esko Valkeila, Aalto University






Spring 2010


Mon 26.4. 16-18, Aalto U322, Otakaari 1 M

  • Dmitrii Silvestrov: Reselling of Options
  • Raimondo Manca: The Claim Reserve as an Insurance Company Realibility Measure
  • Hanspeter Schmidli: On Risk Processes Conditioned on Ruin
  • Esko Valkeila: Path-wise Integrals with Respect to Fractional Brownian motion: are the integral Representations Unique?

Mon 19.4. 16-18, UH Exactum B120

  • Mikko Pakkanen (UH): Brownian semistationary processes and conditional full support

Mon 12.4. 16-18, Aalto U322

  • Yuliya Mishura (Kiev): Simple functional limit theorems for semimartingales with applications to finance

Wed 7.4. 14-16, Aalto U325

  • Matthieu Jonckheere (Eindhoven University of Technology): Scaling limits of Markovian stochastic networks

Mon 29.3. 16-18, UH Exactum B120

  • Jerome Lapuyade-Lahorgue (VTT): Application of differential geometry to statistics and probability

Mon 15.3.

Mon 8.3. 16-18, UH Exactum B120

Mon 1.3. 16-18, Aalto U322

  • Mikko Parviainen (Aalto): Time dependent random tug-of-war games and PDEs

Mon 22.2. 16-18, UH Exactum B120

  • Dario Gasbarra (UH): Some applications of Max-plus algebra

Mon 15.2. 16-18, UH Exactum B120

Mon 8.2. 16-18, Aalto U322

  • A. Gushchin (Steklov Institute, Moscow): Robust Utility Maximization


Autumn 2009



Mon 14.12. 14-16, UH Exactum C123 (NOTE: different time and place)

  • Matti Vihola (University of Jyväskylä): On the convergence of adaptive Markov chain Monte Carlo.

Tue 8.12. 13.00-16.30 TKK U325

Mon 7.12. 16-18, TKK U322

  • Mark Podolskij (ETH Zurich): Limit Theorems for Semimartingales

Mon 30.11. 16-18, UH Exactum B120

  • Ari-Pekka Perkkiö (TKK): Convex compactness in stochastic optimization

Mon 16.11. 16-18, TKK U322

  • Lasse Leskelä (TKK): Spatial-temporal point processes with nearest-neighbor interaction

Mon 9.11. 16-18, UH Exactum B120

  • No Seminar

Mon 2.11. 16-18, UH Exactum B120

  • Heikki Tikanmäki (TKK): Fractional Levy processes.

Wed 28.10. 14-16, TKK U322

  • Yuri Kabanov (Besancon): An HJB equation with non-local term arising in the consumption-investment problem with transaction costs.

Mon 19.10. 16-18, UH Exactum B120

  • Jeffrey Collamore (University of Copenhagen): On precise estimates for a class of random recurrence equations arising in insurance and financial mathematics

Mon 12.10. 16-18, TKK U322

  • Mikko Pakkanen (UH): Microfoundations of heavy-tailed stock returns

Mon 5.10. 16-18, TKK U322

  • Yongming Hou (UH): A Thermodynamic Formalism of the Economic Equilibrium Theory

Mon 28.9. 16-18, UH Exactum B120

  • Dario Gasbarra (UH): On equivalence of Gaussian processes and conditional small ball property

Mon 21.9. 16-18, TKK U322

  • Esko Valkeila (TKK): Initial enlargement in a Markov chain market model

Mon 14.9. 16-18, UH Exactum B120

  • Ehsan Azmoodeh(TKK): On hedging problem of a path-dependent option in fractional Black-Scholes market

Wed 2.9. 16-18, TKK U322



Spring 2009



Tue 26.5. - Thu 28.5., TKK Hall K

Mon 18.5. 16-18, TKK U322

  • Ari-Pekka Perkkiö (TKK): Conjugate duality and stochastic optimization in continuous time

Mon 11.5. 16-18, UH Exactum B120

  • Teemu Pennanen (TKK): Conjugate duality and stochastic optimization

Mon 27.4. 16-18, TKK U322

Mon 20.4. 16-18, UH Exactum B120

  • Helena Aro: A robust approach to stochastic mortality modelling

Mon 6.4. 16-18, TKK U322

  • Harri Nyrhinen: Economic factors and solvency

Mon 30.3. 16-18, UH Exactum B120

  • Eero Saksman: On convergence of adaptive MCMC methods

Mon 16.2. 16-18, UH Exactum B120

  • Lasse Koskinen: Matemaattisen mallinnuksen rooli finanssikriisissä (The Role of mathematical modelling during a financial crisis; in Finnish)

Mon 9.2. 16-18, TKK U322

  • Matias Leppisaari (TKK): Mortality modelling and management of longevity risk


Autumn 2008



Mon 8.12. 16-18, UH Exactum B120

 

 

Mon 24.11. 16-18, UH Exactum B120

 

  • Dario Gasbarra (University of Helsinki): TBA

Mon 17.11. 16-18, TKK U322

 

  • Mikko Pakkanen (University of Helsinki): Stochastic Integrals and Conditional Full Support

Mon 10.11. 16-18, UH Exactum B120

 

  • Brita Jung (Åbo Akademi): Large Deviations and Exit Times for Autoregressive Processes

Mon 3.11. 16-18, TKK U322

 

  • Arto Luoma: Bayesian Model Selection

Mon 27.10. 16-18, UH Exactum B120

 

  • Jukka Lempa (TKKK): TBA

Mon 20.10. 16-18, TKK U322

 

  • Ari-Pekka Perkkiö (TKK): Introduction to Optimal Stopping

Mon 13.10. 16-18, UH Exactum B120

 

Mon 6.-7.10. 16-18, TKK U322

 

Mon 29.9. 16-18, TKK U322

 

  • Esko Valkeila (TKK): On European options in the fractional Black & Scholes market model

Mon 1.9., 8.9. and 15.9. 15-18, TKK U322

 

 

Mon 11.8. 15-17, TKK U322

 

  • Yuliya Mishura (Kiev): Quantile hedging with rediscounting on a complete financial market

 



Spring 2008



Thu 29.5. 14-16, UH Exactum B120

 

 

Wed 14.5., UH - Thu 15.5., TKK

 

 

Mon 12.5. 16-18, UH B120

 

  • Esa Nummelin (UH): Large deviations of stochastic economic equilibrium

 

Mon 28.4. 16 - 18, UH Exactum B120

 

  • Igor Morlanes (TKK): Insider information in Markov Chain market models.

 

Mon 21.4. 16-18, TKK U322

 

  • Teemu Pennanen (HSE): Dual problems in financial optimization

 

Mon 14.4. 16 - 18, UH Exactum B120

 

  • Mikko Pakkanen (UH): Diffusion approximation for asset price dynamics in a Markovian microstructure model with feedback effects

 

Mon 7.4. 16-18, TKK U322

 

  • Heikki Tikanmäki (TKK): Edgeworth expansion for the one dimensional distribution of a Lévy process

 

Mon 31.3. 16 - 18, UH Exactum B120

 

  • Lasse Koskinen: Tilastolliset menetelmät vakuutusyhtiön riskienhallinnassa (in Finnish)

 

Mon 24.3.

 

  • No seminar (Easter)

 

Mon 17.3. 16 - 18, UH Exactum B120

 

  • Heikki Tikanmäki (TKK): Edgeworth expansion for the one dimensional distribution of a Lévy process
  • Cancelled

 

Mon 3.3. and 10.3.

 

  • No seminar

 

Mon 25.2. 16-18, TKK U322

 

  • Ehsan Azmoodeh (TKK): An estimator for the quadratic variation of mixed Brownian fractional Brownian motion

 

Mon 18.2. 16 - 18, UH Exactum B120

 

  • Harri Nyrhinen (UH): On insurance loss reserving

 

Mon 11.2. 16-18, TKK U322

 

  • Dario Gasbarra (UH): Malliavin laskennasta Poisson avaruudessa

 


Mon 4.2. 16 - 18, UH Exactum B120

 

  • Esko Valkeila (TKK): Local continuity of stopping times

 


Mon 28.1. 16-18, TKK U322

 

 



Autumn 2007



Wed 19.12. 15-, Kotiharjun sauna

 

 

Mon 10.12. 16-18, UH Exactum B120

 

  • Laura Koskela (Vakuutusvalvontavirasto): Analysis of longitudinal data using cubic smoothing splines

 

Mon 3.12. 16-18, UH Exactum B120

 

  • Olli Wallin (TKK/University of Oslo CMA): TBA

 

Mon 26.11. 16-18, TKK U322

 

  • Cancelled
  • (Esa Nummelin (UH): Equilibrium theory of random economies)

 

Mon 19.11. 16-18, UH Exactum B120

 

  • Dario Gasbarra (UH): On the theory of enlargement of filtrations and some recent developments

 

Mon 12.11. 16-18, TKK U322

 

 

Mon 5.11. 16-18, UH Exactum B120

 

 

Mon 29.10. 16-18, TKK U322

 

 

Mon 22.10.

 

  • No seminar.

 

Mon 15.10. 16-18, TKK U322

 

  • Teemu Pennanen: Pricing and hedging in convex markets

 

Mon 8.10. 16-18, UH Exactum B120

 

  • Harri Nyrhinen (UH): Large deviations of multivariate heavy tailed random walks

 

Mon 1.10. 16-18, TKK U322

 

  • Esko Valkeila (TKK): Robust replication in log-normal pricing models

 

Mon 24.9. 16-18, UH B120

 

  • Mikko Pakkanen (UH): A functional limit theorem for a marked point process model of asset price fluctuations

 

Mon 17.9. 16-18, TKK U322

 

  • Ilkka Norros (VTT) and Eero Saksman (UH): Local independence of fractional Brownian motion

 

Wed 5.9. 16-18, TKK U322

 

  • Georg Pflug (University of Vienna): Multi-period risk and version-independence

 



Spring 2007



Wed 30.5. 11-14.30, TKK U322

 

  • Seminar on Stochastic Finance, part II
  • 11.15-12.15 Stefan Geiss (University of Jyväskylä): Discretizations of BSDEs and Besov spaces
  • 13.15-13.45 Yuri Kabanov (Universite de Besancon): Some Problems in Option Replications under Transaction Costs.
  • 13.45-14.15 Luis Alvarez (Turku School of Economics): On Singular Stochastic Control on Spectrally Negative Jump-Diffusions
  • 14.15-14.30 Esko Valkeila (Helsinki University of Technology): On Robust Black-Scholes model

 

Fri 25.5. 13.00-16, UH Exactum B120

 

  • Seminar on Stochastic Finance, part I
  • 13.00-14.00 Yuri Kabanov (Universite de Besancon): Introduction to the 'General Theory' of Financial Markets with Proportional Transaction Costs.
  • 14.30-15.30 Teemu Pennanen (Helsinki School of Economics): Free lunches and martingales in convex markets
  • 15.30-16.00 Esko Valkeila (Helsinki University of Technology): On no-arbitrage in non-semimartingale pricing models

 

Mon 21.5. 16-18, UH Exactum B120

 

 

Mon 7.5. 16-18, UH Exactum B120

 

  • Huizhen Yu (Department of Computer Science, UH): On partially observable Markov decision processes with the average cost criterion.

 

Mon 23.4. 16-18, UH Exactum B120

 

  • Juha Vuolle-Apiala (University of Vaasa): Shiga-Watanabe's time inversion property for self-similar diffusions

 

Tue 17.4. 12-14, TKK U356

 

 

Mon 16.4. 16-18, TKK U322

 

  • Lasse Koskinen (Vakuutusvalvontavirasto): Bayesian modelling of financial guarantee insurance.

 

Mon 9.4. 16-18, UH

 

  • No seminar.

 

Mon 2.4. 16-18, TKK U322

 

  • Jussi Uusivuori (Metla): Climate and Energy Policies in the Forest Sector: An Energy-Wood and Timber Market Model for Finland

 

Mon 26.3. 16-18, UH

 

  • No seminar.

 

Mon 19.3. 16-18, TKK U322

 

  • Tommi Sottinen (UH): Conditional small balls and no-arbitrage

 

Mon 12.3. 16-18, UH Exactum B120

 

  • Dario Gasbarra (UH): Enlarging the filtration of exponentially killed diffusion

 

Mon 5.3. 16-18, TKK

 

  • No Seminar

 

Mon 26.2. 16-18, UH Exactum B120

 

  • Leena Kalliovirta (UH): Kvantiiliresiduaalien ominaisuudet ja käyttö epälineaaristen aikasarjamallien spesifioinnissa

 

Mon 19.2. 16-18, TKK U322

 

  • Antti Rasila (TKK): Arbitrage by changing the stock exchange

 

Mon 12.2. 16-18, UH Exactum B120

 

  • Jeffrey Collamore (University of Copenhagen): Random recurrence equations and ruin in a Markov-dependent stochastic economic environment

 

Mon 5.2. 16-18, TKK U322

 

  • Mikko Kuusela (Silta Oy): Vakuutuksen kysynnän perusteet hyötyteorian näkökulmasta.

 

Mon 29.1. 16-18, UH Exactum B120

 

  • Celine Jost (UH): Ergodic transformations of self-similar Volterra Gaussian processes.

 

Mon 22.1. 16-18, TKK U322

 

  • Esko Valkeila (TKK): On the approximation of the geometric fractional Brownian motion.

 



Autumn 2006



Mon 11.12. 16-18, UH B120

 

  • Christian Bender (TU Braunschweig): TBA.

 

Mon 4.12. 16-18, TKK U322

 

  • Karl Sigman (Columbia University/TKK): Exponential limits for single-server queues in heavy traffic: the case of stationary input.

 

Mon 27.11. 16-18, UH B120

 

  • Petri Hilli (HSE): Suomalaisen eläkelaitoksen sijoitustuotto-kassavirta-vastuumalli.

 

Mon 20.11. 16-18, TKK U322

 

  • Teemu Pennanen (HSE/TKK): Riskinhallinta Suomen eläkejärjestelmässä.

 

Mon 13.11. 16-18, UH B120

 

  • Hermann Thorisson (University of Iceland): Mass-stationarity for random measures in d dimensions.

 

Mon 6.11. 16-18, TKK U322

 

  • Lasse Koskinen (Vakuutusvalvontavirasto): Vakuutusyhtiön riskienhallinta.

 

Mon 30.10. 16-18, UH B120

 

  • Stig-Olof Londen (TKK): On a stochastic parabolic integral equation.

 

Mon 23.10. 16-18, TKK U322

 

  • Sara Biagini (Perugia University): Orlicz spaces and some recent applications to convex duality problems in finance. [pdf]

 

Mon 16.10. 16-18, UH B120

 

  • Mikko Pakkanen: Continuous semimartingales and initial enlargement of a filtration.

 

Mon 9.10. 16-18, TKK U322

 

  • Pavel Gapeev: About construction of jump analogues of diffusion processes.

 

Mon 2.10. 16-18, UH B120

 

  • Harri Nyrhinen (Helsinki): Power estimates for ruin probabilities.

 

Mon 25.9. 16-18, TKK U322

 

  • Kacha Dzhaparidze (CWI Amsterdam): Isotropic random fields with homogeneous increments: Levy's fBm.

 

Mon 18.9. 16-18, UH B120

 

  • Esa Nummelin (Helsinki): Termodynamiikan toinen pääsääntö ja suurten poikkeamien periaate.

 



Spring 2006



Wed 24.5.2006 14 - 16 U356

 

  • A.P. Perkkiö (TKK): On measure preserving transformations for fBm (preliminary title).
  • Olli Wallin (CMA, Oslo): A semilinear partial integro-differential equation for valuing american options.

 

Tue 23.5.2006 14 - 16 U356

 

  • Natalia Markovitch (Moscow): Heavy-tailed density estimation by dependent and independent empirical data. (Finnish Mathematical Society Colloquium)

 

Wed 15.3. 2006 14 - 16 U322

 

  • Marina Sirviö (ÅA/TKK): On local time storage.

 

Wed 8.3. 2006 14 - 16 U322

 

  • Christian Bender (WIAS, Berlin): No-Arbitrage pricing beyond semimartingales.

 

Wed 22.2. 2006 14 - 16 U322

  • Esko Valkeila (TKK): Characterization of fBm, part II.

 

Wed 15.2. 2006 12 - 14 U 322 Note the time!

 

  • Esko Valkeila (TKK): Program for the spring. Characterization of fBm, part I.

 

Wed 11.1. 2006 14 - 16 U 322

 

  • José Manuel Corcuera (Barcelona): Power variation of integral fractional processes and applications.

 



Autumn 2005



Wed 21.12. 15 - Kotiharjun sauna

  • Stokastinen sauna, yhdessä yliopiston kanssa.

 

Tue 20.12. 10 - 12 U 356

 

  • Timo Koski (Linköping): Notes on Gaussian semimartingales

 

Fri 16.12. 10 - 12 U 356

 

  • Céline Jost (HY): Linear Transformations of Volterra Gaussian processes and related bridges

 

Wed 16.11. 14 - 16 U 322

 

  • Teemu Pennanen (HKKK): Arbitrage and martingales in nonlinear price processes

 

Fri 4.11. 10 - 12 Y 427 a

 

  • Ilkka Norros (VTT): Dynamic description of dependence

 

Fri 7.10. 10 - 12 Y 427 a

 

  • Michel Lifshits (St. Peterburg): Large deviations in some stochastic particle systems

 

Fri 30.09. 10-12 Y 427a

 

  • Giovanni Peccati (Paris): Quadratic functionals of Gaussian processes and irreducible group representations

 

Fri 23.09. 10 -12 Y 427a

 

  • Heikki Tikanmäki (TKK): Lévy-prossien jakaumista (diplomityöesitelmä).
  • Esitelmän jälkeen keskustelua syksyn ohjelmasta.

 



Spring 2005



Thu 21.4. 10-12 U322

 

  • E. Valkeila: Lq regular experiments.

 


Thu 14.4. 10-12 U322

 

  • M. Sirviö: Measures of risk.

 


Wed 23.3. 14-16 U322

 

  • M. Luczak: On the maximum queue length and asymptotic distributions in the supermarket model.

 


Thu 10.3. 10-12 U322

 

  • J. Jacod: Some estimation problems for discretely observed Lévy processes.

 


Wed 9.3. 14-16 U322

 

  • J. Kallsen: On utility maximization, derivative pricing, and measure changes.

 


Thu 3.3. 10-12 U322

 

  • L. Leskelä: Generalised stochastic processes.

 


Thu 17.2. 10-12 U322

 

  • E. Valkeila: Tutorial on fBM. Part II

 


We 9.2. 14-16 U322

 

  • E. Valkeila: Tutorial on fBM. Part I

 


Thu 3.2. 10-12 U322

 

  • M. Kessler: Statistical inference for a random scale perturbation of an AR(1)-process.

 


Wed 26.1. 14-16 U322

 

  • E. Valkeila: Program.

 



Autumn 2004



2.12. 10-12 Y405

  • Fred Espen Benth (Oslo): A stochastic temperature dynamics model with applications to weather derivatives pricing
  • Abstract: We present a mean-reverting model for the temperature dynamics which has seasonal volatility and innovations generated from a Levy process. After arguing for the relevanced of this model using data from Norway, we price typical forward contracts traded in the market (specifically the Chicago Mercantile Exchange). The quesiton of option pricing will be discussed.

24.11. 14-16 U322

  • Michael Sørensen (Copenhagen): A tractable class of flexible diffusion models - with a view to applications in finance

11.11. 10-12 Y405

 

  • Canqin Tang: Herz space on locally compact Vilenkin groups.

 


27.10. 14-16 U322

 

  • E. Valkeila: Gaussiset sillat/Gaussian bridges.

 


13.10. 14-16 U322

 

  • J. Tikanmäki: Stochastic integration theory in Banach spaces.

 


7.10. 10-12 Y405

 

  • K. Sigman (Columbia University, NYC): Heavy-tailed phenomena in queueing analysis part 3.

 


6.10. 14-16 U322

 

  • K. Sigman (Columbia University, NYC): Heavy-tailed phenomena in queueing analysis part 2.

 


30.9. 10-12 Y227

 

  • K. Sigman (Columbia University, NYC): Heavy-tailed phenomena in queueing analysis part 1.

 


22.9. 14-16 U322

 

  • E. Valkeila: Program. Random walks and Doob decomposition.

 

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