Oberseminar Finanz- und Versicherungsmathematik
Jointly organised by Prof. Dr. Francesca Biagini, Prof. Dr. Thilo Meyer-Brandis, Prof. Dr. Christoph Knochenhauer, Prof. Dr. Aleksey Min, Prof. Dr. Matthias Scherer and Prof. Dr. Rudi Zagst
Venue
Technical University of Munich (TUM) (Room 2.02.01, Parking 11, Garching)
Schedule
| Dates | Times | Speakers | Titles |
|---|---|---|---|
| 10.11.2025 | 14:15 - 15:00 | Gemma Sedrakjan (TU Berlin) | How much should we care about what others know? Jump signals in optimal investment under relative performance concerns |
| 15:15 - 16:00 | Gero Junike (LMU) | From characteristic functions to multivariate distribution functions and European option prices by the damped COS method | |
| 01.12.2025 | 14:15 - 15:00 | Purba Das (King's College London) | Understanding roughness – A pathwise approach |
| 12.01.2025 | 14:15 - 17:00 | Thomas Mikosch (University of Copenhagen) | TBA |
Titles and Abstracts
We study how to construct a stochastic process on a finite interval with given `roughness'. We first extend Ciesielski's isomorphism along a general sequence of partitions, and provide a characterization of Hölder regularity of a function in terms of its Schauder coefficients. Using this characterization, we provide a better (path wise) estimator of Hölder exponent. Furthermore, we study the concept of (generalized) p-th variation of a real-valued continuous function along a sequence of partitions. We show that the finiteness of the p-th variation of a given function is closely related to the finiteness of ℓp-norm of the coefficients along a Schauder basis. As an additional application, we construct fake (fractional) Brownian motions with some path properties and finite moments of marginal distributions same as (fractional) Brownian motions. These belong to non-Gaussian families of stochastic processes which are statistically difficult to distinguish from real (fractional) Brownian motions.