Talks

• Signature methods in stochastic portfolio theory, October 2022,
  IFAM seminar, Liverpool, England (online).
  
• Measure-valued processes for energy markets, October 2022,
  Recent developments in stochastics with applications in mathematical Physics and finance, Hammamet, Tunesia.
  
• Signatures methods in finance, September 2022,
  PhD course, Padova, Italy.
  
• Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models, September 2022,
  Third Symposium on Machine Learning and Dynamical Systems, Toronto, Canada.
  
• Signature methods in stochastic portfolio theory, September 2022,
  Stochastic Control and Quantitative Finance, Jerusalem, Israel.
  
• Signature methods in stochastic portfolio theory, September 2022,
  10th Austrian stochastic days, Vienna, Austria.
  
• Signature methods in stochastic portfolio theory, September 2022,
  BIRS Workshop: New interfaces of Stochastic Analysis and Rough Paths (online).
  
• Signature based models in finance: relation to affine and polynomial processes, calibration and inclusion of jumps, September 2022,
  25th International Symposium on Mathematical Theory of Networks and Systems, Bayreuth, Germany.
  
• Universal approximation theorems for continuous functions of càdlàg paths and Lévy-type signature models, August 2022,
  Stochastic & Rough Analysis, Berlin, Germany.
  
• Signature methods in stochastic portfolio theory, July 2022,
  Financial Mathematics Session at the AMS-EMS-SMF International Meeting, Grenoble, France.
  
• Signature methods in stochastic portfolio theory, June 2022,
  Mini symposium LMU, München, Germany.
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, May 2022,
  IMSI Workshop on Machine Learning and Mean-Field Games Chicago, USA(online).
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, May 2022,
  Quantact Seminar, Montréal, Canada (Online).
  
• Universal portfolios and model-free portfolio optimization, May 2022,
  Algorithmic Trading Group Seminar.
  
• Measure-valued processes for energy markets, May 2022,
  On the Interplay between Finance and Insurance Mathematics, Lisbon, Portugal.
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, April 2022,
  Spring Colloquium on Probability and Finance dedicated to Wolfgang Runggaldier on the occasion of his 80th birthday, Padova, Italy.
  
• Measure-valued processes for energy markets, April 2022,
  XXIII Quantitative Finance Workshop, Rome, Italy.
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, April 2022,
  Columbia Mathematical Finance Seminar, New York, USA (online).
  
• Measure-valued processes for energy markets, March 2022,
  BIRS Workshop: Stochastic Mass Transports (online).
  
• Randomized signature for approximation of dynamic processes, March 2022,
  DNA Seminar - Norwegian University of Science and Technology (online).
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, March 2022,
  Manchester Probability Seminar, Manchester, England (online).
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, March 2022,
  13th International Workshop on Stochastic Models and Control, Travemünde.
  
• Rough covariance modeling - theory and empirics, February 2022,
  Cournot seminar: “ From Microscopic Models to Rough Macroscopic Models”.
  
• Signature SDEs as affine and polynomial processes, January 2022,
  Winter Seminar on Mathematical Finance, Netherlands (online).
  
• Optimal bailout strategies and the drift-controlled supercooled Stefan problem, December 2021,
  Mathematical Finance Seminar ETH Zurich, Switzerland.
  
• Signature SDEs as affine and polynomial processes, October 2021,
  First Florence-Paris Workshop on Mathematical Finance, Florence, Italy.
  
• Signature SDEs as affine and polynomial processes, September 2021,
  Next Generation Models of Financial Data, Burghausen, Germany.
  
• From neural SDEs and signature methods to affine and polynomial processes and back, August 2021,
  Lecture at 2nd International Summer School on Financial Mathematics, Moscow, Russia (online).
  
• From signature methods in finance to affine and polynomial processes and back, August 2021,
  6th Berlin workshop for young researchers, Berlin, Germany (online).
  
• From neural SDEs and signature methods to affine and polynomial processes and back, July 2021,
  Lecture at Introduction to Decision Making and Uncertainty, Chicago, USA (online).
  
• From signature methods in finance to affine and polynomial processes and back, July 2021,
  Bernoulli-IMS 10th World Congress in Probability and Statistics, Seoul, South Korea (online).
  
• Deep calibration via signature based models, June 2021,
  Summer school on Distributed Control: Decentralization and Incentives, Luminy, France (online).
  
• Signature based models in finance: relation to affine and polynomial processes, calibration and inclusion of jumps, May 2021,
  Online conference beyond the boundaries: new directions in financial and actuarial mathematics, Leeds, England (online).
  
• From signature methods in finance to affine and polynomial processes and back, April 2021,
  Virtual Princeton-Rutgers Financial Math Seminar, New Jersey , USA (online).
  
• From signature methods in finance to affine and polynomial processes and back, February 2021,
  UCLA - Financial and Actuarial Mathematics Seminar, Los Angeles, USA.
  
• Universality of affine and polynomial processes, Febuary 2021,
  Cumulants in Stochastic Analysis, Berlin, Germany (online).
  
• Universality of affine and polynomial processes, February 2021,
  North British Probability Seminar, University of Edinburgh, Scotland (online).
  
• Universality of affine and polynomial processes, February 2021,
  Berlin Probability Colloquium, Berlin, Germany (online).
  
• From signature methods in finance to affine and polynomial processes and back, January 2021,
  WU Wien - Institute for Statistics and Mathematics Vienna, Austria (online).
  
• Universality of affine and polynomial processes, December 2020,
  Workshop on Representations of Jump Diffusions, Berlin-Vienna (online).
  
• Universality of affine and polynomial processes, November 2020,
  Vienna Probability Seminar, Vienna, Austria (online).
  
• Universality of affine and polynomial processes, October 2020,
  Workshop on new Challenges in the Interplay between Finance and Insurance, Oberwolfach, Germany (online).
  
• Deep neural networks, generic universal interpolation and controlled differential equations, October 2020, Oxford Stochastic Analysis and Mathematical Finance Seminar, Oxford, England (online).
  
• Universality of affine and polynomial processes, September 2020,
  Bachelier-One-World-Seminar (online)
  
• Universality of affine and polynomial processes, September 2020
  Conference on High-Dimensional Stochastics, Vienna, Austria (online).
  
• Measure valued processes for energy markets, August 2020,
  Spatus-Workshop, Oslo, Norway (online).
  
• A neural network approach to calibration of local stochastic volatility models, May 2020,
  Workshop on Market generators, London, England (online).
  
• Neural network approaches to infinite dimensional calibration and prediction problems, April 2020,
  Seminar at UCSB, Santa Barbara, USA (online).
  
• Consistent minimal market models for the growth optimal portfolio, March 2020,
  Bachelier Seminar, Paris, France.
  
• Deep neural networks, generic universal interpolation and controlled differential equations, January 2020,
  Advances in Financial Mathematics, Paris, France.
  
• Neural network approaches to infinite dimensional calibration and prediction problems, December 2019,
  QMF, Sydney, Australia.
  
• Consistent minimal market models for the growth optimal portfolio, December 2019,
  Workshop in honour of Eckhard Platen, Sydney, Australia.
  
• Deep neural networks, generic universal interpolation and controlled differential equations, November 2019, Seminar talk, Oslo, Norway.
  
• Machine Learning in Finance, November 2019,
  Talk at the insurance company Uniqa, Vienna.
  
• Rough covariance modeling - theory and empirics, November 2019,
  Frontiers in Quantitative Finance, Copenhagen, Denmark.
  
• Deep neural networks, generic universal interpolation and controlled differential equations, September 2019,
  Vienna Congress on Mathematical Finance, Vienna, Austria.
  
• Rough covariance modeling - theory and empirics, September 2019,
  ÖMG Conference, Dornbirn, Austria.
  
• Learning multi-curve interest rate models, July 2019,
  Recent advances in interest rate modelling, Valencia, Italy.
  
• Existence and stability for stochastic Volterra equations with jumps, July 2019,
  Stochastic processes and their applications, Chicago, USA.
  
• A neural network approach to calibration of local stochastic volatility models, July 2019,
  Fifth Workshop on Dynamical Systems and Brain-Inspired Information Processing, Konstanz, Germany.
  
• A neural network approach to calibration of local stochastic volatility models, June 2019,
  9th General AMaMeF Conference, Paris, France.
  
• Rough covariance modeling - theory and empirics, June 2019,
  SIAM Conference on Financial Mathematics and Engineering
  
• Rough covariance modeling - theory and empirics, June 2019,
  ICASQF, Manizales, Columbia.
  
• Universal portfolios and model-free portfolio optimization, June 2019,
  SIAM Conference on Financial Mathematics and Engineering
  
• Infinite dimensional polynomial processes, May 2019,
  Kolloquium Wahrscheinlichkeitstheorie, Berlin, Germany.
  
• Rough covariance modeling - theory and empirics, March 2019,
  Research seminar in financial and insurance Mathematics, Zürich, Switzerland.
  
• Rough covariance modeling - theory and empirics, January 2019,
  Bachelier Colloquium, Metabief, France.
  
• Rough covariance modeling - theory and empirics, December 2018,
  Quantative methods in Finance, Sydney, Australia.
  
• Rough affine covariance models, November 2018,
  London Mathematical Finance Seminar, London, UK.
  
• Calibration of financial models with neural networks, Oktober 2018,
  DEM Workshop in Financial Mathematics, Verona, Italy.
  
• Infinite dimensional polynomial processes, Oktober 2018,
  Mathematical Finance Workshop, Storrs, USA.
  
• Infinite dimensional polynomial processes, September 2018,
  Innovative research in Mathematical Finance, Luminy, France.
  
• Infinite dimensional polynomial processes, August 2018,
  Advanced Methods in Mathematical Finance, Angers, France.
  
• Infinite dimensional polynomial processes, June 2018,
  Probability Seminar, Amsterdam, Netherlands.
  
• Infinite dimensional polynomial processes, June 2018,
  9th International Workshop on Applied Probability, Budapest, Hungary.
  
• Infinite dimensional polynomial processes, June 2018,
  Closing conference “stochastic modelling”, Verona, Italy.
  
• Markovian representations of stochastic Volterra equations, May 2018,
  Mini-Workshop on high-dimensional BSDEs and PDEs, Essen, Germany.
  
• Markovian representations of stochastic Volterra equations, May 2018,
  Stochastic analysis and its applications, Oaxaca, Mexico.
  
• Calibration of financial models using neural networks, April 2018,
  NUS-USPC Machine Learning and Fintech Conference, Singapore.
  
• Rough volatility modeling from an affine point of view, February 2018,
  Actuarial and Financial Mathematics Conference, Brussels, Belgium.
  
• High and infinite dimensional finance in the light of affine and polynomial processes, January 2018,
  Probability and Computational Finance Seminar, Carnegie Mellon University, Pittsburgh, USA.
  
• Markovian representations of stochastic Volterra equations, January 2018,
  Workshop on Quantitative Finance, Rom, Italy.
  
• Markovian representations of stochastic Volterra equations, January 2018,
  Bachelier Colloquium 2018, Metabief, France.
  
• (Probability) measure valued polynomial diffusions, December 2017,
  De Finetti Risk Seminar, Milan, Italy.
  
• Markovian representations of stochastic Volterra equations, December 2017,
  Stochastic Analysis and Modeling Conference, Verona, Italy.
  
• Markovian representations of stochastic Volterra equations, December 2017,
  Bachelier Seminar, Paris, France.
  
• (Probability) measure valued polynomial diffusions, December 2017,
  Mathematical Finance Workshop Paris Diderot, Paris, France.
  
• Rough volatility from an affine point of view, November 2017,
  Advances in Stochastic Analysis for Risk Modeling, Luminy, France.
  
• Universal portfolios and model-free portfolio optimization, September 2017,
  ETH Risk Day 2017, Zurich, Switzerland.
  
• Non-linear (PI)DEs and affine processes, July 2017,
  BSDEs, SPDEs and their applications, Edinburgh, UK.
  
• Probability measure valued polynomial diffusions, June 2017,
  Mathematical Finance Seminar Pisa, Pisa, Italy.
  
• Probability measure valued polynomial diffusions, June 2017,
  8 AmaMef Conference, Amsterdam, Netherlands.
  
• Probability measure valued polynomial diffusions, June 2017,
  Thera Stochastics - A mathematics conference in Honor of Ioannis Karatzas, Santorini, Greece.
  
• Polynomial processes in stochastic portfolio theory, May 2017,
  School and workshop on dynamical models in finance, Lausanne, Switzerland.
  
• Probability measure valued polynomial diffusions, April 2017,
  Freiburg-Vienna-Zurich Semiar, Zurich, Switzerland.
  
• Modelfree portfolio optimization in the long run, March 2017,
  Mathematical Finance Seminar Oxford, Oxford, UK.
  
• Modelfree portfolio optimization in the long run, February 2017,
  Oberwolfach - Meeting, Oberwolfach, Germany.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
  Workshop on Quantitative Finance, Milan, Italy.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
  Mathematical Finance Seminar Munich, Munich, Germany.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
  Bachelier Colloquium 2017, Metabief, France.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
  Advances in Financial Mathematics, Paris, France.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, January 2017,
  Stochastic analysis and its applications XIII, Prague, Czech Republic.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, December 2016,
  QMF Conference 2016, Sydney, Australia.
  
• Cover's universal portfolio, stochastic portfolio theory and the numeraire portfolio, December 2016,
  Finance and Stochastics Seminars, London, UK.
  
• Cover's portfolio in stochastic portfolio theory, September 2016,
  Workshop on Stochastic Processes and Financial and Insurance Mathematics II, Ritsumeikan, Japan.
  
• Polynomial processes in stochastic portfolio theory, July 2016,
  9th Bachelier World Congress, New York, US.
  
• Aspects of stochastic portfolio theory and polynomial processes, June 2016,
  At the Frontiers of Quantitative Finance, Edinburgh, UK.
  
• Affine multiple yield curve models, June 2016,
  Bar-Ilan Conference on Financial Mathematics, Tel Aviv, Israel.
  
• (Measure-valued) polynomial processes in stochastic portfolio theory, May 2016,
  Stochastic Analysis and Mathematical Finance - A Fruitful Partnership, Oaxaca, Mexiko.
  
• Polynomial processes in stochastic portfolio theory, May 2016,
  Thiele Seminar, Aarhus, Danemark.
  
• Polynomial processes in stochastic portfolio theory, April 2016,
  ISOR Colloquium, Vienna, Austria.
  
• Polynomial processes in stochastic portfolio theory, March 2016,
  Seminar MathFiProNum, Paris, France.
  
• Polynomial processes in stochastic portfolio theory, February 2016,
  Joint Risk \& Stochastics and Financial Mathematics Seminar, LSE, London, UK.
  
• Affine multiple yield curve models February 2016,
  Frontiers in Stochastic Modelling for Finance, Padua, Italy.
  
• Polynomial processes in stochastic portfolio theory, January 2016,
  XVII Workshop on Quantitative Finance, Pisa, Italy.
  
• Polynomial processes in stochastic portfolio theory, Januar, 2016,
  Bachelier Colloquium 2016, Metabief, France.
  
• Aspects of relative arbitrage with long only portfolios and polynomial models in stochastic portfolio theory, December 2015,
  Meeting on stochastic portfolio theory, Princeton, USA.
  
• New perspective on the fundamental theorem of asset pricing for large financial markets, December 2015,
  Mathematical Finance Seminar, Columbia University, New York.
  
• Stochastic portfolio theory and polynomial processes, October 2015,
  Workshop: Junior Female Researcher in Probability, Berlin, Germany.
  
• Polynomial processes in stochastic portfolio theory, September 2015,
  ETH-ITS Workshop, Zürich, Switzerland.
  
• Affine multiple yield curve models, September 2015,
  7th AMeMef, Lausanne, Switzerland.
  
• A new perspective on the fundamental theorem of asset pricing for large financial markets, August 2015,
  ICIAM, Peking, China.
  
• Polynomial processes and their applications in stochastic portfolio theory, July 2015,
  Summer School in Stochastic Finance , Athens, Greece.
  
• A new perspective on the fundamental theorem of asset pricing for large financial markets, May 2015,
  Conference on Advanced Modelling in Mathematical Finance , Kiel, Germany.
  
• A general HJM framework for multiple yield curve modeling, April 2015,
  Financial and Insurance Mathematics Seminar at ETHZ, Zürich, Switzerland.
  
• A new perspective on the fundamental theorem of asset pricing for large financial markets, January 2015,
  XVI Workshop on Quantitative Finance, Parma, Italy.
  
• A new perspective on the fundamental theorem of asset pricing for large financial markets, January 2015
  Bachelier Colloquium 2015, Metabief, France.
  
• A convergence result for the Emery topology and a variant of the proof of the Fundamental Theorem of Asset Pricing, September 2014,
  Stochastics of Environmental and Financial Economics , Oslo, Norway.
  
• A convergence result for the Emery topology and a variant of the proof of the Fundamental Theorem of Asset Pricing, July 2014,
  Seminar Talk, EPFL Lausanne, Switzerland.
  
• An HJM approach for multiple yield curves, June 2014,
  Bachelier Finance Society 8th World Congress , Brussels, Belgium.
  
• A convergence result for the Emery topology and a variant of the proof of the Fundamental Theorem of Asset Pricing, May 2014,
  Workshop on Mathematical Finance: Arbitrage and Portfolio Optimization , Banff, Canada.
  
• A convergence result for the Emery topology and insights in the proof of the Fundamental Theorem of Asset Pricing, March 2014
  The London Mathematical Finance Seminar Series , London, England.
  
• An HJM approach for multiple yield curves, January 2014,
  XV Workshop on Quantitative Finance, Florence, Italy.
  
• An HJM approach for multiple yield curves, January 2014,
  Bachelier Colloquium 2014, Metabief, France.
  
• An HJM approach for multiple yield curves, December 2013,
  Seminar Talk, Universite Paris Diderot (Paris 7), Paris, France.
  
• An HJM approach for multiple yield curves, November 2013,
  Seminar Talk, Dublin City University, Dublin, Ireland.
  
• An HJM approach for multiple yield curves, November 2013,
  Kolloquium Versicherungs- und Finanzmathematik, Hannover, Hannover, Germany.
  
• An HJM approach for multiple yield curves, October 2013,
  Workshop on Stochastic Processes and Statistics in Finance, Okinawa, Japan.
  
• An HJM approach for multiple yield curves, September 2013,
  PRisMa-Workshop Vienna, Vienna, Austria.
  
• An HJM approach for multiple yield curves, September 2013,
  OEMG DMV Congress 2013, Innsbruck, Austria.
  
• Fourier transform methods for pathwise covariance estimation and calibration of stochastic volatility models, September 2013,
  Seminar Talk, TU Chemnitz, Chemnitz, Germany.
  
• Fourier transform methods for pathwise covariance estimation and calibration of stochastic volatility models, July 2013,
  Seminar Talk, LMU Munich, Munich, Germany.
  
• Fourier transform methods for pathwise covariance estimation in the presence of jumps, June 2013,
  Advanced Finance and Stochastics, Moscow, Russia.
  
• Fourier transform methods for pathwise covariance estimation and calibration of affine models, June 2013,
  Conference on Frontiers in Financial Mathematics, Dublin, Ireland.
  
• Affine processes and their applications in mathematical finance;
  Fourier transform methods for pathwise covariance estimation in the presence of jumps, May 2013,
  Workshop on Financial Mathematics, Beirut, Lebanon.
  
• Fourier transform methods for pathwise covariance estimation in the presence of jump, March 2013,
  Financial and Insurance Mathematics Seminar at ETHZ, Zürich, Switzerland.
  
• Fourier transform methods for pathwise covariance estimation in the presence of jumps, November 2012,
  Finance and Stochastics Seminar at Imperial College, London, United Kingdom.
  
• Fourier transform methods for pathwise covariance estimation in the presence of jumps, October 2012,
  4th Berlin Workshop on Mathematical Finance for Young Researchers, Berlin, Germany.
• Calibration of multivariate affine stochastic volatility models, June 2012,
  BFS 7th world congress, Sydney, Australia.
  
• Matrix valued affine SDEs and their applications to multivariate stochastic volatility modeling, Mai 2012,
  Conference on OCDNGND, Vienna, Austria.
  
• Multivariate affine stochastic volatility models - theoretical aspects and calibration, Mai 2012,
  Seminar Talk, LMU Munich, Munich, Germany.
  
• Multivariate affine stochastic volatility models - theoretical aspects and calibration, Mai 2012,
  Seminar Talk, University of Kiel, Kiel, Germany.
  
• Calibration of multivariate affine stochastic volatility models, April 2012,
  Mathematical and statistical methods for actuarial sciences and finance, Venice, Italy.
  
• Multivariate affine stochastic covariance models, November 2011,
  Workshop on Interest Rates and Credit Risk, Chemnitz, Germany.
  
• Multivariate affine stochastic volatility models, June 2011,
  DYNSTOCH Conference 2011, Heidelberg, Germany.
  
• Affine processes and applications to multivariate stochastic volatility modeling, May 2011,
  Seminar zur Stochastik der Finanzmaerkte TU Berlin, Berlin, Germany.
  
• Affine processes on symmetric cones, September 2010,
  Conference on Stochastic Processes and their Applications, Osaka, Japan.
  
• Affine processes on non-canonical state spaces, July 2010,
  Conference on Analysis, Stochastics and Applications, Vienna, Austria.
  
• Affine processes on positive semidefinite matrices, June 2010,
  6th World Congress of the Bachelier Finance Society, Toronto, Canada.
  
• Affine processes on positive semidefinite matrices, April 2010,
  Workshop on Random Matrices, Zürich, Switzerland.
  
• Polynomial processes - Implementation in Premia, March 2010,
  Meeting for the Premia release 12 software, Paris, France.
• Affine processes on positive semidefinite matrices, February 2010,
  International Workshop on Mathematical Finance, Tokyo, Japan.
• Affine processes on positive semidefinite matrices, December 2009,
  Probability seminar ETHZ, ETH Zürich, Switzerland.
• Affine processes on positive semidefinite matrices, September 2009
  One day workshop on portfolio risk management,TU Wien, Austria.
• Affine processes on positive semidefinite matrices, September 2009,
  OEMG + DMV Kongress, Graz, Austria.
• Polynomial processes and applications to option pricing, May 2009,
  Instanbul Workshop on Mathematical Finance, Istanbul, Turkey.
• Polynomial processes and applications to option pricing, April 2009,
  Seminar Talk, TU München , München, Germany.
• A class of analytically tractable processes, December 2008,
  Special Semester on Stochastics with Emphasis on Finance , Linz, Austria.
• A class of analytically tractable processes with applications to option pricing, July 2008
  5th World Congress of the Bachelier Finance Society, London, United Kingdom.