Sara Svaluto-Ferro

  • Publications and Preprints

    Polynomial jump-diffusions on the unit simplex (with C. Cuchiero, M. Larsson). [ArXiv, Article]
    Annals of Applied Probability, 28(4), 2451-2500, 2018.

    Probability measure-valued polynomial diffusions (with C. Cuchiero, M. Larsson). [ArXiv, Article]
    Electronic Journal of Probability, 24(30), 2019.

    Existence of probability measure valued jump-diffusions in generalized Wasserstein spaces (with M. Larsson). [ArXiv]
    Preprint, 2019.

    Infinite dimensional polynomial processes (with C. Cuchiero). [ArXiv]
    Preprint, 2019.

  • Teaching assistance (exercise classes)

    Fall 2015, ETH Zurich:   Mathematical Foundation for Finance

    Spring 2012, ETH Zurich:   Statistik und Wahrscheinlichkeitsrechnung

    Fall 2011, ETH Zurich:   Lineare Algebra und Numerische Mathematik

  • Experience

    2016-2018, ETH Zurich: Organization of the group of Probability theory, Insurance mathematics, and Stochastic finance.

  • Curriculum Vitae

    Curriculum Vitae.

  • Talks

    Infinite dimensional polynomial jump-diffusions, September 2019,
    ÖMG Conference, Dornbirn, Austria.

    Infinite dimensional polynomial jump-diffusions, September 2019,
    Vienna Congress on Mathematical Finance, Vienna, Austria.

    Infinite dimensional polynomial processes and applications to rough volatility modeling, September 2019,
    An afternoon of high-dimensional stochastics, Vienna, Austria.

    Infinite dimensional polynomial jump-diffusions, June 2019,
    3rd International Congress on Actuarial Science and Quantitative Finance, Manizales, Colombia.

    Infinite dimensional polynomial jump-diffusions, February 2019,
    Joint Risk & Stochastics and Financial Mathematics seminar series, London, UK.

    Infinite dimensional polynomial jump-diffusions, January 2019,
    20th Quantitative Finance Workshop, Zurich, Switzerland.

    Existence of probability measure-valued jump-diffusions in Wasserstein spaces, January 2019,
    13th Bachelier Colloquium, Métabief, France.

    Probability measure-valued polynomial diffusions, July 2018,
    10th World Congresses of the Bachelier Finance Society, Dublin, Ireland.

    Generators of probability measure-valued jump-diffusions, July 2018,
    Freiburg-Wien-Zürich Workshop, Strobl at Wolfgangsee, Austria.

    Measure-valued polynomial diffusions, September 2017,
    2nd International Conference on Computational Finance, Lisbon, Portugal.

    Measure-valued polynomial diffusions, May 2017,
    School and Workshop on Dynamical Models in Finance, Lausanne, Switzerland.

    Measure-valued polynomial diffusions, March 2017,
    Young Researcher Workshop in Mathematical Finance, Ann Arbor, USA.

    Boundary attainment for polynomial jump-diffusions on the unit interval, January 2017,
    11th Bachelier Colloquium, Métabief, France.

    Polynomial Jump-Diffusions on the Unit Interval (and the Unit Simplex), July 2016,
    9th World Congresses of the Bachelier Finance Society, New York, USA.

    Polynomial Preserving Jump-Diffusions on the Unit Interval, February 2016,
    Frontiers in Stochastic Modelling for Finance, Padova, Italy.

    Polynomial Preserving Jump-Diffusions on the Unit Interval, October 2015,
    Conference for "Junior female researchers in probability", Berlin, Germany.

    Polynomial Preserving Jump-Diffusions on the Unit Interval, August 2015,
    11th Doktorandentreffen Stochastik, Berlin, Germany.

University of Vienna
Faculty of Mathematics
Office 06.135
Oskar-Morgenstern-Platz 1
1090 Vienna
Austria

Phone: +43 1 4277 50736
Email: sara.svaluto-ferro@univie.ac.at