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Seminars (SYR)

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Date Time Speaker Title Presentation Material
22nd August 2014 09:00 to 09:45 G Vuillemey Network structure and central clearing in the CDS market
22nd August 2014 09:45 to 10:00 G Vuillemey Discussion
22nd August 2014 10:00 to 10:45 M van der Leij The formation of a core periphery structure in heterogeneous financial networks
22nd August 2014 10:45 to 11:00 M van der Leij Discussion
22nd August 2014 11:30 to 12:15 C Kluppelberg Systemic risk through contagion in a core-periphery structured banking network
22nd August 2014 12:15 to 12:30 C Kluppelberg Discussion
3rd September 2014 11:00 to 12:00 T Kobayashi Asset correlation and network fragility: How should we intervene?
9th September 2014 10:30 to 12:00 D Duffie Over the Counter Markets (1)
9th September 2014 14:00 to 15:30 D Duffie Over the Counter Markets (2)
10th September 2014 11:00 to 12:00 O Kley Systemic risk in large claims insurance markets with bipartite graph structure
17th September 2014 14:00 to 15:00 M Dempster The true cost of OTC derivatives
1st October 2014 10:30 to 12:00 U Horst On some stochastic control problems arising in models of optimal portfolio liquidation: I
1st October 2014 14:00 to 15:30 U Horst On some stochastic control problems arising in models of optimal portfolio liquidation: II
15th October 2014 10:00 to 12:00 J-M Lasry Mean Field Games and Applications in Economics and Finance III
15th October 2014 14:00 to 15:00 C Chong Systemic Risk Modelling through SDEs in an Inhomogeneous Network
15th October 2014 15:00 to 16:00 S Borovkova The Role of News in Commodity and Equity Markets
22nd October 2014 10:30 to 11:30 J-C Rochet Simple Macroeconomic Models with a Banking Sector: I
22nd October 2014 14:00 to 15:00 J-C Rochet Simple Macroeconomic Models with a Banking Sector: II
22nd October 2014 16:00 to 17:00 P Kyle Large Bets and Stock Market Crashes
23rd October 2014 11:00 to 12:00 J-C Rochet Simple Macroeconomic Models with a Banking Sector: III
24th October 2014 10:00 to 12:00 A Nikeghbali Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables. I
24th October 2014 14:00 to 16:00 A Nikeghbali Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: II
29th October 2014 11:00 to 12:30 P Meliot Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: III
29th October 2014 14:00 to 15:30 P Meliot Mod-Phi Convergence: precise asymptotics and local limit theorems for dependent random variables: IV
3rd November 2014 10:00 to 11:00 F Vega-Redondo Social coordination and social networks
3rd November 2014 14:00 to 15:00 S Goyal Conflict in social networks
4th November 2014 14:00 to 15:00 S Goyal Trading in networks
4th November 2014 15:00 to 16:00 F Vega-Redondo Epidemics in networks
5th November 2014 10:00 to 11:00 S Weber Monetary Risk Measures - A Short Review
5th November 2014 14:00 to 15:00 S Weber Measures of Systemic Risk
5th November 2014 15:00 to 16:00 C Aymanns The dynamics of the leverage cycle
6th November 2014 10:00 to 11:00 S Weber An Integrated Model of Systemic Risk in Financial Networks
18th November 2014 11:00 to 12:00 PH Dybvig Bank Runs, Deposit Insurance, and Liquidity: I
19th November 2014 11:00 to 12:00 H Ku Option Replication and Valuation in Illiquid Markets
19th November 2014 14:00 to 15:00 J Bonart Instabilities in economic network models: Is perfect rationality dynamically stable?
24th November 2014 16:00 to 17:00 R May Systemic Risk in Ecological and Financial Systems: Early Warnings?
26th November 2014 11:00 to 12:00 A McNeil Scenario Sets, Risk Measures and Stress Testing Part 1: Theory
26th November 2014 14:00 to 15:00 A McNeil Scenario Sets, Risk Measures and Stress Testing Part 2: Implementation
2nd December 2014 11:00 to 12:00 H Foellmer Mathematical Aspects of local vs. global risk analysis: I
3rd December 2014 11:00 to 12:00 H Foellmer Mathematical Aspects of local vs. global risk analysis: II
3rd December 2014 14:00 to 15:00 T Roukny TBA
9th December 2014 11:00 to 12:00 PH Dybvig Bank Runs, Deposit Insurance, and Liquidity: II
9th December 2014 14:00 to 15:00 A McNeil Backtesting and Elicitability Of Risk measures
9th December 2014 16:00 to 17:00 H Foellmer Rothschild Distinguished Visiting Fellow Lecture: title tba
10th December 2014 14:00 to 15:00 P Pin TBA
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons