School of Mathematics

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Probability, Stochastic modelling and
Financial mathematics seminar

Our seminars normally take place on Thursday afternoons, 2-3pm. More information about past talks can be found on our group web page.


Forthcoming seminars

To be announced.


Past seminars
Thu 4th May, 2017
2:00 PM

David Hobson (University of Warwick)
Consumption/Investment problems with transaction costs
Thu 9th March, 2017
2:00 PM

Dario Domingo (University of Leeds)
Boundedness vs unboundedness of Tsallis SDE: the role of overdamped approximation
Thu 16th February, 2017
2:00 PM

Almut Veraart (Imperial College London)
Modelling, simulation and inference for multivariate time series of counts
Thu 2nd February, 2017
2:00 PM

Hendrik Weber (University of Warwick)
Equilibration for the dynamical $\Phi^4$ model
Thu 1st December, 2016
2:00 PM

Tiziano De Angelis (Leeds)
The dividend problem with a finite horizon
Thu 17th November, 2016
2:00 PM

Alexander Veretennikov (Leeds)
Ergodic control for 1D diffusion
Thu 5th May, 2016
2:00 PM

James Cruise (Heriot Watt)
Electricity storage: Arbitrage, Competition and Social Welfare
Thu 14th April, 2016
2:00 PM

Gabriele Stabile (La Sapienza University, Rome)
Optimal timing of an annuity purchase: a free boundary analysis
Thu 17th March, 2016
2:00 PM

Aretha Teckentrup (University of Warwick)
Gaussian Process Emulators in Bayesian Inverse Problems
Thu 3rd March, 2016
2:00 PM

Alexander Veretennikov (University of Leeds)
Multivariate Bernstein polynomials
Thu 25th February, 2016
2:00 PM

Mohammud Foondun (Loughborough)
On some qualitative behaviour for a class of fractional stochastic heat equations
Thu 11th February, 2016
2:00 PM

Anthony Lee (University of Warwick)
Variance estimation and allocation in the particle filter
Thu 10th December, 2015
2:00 PM

Andrew R. Wade (Durham University)
Convex Hulls of Planar Random Walks
Thu 3rd December, 2015
2:00 PM

John Armstrong (King's College London)
Coordinate Free Stochastic Geometry with Jets
Thu 26th November, 2015
2:00 PM

Igor Evstigneev (University of Manchester)
Evolutionary Behavioural Finance
Thu 19th November, 2015
2:00 PM

Giorgio Ferrari (Bielefeld University)
Continuous-Time Public Good Contribution under Uncertainty: A Stochastic Control Approach
Thu 12th November, 2015
2:00 PM

Denis Denisov (University of Manchester)
Exit Times for Integrated Random Walks
Thu 29th October, 2015
2:00 PM

Jeremy Oakley (University of Sheffield)
Bayesian Calibration for Computer Models Using Likelihood Emulation
Mon 20th July, 2015
2:00 PM

Yana Belopolskaya (St Petersburg)
Probabilistic interpretation of systems of nonlinear parabolic equations
Thu 7th May, 2015
2:00 PM

Marco Iglesias (University of Nottingham)
A Bayesian level-set approach for geometric inverse problems
Thu 30th April, 2015
2:00 PM

Aretha Teckentrup (University of Warwick)
Multilevel Monte Carlo methods in Uncertainty Quantification
Thu 19th March, 2015
2:00 PM

Shiwei Lan (University of Warwick)
Adaptive geometric Monte Carlo using Gaussian process emulation for computation intensive models
Thu 5th March, 2015
2:00 PM

Zdzislaw Brzezniak (University of York)
Strong and Weak Solutions to Stochastic Landau-Lifshitz Equations
Thu 19th February, 2015
2:00 PM

Dmitry Korshunov (Lancaster University)
Harmonic Functions and Stationary Distributions for Asymptotically Homogeneous Transition Kernels on $Z^+$
Thu 5th February, 2015
2:00 PM

Tiziano De Angelis (University of Manchester)
On the optimal exercise boundaries of swing put options
Thu 29th January, 2015
2:00 PM

Angelos Dassios (LSE)
Brownian and other excursions and Parisian options
Wed 26th November, 2014
2:00 PM

Tim Sullivan (University of Warwick)
Brittleness and Robustness of Bayesian Inference
Thu 6th November, 2014
2:00 PM

Bogdan Grechuk (University of Leicester)
Inverse Portfolio Problem and Restoring Risk Preferences
Thu 30th October, 2014
2:15 PM

Erik van Doorn (University of Twente)
Representations for the decay parameter of a birth-death process
Thu 23rd October, 2014
2:00 PM

Michela Ottobre (Edinburgh)
Diffusion limit for Random Walk Metropolis algorithm out of stationarity
Thu 16th October, 2014
2:00 PM

Wei Yang (University of Strathclyde)
Introduction to Mean Field Games and Applications
Thu 9th October, 2014
2:00 PM

Elena Issoglio (University of Leeds)
Multidimensional SDEs with distributional drift
Thu 2nd October, 2014
2:00 PM

Ross Bannister (University of Reading)
State Estimation from Imperfect Knowledge - a Data Assimilation Toolbox
Thu 8th May, 2014
4:00 PM

Oxana Manita (Moscow State University)
On nonlinear Kolmogorov type equations
Thu 8th May, 2014
2:00 PM

Beatrice Acciaio (London School of Economics and Political Science)
Arbitrage of the First Kind and Filtration Enlargements in Semimartingale Financial Models
Thu 1st May, 2014
2:00 PM

Chris Sherlock
Optimising the pseudo-marginal random walk Metropolis
Thu 27th March, 2014
2:00 PM

Richard Everitt (University of Reading)
Evidence estimation for Markov random fields: a triply intractable problem
Thu 20th March, 2014
2:00 PM

Viv Kendon (University of Leeds)
Quantum walks and their applications
Thu 13th March, 2014
2:00 PM

Simon Cotter (University of Manchester)
A Bayesian Approach to Shape Registration
Thu 13th February, 2014
2:00 PM

Iain Murray (University of Edinburgh)
Flexible models for high-dimensional probability distributions
Thu 28th November, 2013
2:00 PM

Yi Zhang (University of Liverpool)
Continuous-time Markov decision processes with total reward criteria
Thu 14th November, 2013
4:00 PM

Natalia Markovich (Institute of Control Sciences of Russian Academy of Sciences, Moscow, Russia)
Modeling Clusters of Extreme Values in Time Series
Thu 14th November, 2013
2:00 PM

John Moriarty (University of Manchester)
Free boundary analysis of an irreversible investment model with finite fuel and random initial time with applications to electricity trading
Thu 31st October, 2013
2:00 PM

Neofytos Rodosthenous (University of Leeds)
Optimal stopping and free-boundary problems arising from mathematical finance (part 3/3)
Thu 24th October, 2013
2:00 PM

Neofytos Rodosthenous (University of Leeds)
Optimal stopping and free-boundary problems arising from mathematical finance (part 2/3)
Thu 17th October, 2013
2:00 PM

Alexey Piunovskiy (University of Liverpool)
Fluid approximation to controlled Markov chains with local transitions
Thu 10th October, 2013
2:00 PM

Neofytos Rodosthenous (University of Leeds)
Optimal stopping and free-boundary problems arising from mathematical finance (part 1/3)
Thu 25th July, 2013
11:00 AM

Prof Galina Zverkina (Moscow, MIIT (Moscow State University of Railway Engineering))
Dynkin's identity and convergence rates in some queueing models
Thu 7th March, 2013
2:00 PM

Roger Tribe (University of Warwick)
Two Pfaffian Point Processes
Thu 28th February, 2013
2:00 PM

Gabriel Lord (Heriot-Watt University)
Numerical computation of stochastic travelling waves
Thu 21st February, 2013
2:00 PM

Mike Evans (University of Leeds)
Statistical mechanics of trajectories in driven systems
Mon 11th February, 2013
2:00 PM

Alexey Kulik (Kiev)
Evolutionary approach to the study of spectral properties of L_p generators of solutions to SDE's with jumps
Thu 24th January, 2013
2:00 PM

Paul Fearnhead (Lancaster)
Continuous-time Importance Sampling for Multivariate Diffusions
Thu 6th December, 2012
2:00 PM

Sotirios Sabanis (Edinburgh)
SDDEs in Financial Mathematics
Thu 22nd November, 2012
2:00 PM

Apostolos Kourtis (University of East Anglia)
Parameter Uncertainty in Portfolio Selection
Thu 15th November, 2012
2:00 PM

Harry Zheng (Imperial College London)
Weak Maximum Principle for Stochastic Optimal Control
Thu 8th November, 2012
2:00 PM

Georgios Aivaliotis (Leeds)
Mean-Variance Stochastic Control
Thu 1st November, 2012
2:00 PM

Mauro Mobilia (Leeds)
Polarization, commitment and persuasion in the three-party constrained voter model
Thu 4th October, 2012
2:00 PM

Kody Law (University of Warwick)
Accurate Filtering for the Navier-Stokes Equation
Thu 3rd May, 2012
2:00 PM

Matina Rassias (UCL)
Stochastic Differential Delay Equations and Applications
Tue 24th April, 2012
2:00 PM

Stephen Connor (York)
State-dependent Foster-Lyapunov criteria
Thu 19th April, 2012
2:00 PM

Jon Pitchford (York)
Can simple networks model complex ecological interactions?
Thu 9th February, 2012
3:00 PM

Jochen Voss (Leeds)
Maximum A Posteriori Estimators
Thu 26th January, 2012
3:00 PM

Robert S. McKay, FRS FInstP FIMA (University of Warwick)
Dobrushin metric
Thu 8th December, 2011
3:00 PM

Konstantinos Zygalakis (Oxford Centre for Collaborative Applied Mathematics)
Qualitative Behaviour of Numerical Methods for SDEs and Application to Homogenization
Thu 1st December, 2011
3:00 PM

Jordan Stoyanov (Newcastle University)
Moment Analysis of Distributions: Recent Developments
Thu 10th November, 2011
3:00 PM

Vassili Kolokoltsov (University of Warwick)
Nonlinear Markov processes and kinetic equations
Thu 27th October, 2011
3:00 PM

Mikhail Zhitlukhin (University of Manchester)
A Bayesian sequential testing problem of three hypotheses for Brownian motion
Thu 20th October, 2011
2:00 PM

Ostap Hryniv (University of Durham)
Some limiting properties of non-homogeneous random walks with non-integrable increments
Thu 29th September, 2011
2:00 PM

Daniel Gruhlke (University of Bonn, Germany)
A Multilevel method for MCMC
Thu 5th May, 2011
2:00 PM

Dr Dirk Zeindler (York)
Central limit theorem for multivariate associated class functions randomization with The cycle numbers with respect to the weighted probability measure
Tue 22nd March, 2011
10:00 AM

Prof Anatoly Zhigljavsky (Cardiff)
Probabilistic models in stochastic global optimisation
Wed 9th March, 2011
1:00 PM

Prof Ilya Goldscheid (Queen Mary, University of London)
On random walks in random environment in 1D
Fri 25th February, 2011
2:00 PM

Dr Alet Roux (University of York)
Pricing of American and Bermudan options under proportional transaction costs
Thu 10th February, 2011
2:00 PM

Jochen Voss (Leeds)
The Stationary Distribution of Discretised SPDEs
Thu 18th November, 2010
4:00 PM

Prof Vlad Anisimov (GlaxoSmithKline)
Innovative Statistical Techniques for Modelling Clinical Trials