Talks at seminars, conferences and schools
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MathFinance Digital Conference,
virtual, 1 Oct 2020.
Model-free bounds for multi-asset options using option-implied information and their exact computation.
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Seminar on Mathematical Sciences,
Nanyang Technological University, Singapore, 31 Oct 2019.
Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance.
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Dependence Modelling with Applications in Finance and Insurance,
Agistri, Greece, 16–17 Sep 2019.
Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance.
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9th International Conference on Lévy processes,
Samos, Greece, 15–19 Jul 2019.
Hadamard's program for BSDE with jumps.
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Summer School on Lévy processes,
Athens, Greece, 8–12 Jul 2019.
An introduction to Lévy Processes. [mini-course]
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SIAM Conference on Financial Mathematics & Engineering,
Toronto, Canada, 4–7 Jun 2019.
Marginal and Dependence Uncertainty: Bounds, Optimal Transport, and Sharpness.
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Frontier Areas in Financial Analytics,
Fields Institute, Toronto, Canada, 29 Apr–3 May 2019.
Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance.
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Financial/Actuarial Mathematics Seminar,
University of Michigan, Ann Arbor, USA, 24 Apr 2019.
Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance.
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Finance and Stochastics Seminar,
Imperial College, London, UK, 13 Mar 2019.
Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance.
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9th World Congress, Bachelier Finance Society,
Dublin, Ireland, 16–20 Jul 2018.
Model-free bounds, optimal transport and applications in finance.
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4th Workshop on Branching Processes and Related Topics,
Shanghai, China, 21–25 May 2018.
Branching processes in finance: LIBOR models with positive rates and spreads.
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School of Mathematical Sciences,
Shanghai Jiao Tong University, China, 22 May 2018
Hadamard's program for BSDE with jumps .
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Mathematics Seminar,
NTUA, Athens, Greece, 18 May 2018.
Hadamard's program for BSDE with jumps.
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13th German Probability and Statistics Days,
Freiburg, Germany, 27 Feb–2 Mar 2018.
Improved Fréchet-Hoeffding bounds, optimal transport and applications in finance.
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Mathematics Seminar,
NTUA, Athens, Greece, 8 Dec 2017.
Optimal transport, improved Fréchet-Hoeffding bounds and applications .
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Seminar on Stochastic Analysis and Stochastic Finance,
Berlin, Germany, 1 Jun 2017.
Model-free bounds for multi-asset options: improved Fréchet-Hoeffding and optimal transport approaches.
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Symposium on Mathematical Modeling,
NTUA, Athens, Greece, 3 May 2017.
Post-crisis modeling in interest rate markets.
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Workshop on Mathematical Finance,
Barcelona, Spain, 29–30 Mar 2017.
Model-free bounds for multi-asset options: improved Fréchet-Hoeffding and optimal transport approaches.
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Mathematics of Quantitative Finance,
Oberwolfach, Germany, 26 Feb–4 Mar 2017.
Improved Fréchet-Hoeffding bounds and model-free finance.
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Seminar on Stochastics and Statistics,
University of Mannheim, Germany, 21 Sep 2016.
Fréchet-Hoeffding bounds and model-free finance.
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Vienna Congress on Mathematical Finance,
Vienna, Austria, 12–14 Sep 2016.
An equilibrium model for spot and forward prices of commodities.
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9th World Congress, Bachelier Finance Society,
New York, USA, 15–19 Jul 2016.
Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA.
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Shanghai Advanced Institute of Finance (SAIF),
Shanghai Jiao Tong University, China, 4–7 Jul 2016.
Numerical Methods for Finance. [mini-course]
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Energy and Commodity Finance Conference,
Paris, France, 23–24 Jun 2016.
An equilibrium model for spot and forward prices of commodities.
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Analysis & Stochastics Seminar, TU Dresden, Germany, 9 Jun 2016.
Model uncertainty, improved Fréchet-Hoefding bounds and applications in option pricing and risk management.
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Dependence Modeling in Finance, Insurance and Environmental Science,
Munich, Germany, 17–19 May 2016.
Value-at-Risk bounds with partial dependence information.
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Seminar on Mathematical Modeling,
National Technical University Athens, Greece, 30 Mar 2016.
Improved Fréchet–Hoeffding bounds for d-copulas and applications in model–free finance..
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12th German Probability and Statistics Days,
Bochum, Germany, 1–4 Mar 2016.
Multivariate shortfall risk allocation and systemic risk.
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Seminar on Stochastic Analysis and Stochastic Finance,
Berlin, Germany, 11 Feb 2016.
Multivariate shortfall risk allocation and systemic risk.
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Frontiers in Stochastic Modeling for Finance,
Padova, Italy, 2–5 Feb 2016.
Multivariate shortfall risk allocation and systemic risk.
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Department of Statistics,
University of Warwick, UK, 25 Jan 2016.
Model-free and model-specific topics in mathematical finance.
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Department of Mathematics,
University College London, UK, 21 Jan 2016.
Model-free and model-specific topics in mathematical finance.
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Department of Mathematics,
TU Chemnitz, Germany, 20 Jan 2016.
Multivariate shortfall risk allocation and systemic risk.
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Dependence and Risk Measures, Milan, Italy, 12–13 Nov 2015.
Multivariate shortfall risk allocation and systemic risk.
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Séminaire Bachelier, Paris, France, 2 Oct 2015.
Multivariate shortfall risk allocation and systemic risk.
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Séminaire de probabilités et mathématiques financières,
Université d'Evry, France, 1 Oct 2015.
An equilibrium model for spot and forward prices of commodities.
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Stochastic Methods in Finance and Physics,
Heraklion, Greece, 20–24 Jul 2015.
Improved Fréchet–Hoeffding bounds, stochastic ordering of quasi–copulas and applications in model–free finance.
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12th Summer School in Stochastic Finance,
Athens, Greece, 6–10 Jul 2015.
Fourier methods in finance: from option pricing to systemic risk. [mini-course]
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Closing Conference: Information in Finance and Insurance,
Institut Louis Bachelier, Paris, France, 23–25 Jun 2015.
Partial information, dependence uncertainty and applications in model free finance.
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Advanced Modelling in Mathematical Finance,
Kiel, Germany, 20–22 May 2015.
An equilibrium model for spot and forward prices of commodities.
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Department of Mathematics,
University of Padova, Italy, 24 Apr 2015.
An equilibrium model for spot and forward prices of commodities.
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Department of Mathematics, University of Giessen, Germany, 8 Apr 2015.
Improved Fréchet–Hoeffding bounds for d-copulas and applications in model-free finance.
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Challenges in Derivatives Markets,
Munich, Germany, 30 Mar–1 Apr 2015.
Computation of value adjustments in affine LIBOR models with multiple curves.
- Probability Seminar,
University of Duisburg-Essen, Germany, 10 Feb 2015.
An equilibrium model for commodity spot and forward prices.
- Mathematics Seminar,
National Technical University, Athens, Greece, 9 Jan 2015.
Improved bounds for d-copulas and applications in model-free finance.
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Institute for Mathematical Stochastics, TU Braunsweig, Germany, 3 Dec 2014.
Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.
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Statistical Inference for Lévy Processes,
Lorentz Center, Leiden, The Netherlands, 22–25 Sep 2014.
Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.
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New Directions in Financial Mathematics and Mathematical Economics,
Banff, Canada, 7–11 Jul 2014.
An equilibrium model for commodity spot and forward prices.
[video]
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8th World Congress, Bachelier Finance Society,
Brussels, Belgium, 2–6 Jun 2014.
An equilibrium model for commodity spot and forward prices.
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Kolloquium Versicherungs- und Finanzmathematik,
Hannover, Germany, 28 May 2014.
A Fourier approach to the computation of risk measures.
[slides]
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1st Berlin-Singapore Workshop on Quantitative Finance and Financial Risk,
Berlin, Germany, 21–24 May 2014.
Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.
- Seminar on Mathematical Modeling
National Technical University Athens, Greece, 14 May 2014.
A guided tour through interest rate models.
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Department of Mathematics, University of Konstanz, Germany, 11 Apr 2014.
Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.
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Financial Engineering Workshops,
Cass Business School, London, UK, 19 Mar 2014.
Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.
[slides]
- Finance and Stochastics Seminar,
Imperial College, London, UK, 12 Mar 2014.
Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.
- 11th German Probability and Statistics Days,
Ulm, Germany, 4–7 Mar 2014.
An equilibrium model for commodity spot and forward prices.
- Department of Mathematics,
National Technical University, Athens, Greece, 10 Jan 2014.
An equilibrium model for commodity spot and forward prices.
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London Mathematical Finance Seminar Series,
London, UK, 28 Nov 2013.
Affine LIBOR models with multiple curves: theory, examples and calibration.
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Probability and Computational Finance Seminars, Carnegie Mellon University,
Pittsburgh, USA, 25 Sep 2013.
Affine LIBOR models with multiple curves: theory, examples and calibration.
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Probability and Computational Finance Seminars, Carnegie Mellon University,
Pittsburgh, USA, 23 Sep 2013.
An equilibrium model for commodity spot and forward prices.
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ORFE Seminars, Princeton University, USA, 18 Sep 2013.
Affine LIBOR models with multiple curves: theory, examples and calibration.
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Miniworkshop on Advances in LIBOR Modeling,
Munich, Germany, 9 Sep 2013.
Affine LIBOR models with multiple curves: theory, examples and calibration.
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Advances in Mathematics of Finance,
Warsaw, Poland, 10–15 Jun 2013.
Affine LIBOR models with multiple curves: theory and calibration.
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Oberseminar Biologische Modelle und Statistische Mechanik,
TU Berlin, Germany, 22 Apr 2013.
Non-linear PDEs, branching processes and applications in finance.
- Department of Mathematics,
National Technical University, Athens, Greece, 29 Mar 2013.
Fourier methods in finance: from option pricing to risk measurement.
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Seminario di Probabilità e Finanza Matematica,
University of Padova, Italy, 18 Mar 2013.
Affine LIBOR models with multiple curves.
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2nd Sino-German Workshop on Optimization, Modeling, Methods and Applications in Industry and Management,
Beijing, China, 22–27 Sep 2012.
Modeling LIBOR rates before and during the ciris.
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Summer School on "Dependence Modeling",
TU Munich, Germany, 30 Jun–3 Aug 2012.
LIBOR models with multiple curves.
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7th World Congress, Bachelier Finance Society,
Sydney, Australia, 19–22 Jun 2012.
A multi-curve stochastic volatility LIBOR model.
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Risk and Stochastics Conference 2012,
LSE, London, UK, 19–20 Mar 2012.
Affine LIBOR models: pre- and in-crisis.
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Conference on Liquidity and Credit Risk,
Freiburg, Germany, 15–16 Mar 2012.
Affine LIBOR models with stochastic basis.
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Matheon Center Days 2012,
Berlin, Germany, 12–14 Mar 2012.
Affine processes in finance: LIBOR modeling and estimation.
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Workshop on Interest Rates and Credit Risk,
Chemnitz, Germany, 23–25 Nov 2011.
Affine LIBOR models: multiple curves and credit risk.
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Humboldt–Princeton Conference,
Berlin, Germany, 28–29 Oct 2011.
Affine LIBOR models: multiple curves and credit risk.
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5th Conference on Stochastic Analysis and its Applications,
Bonn, Germany, 5–9 Sep 2011.
Efficient and accurate log-Lévy approximations for the Lévy LIBOR model.
- Department of Mathematics, National Technical University,
Athens, Greece, 21–23 Jun 2011.
Numerical methods in finance.
[mini-course]
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Seminar on Mathematical Finance, University of Vienna, Austria, 30 May 2011.
Efficient and accurate log-Lévy approximations for the Lévy LIBOR model .
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Edgeworth Centre for Financial Mathematics,
Dublin City University, Ireland, 18 Mar 2011.
Fourier methods in finance: option pricing and beyond.
- Séminaires Méthodes Stochastiques et Finance,
École des Ponts, Paris, France, 4 Mar 2011.
Efficient log-Lévy approximations for the Lévy LIBOR model.
- Département de Máthematiques, Université d'Evry,
Paris, France, 3 Mar 2011.
Towards an affine LIBOR model with default risk.
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Modeling and Managing Financial Risks,
Paris, France, 10–13 Jan 2011.
Valuation of credit derivatives in LIBOR models.
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International Symposium "Vision in Stochastics", Steklov Mathematical Institute,
Moscow, Russia, 1–4 Nov 2010.
Numerical methods for the Lévy LIBOR model.
- Department of Mathematics and Statistics, University of Cyprus,
Nicosia, Cyprus, 14 Sep 2010.
A new approach to modeling LIBOR rates
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28th European Meetings of Statisticians,
Piraeus, Greece, 17–22 Aug 2010.
Numerical methods for the Lévy LIBOR model.
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5th International Workshop on Applied Probability,
Madrid, Spain, 5–8 Jul 2010.
Portfolio optimization, option pricing and multidimensional Lévy processes.
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6th World Congress, Bachelier Finance Society,
Toronto, Canada, 22–26 Jun 2010.
A new approach to LIBOR modeling.
- Department of Mathematics, National Technical University,
Athens, Greece, 14 Jun 2010.
A new approach to modeling default-free and defaultable LIBOR rates.
- Institute of Mathematics, TU Berlin, Germany, 7 Jun 2010.
Numerical methods for default-free and defaultable LIBOR models.
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Applied and Numerical Analysis Seminar,
University of Crete, Greece, 2 Jun 2010.
Aproximation methods for the Lévy LIBOR model.
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Forschungsseminar Stochastische Analysis und Stochastik der Finanzmärkte,
TU Berlin, Germany, 15 Apr 2010.
The class of affine LIBOR models.
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Séminaire Bachelier, Institut Henri Poincaré,
Paris, France, 10 Apr 2010.
Approximation methods for the Lévy LIBOR model.
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Recent Advances in Mathematical Finance,
Aarhus School of Business, Denmark, 11 Mar 2010.
Approximation methods for the Lévy LIBOR model.
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9th German Open Conference on Probability and Statistics,
Leipzig, Germany, 2–5 Mar 2010.
A new class of LIBOR models.
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Actuarial and Financial Mathematics Conference,
Brussels, Belgium, 4–5 Feb 2010.
Taylor approximation of SDEs and application to LIBOR models.
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Quantitative Methods in Finance Conference,
Sydney, Australia, 16–19 Dec 2009.
A new approach to LIBOR modeling.
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Seminar in Financial and Insurance Mathematics,
ETH Zürich, Switzerland, 22 Oct 2009.
A review and some recent results in LIBOR modeling.
- Statistics meets Finance,
University of Chemnitz, Germany, 3 September 2009.
A new approach to LIBOR modeling.
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2nd European Summer School in Financial Mathematics,
Paris, France, 24–29 Aug 2009.
Analysis of Fourier transform valuation formulas and applications.
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Statistical Inference for Lévy Processes with Applications to Finance,
EURANDOM, Eindhoven, The Netherlands, 15–17 Jul 2009.
A new approach to LIBOR modeling.
- FAM Seminar,
TU Vienna, Austria, 2 Jul 2009.
Towards an "affine LIBOR" model with default risk.
- Workshop on Filtering in Mathematical Finance,
University of Chemnitz, Germany, 17–19 Jun 2009.
A new approach to LIBOR modeling.
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Istanbul Workshop on Mathematical Finance, Sabanci University, Istanbul, Turkey, 18–21 May 2009.
A new approach to LIBOR modeling.
- Department of Mathematics, University of Vienna, Austria, 27 Mar 2009.
On the application of Lévy processes in mathematical finance.
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Workshop "Finance and Insurance", University of Jena, Germany, 16–20 Mar 2009.
A new approach to LIBOR modeling.
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Center for the Study of Finance and Insurance,
Osaka University, Osaka, Japan, 23 Feb 2009.
Topics in LIBOR modeling: from BGM to the affine LIBOR model.
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Mini-Workshop on Mathematical Finance,
University of Kiel, Germany, 17 Feb 2009.
A new approach to LIBOR modeling.
- START Seminar,
TU Vienna, Austria, 29 Jan 2009.
A new approach to LIBOR modeling.
- Department of Mathematics, National Technical University, Athens, Greece, 5–9 Jan 2009.
Lévy processes and applications.
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Concluding Workshop – Special Semester on Stochastics with Emphasis on Finance,
RICAM, Linz, Austria, 2–4 Dec 2008.
A new approach to LIBOR modeling – application of affine processes.
- Seminar on Applied Mathematics, ETH Zürich, Switzerland, 10 Nov 2008.
Strong Taylor approximation of SDEs and application to the Lévy LIBOR model.
- Department of Mathematics, Humboldt University, Berlin, Germany, 31 Oct 2008.
Facets of the applications of jump processes in finance: affine LIBOR model.
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PRisMa 2008: One-Day Workshop on Portfolio Risk Management, TU Vienna, Austria, 29 Sep 2008.
Strong Taylor approximation of SDEs and application to the Lévy LIBOR model.
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European Summer School in Financial Mathematics, Paris, France, 6–14 Sep 2008.
Strong Taylor approximation of SDEs and application to the Lévy LIBOR model.
- Oberseminar über Mathematische Stochastik, University of Freiburg, Germany, 4 Aug 2008.
On the duality principle for multidimensional semimartingales.
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5th World Congress, Bachelier Finance Society,
London, UK, 15–19 Jul 2008.
Numerical solution of SDEs and applications to the Lévy LIBOR model.
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Dynstoch Workshop 2008,
Padova, Italy, 26–28 Jun 2008.
Numerical solution of SDEs and applications to the Lévy LIBOR model.
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Seminar: Stochastische Analysis und Stochastik der Finanzmärkte,
Humboldt University, Berlin, Germany, 19 Jun 2008.
Taylor approximation of SDEs and applications to the Lévy LIBOR model.
- School of Naval Architecture and Marine Engineering, National Technical University,
Athens, Greece, 24 Mar 2008.
Lévy processes and applications.
- Seminar in Economics and Finance, University of Piraeus, Greece, 20 Mar 2008.
Modeling the term structure of interest rates with Lévy processes: HJM and LIBOR approaches.
- Department of Banking and Financial Management, University of Piraeus, Greece, 20 Mar 2008.
Lévy processes, change of measure and applications in finance.
[mini-course]
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8th German Open Conference on Probability and Statistics,
RWTH Aachen, Germany, 4–7 Mar 2008.
Valuation formulae for derivatives and applications to Lévy models.
- Mathematisches Kolloquium, University of Freiburg, Germany, 12 Feb 2008.
Numerical solution of SDEs and applications to the Lévy LIBOR model.
- Department of Mathematics, National Technical University, Athens, Greece, 14 Nov 2007.
Modeling the term structure of interest rates with Lévy processes.
- Department of Mathematics, National Technical University, Athens, Greece, 14 Nov 2007.
Semimartingales and Lévy processes in finance: duality and valuation.
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START Seminar,
TU Vienna, Austria, 8 Nov 2007.
The duality principle for multidimensional semimartingales.
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Conference on Advanced Mathematical Methods for Finance,
TU Vienna, Austria, 17–22 Sep 2007.
On the duality principle in option pricing: semimartingales and Lévy processes.
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Advances in Mathematics of Finance,
Banach Center, Bedlewo, Poland, 30 Apr–5 May 2007.
Valuation of exotic, interest rate and credit derivatives in Lévy models.
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Seminar on Mathematical Finance,
TU Vienna, Austria, 8 Mar 2007.
Semimartingales and Lévy processes in finance: duality and valuation.
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Frankfurt MathFinance Colloquium,
HfB, Frankfurt, Germany, 10 Jan 2007.
Duality and valuation of exotic derivatives in Lévy models.
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Credit Risk under Lévy models,
ICMS, Edinburgh, Scotland, 19–21 Sep 2006.
Valuation of exotic and credit derivatives in Lévy models.
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Financial Modeling with Jump Processes,
École Polytechnique, Palaiseau, France, 6–8 Sep 2006.
Valuation of exotic and credit derivatives in Lévy models.
- Mathematics in Modern Technologies and Economics,
National Technical University, Athens, Greece, 1–5 Sep 2006
An introduction to Lévy processes with a view towards finance. [mini-course]
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4th World Congress, Bachelier Finance Society,
Tokyo, Japan, 17–20 Aug 2006.
Valuation of exotic and credit derivatives in Lévy models.
- Séminaire Calcul Stochastique,
Université Louis Pasteur, Strasbourg, France, 20 Mar 2006.
On simplifying certain valuation problems in Lévy models.
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Seminar in Actuarial and Financial Mathematics,
Heriot–Watt University, Scotland, 24 Feb 2006.
Lévy driven term structure models and cap-floor symmetries.
- Recent Developments in Financial and Actuarial Mathematics,
ETH Zürich, Switzerland, 16–18 Nov 2005.
Symmetries and Lévy term structure models.
- Department of Mathematics and Computer Science,
University of Leipzig, Germany, 2–3 Nov 2005.
An introduction to Lévy processes with finance in view. [mini-course]
- Seminar in Economics and Finance,
University of Piraeus, Greece, 23 Mar 2005.
On symmetry formulas for option valuation in Lévy models.
- Department of Banking and Finance,
University of Piraeus, Greece, 22 Mar 2005.
An introduction to Lévy processes with applications in finance. [mini-course]
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4th Symposium on Lévy Processes: Theory and Applications,
Manchester, UK, 10–14 Jan 2005.
Symmetries of exotic options in Lévy models.
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3rd World Congress, Bachelier Finance Society,
Chicago, USA, 21–24 Jul 2004.
Symmetries and pricing of exotic options in Lévy models.
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Dynstoch Workshop 2004,
Copenhagen, Denmark, 3–5 Jun 2004.
Symmetries and pricing of exotic options in Lévy models.
- CoFaR Research Seminar, University of Mainz, Germany, 10 Jul 2002.
Option pricing in a jump diffusion model with double exponential jumps.
- Frankfurt MathFinance Colloquium, University of Frankfurt, Germany, 6 Jun 2002.
Option pricing in a jump diffusion model with double exponential jumps.