10 Giugno, 2015 12:30

Sezione di Finanza Quantitativa

Approximating irregular SDEs via iterative Skorokhod embeddings

Thomas Kruse, University of Duisburg-Essen, Faculty of Mathematics

Aula Consiglio - VII piano

The Bachelier Finance Society, and the Dipartimento di Matematica - Politecnico di Milano, in cooperation with Springer, are proud to announce the Nicola Bruti Liberati Prize 2014 winner Thomas Kruse, who is currently a Post-doctoral researcher at the Laboratoire de Mathematiques et Modelisation d'Evry. Thomas studied for his PhD at the University of Bonn under the supervision of Prof. Stefan Ankirchner.
Thomas's thesis covered inverse optimal stopping problems, and control problems motivated by issues in illiquidity. The prize committee was very impressed with both the financial and mathematical contributions of the thesis. We would like to congratulate the winner warmly for his achievement.

On June 10, 2015, the prize winner will deliver a lecture on

Approximating irregular SDEs via iterative Skorokhod embeddings