Please note that the list below only shows forthcoming events, which may not include regular events that have not yet been entered for the forthcoming term. Please see the past events page for a list of all seminar series that the department has on offer.

 

Past events in this series


Thu, 16 Oct 2025
16:00
L5

The Relative Entropy of Expectation and Price

Paul McCloud
(nomura)
Abstract

Understanding the relationship between expectation and price is central to applications of mathematical finance, including algorithmic trading, derivative pricing and hedging, and the modelling of margin and capital. In this presentation, the link is established via dynamic entropic risk optimisation, which is promoted for its convenient integration into standard pricing methodologies and for its ability to quantify and analyse model risk. As an example of the versatility of entropic pricing, discrete models with classical and quantum information are compared, with studies that demonstrate the effectiveness of quantum decorrelation for model fitting.

Thu, 23 Oct 2025
16:00

TBA

XinYu Li
(Mathematical Insitute, Oxford)
Abstract

TBA

Thu, 30 Oct 2025
16:00
L5

A rough path approach to pathwise stochastic integration a la Follmer

Anna Kwossek
(University of Vienna)
Abstract

We develop a general framework for pathwise stochastic integration that extends Follmer's classical approach beyond gradient-type integrands and standard left-point Riemann sums and provides pathwise counterparts of Ito, Stratonovich, and backward Ito integration. More precisely, for a continuous path admitting both quadratic variation and Levy area along a fixed sequence of partitions, we define pathwise stochastic integrals as limits of general Riemann sums and prove that they coincide with integrals defined with respect to suitable rough paths. Furthermore, we identify necessary and sufficient conditions under which the quadratic variation and the Levy area of a continuous path are invariant with respect to the choice of partition sequences.