Sorry for the late announcement:
------------------------------------------------------------------------ IST Austria: Rough Paths ------------------------------------------------------------------------
Th./Fr., 04. & 05.07.2019, 10:15–11:45, Heinzel Seminar Room IST Austria, Office Bldg West (I21.EG.101)
Peter Friz (TU Berlin, Germany) http://page.math.tu-berlin.de/~friz/
Mini-course consisting of two sessions: "Rough paths, Rough volatility and Regularity Structures"
Day #1 (https://talks-calendar.app.ist.ac.at/generate_invitation/2024): The lecture is loosely based on the book [F-Hairer, Course on Rough Paths, with an Introduction to Regularity Structures, Springer 2014] but I will aim for a balance between introductory/standard material and advanced topics taken from the 2nd edition (in preparation), hopefully making the talk accessible to a diverse audience. Among the new material I will introduce the rough volatility model from quantitative finance as simple (but not too simple) example of a regularity structures that exhibits many features also seen in the analysis of singular stochastic partial differential equations like KPZ.
Day#2 (https://talks-calendar.app.ist.ac.at/generate_invitation/2025): There will be some flexibility, and I am happy to cater to interests of the audience. Possible topics include: Rough semimartingales, rough paths with jumps, applications (of rough paths and regularitystructures) to large deviations and Laplace method, applications to Multiscale Systems, Homogenization.
With a printout of the invitations (see links above) you can use the shuttle between Heiligenstadt and IST Austria for free. (https://ist.ac.at/de/campus/anreise/)
------------------------------------------------------------------------ VCMF 2019 - Vienna Congress on Mathematical Finance... ------------------------------------------------------------------------
2nd Vienna Congress on Mathematical Finance 2019 & VCMF Educational Workshop
(jointly organised by WU Wien, TU Wien and University of Vienna)
WU Vienna, Mon-Fri, September 9-13, 2019 https://fam.tuwien.ac.at/vcmf2019/
*The early registration was prolonged until July 6, 2019.*
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