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Talks at seminars, conferences and schools

  1. 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.

  2. Symposium on Mathematical Modeling, NTUA, Athens, Greece, 3 May 2017.
    Post-crisis modeling in interest rate markets.

  3. Workshop on Mathematical Finance, Barcelona, Spain, 29–30 Mar 2017.
    Model-free bounds for multi-asset options: improved Fréchet-Hoeffding and optimal transport approaches.

  4. Mathematics of Quantitative Finance, Oberwolfach, Germany, 26 Feb–4 Mar 2017.
    Improved Fréchet-Hoeffding bounds and model-free finance.

  5. Seminar on Stochastics and Statistics, University of Mannheim, Germany, 21 Sep 2016.
    Fréchet-Hoeffding bounds and model-free finance.

  6. Vienna Congress on Mathematical Finance, Vienna, Austria, 12–14 Sep 2016.
    An equilibrium model for spot and forward prices of commodities.

  7. 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.

  8. Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University, China, 4–7 Jul 2016.
    Numerical Methods for Finance. [mini-course]

  9. Energy and Commodity Finance Conference, Paris, France, 23–24 Jun 2016.
    An equilibrium model for spot and forward prices of commodities.

  10. Analysis & Stochastics Seminar, TU Dresden, Germany, 9 Jun 2016.
    Model uncertainty, improved Fréchet-Hoefding bounds and applications in option pricing and risk management.

  11. Dependence Modeling in Finance, Insurance and Environmental Science, Munich, Germany, 17–19 May 2016.
    Value-at-Risk bounds with partial dependence information.

  12. 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..

  13. 12th German Probability and Statistics Days, Bochum, Germany, 1–4 Mar 2016.
    Multivariate shortfall risk allocation and systemic risk.

  14. Seminar on Stochastic Analysis and Stochastic Finance, Berlin, Germany, 11 Feb 2016.
    Multivariate shortfall risk allocation and systemic risk.

  15. Frontiers in Stochastic Modeling for Finance, Padova, Italy, 2–5 Feb 2016.
    Multivariate shortfall risk allocation and systemic risk.

  16. Department of Statistics, University of Warwick, UK, 25 Jan 2016.
    Model-free and model-specific topics in mathematical finance.

  17. Department of Mathematics, University College London, UK, 21 Jan 2016.
    Model-free and model-specific topics in mathematical finance.

  18. Department of Mathematics, TU Chemnitz, Germany, 20 Jan 2016.
    Multivariate shortfall risk allocation and systemic risk.

  19. Dependence and Risk Measures, Milan, Italy, 12–13 Nov 2015.
    Multivariate shortfall risk allocation and systemic risk.

  20. Séminaire Bachelier, Paris, France, 2 Oct 2015.
    Multivariate shortfall risk allocation and systemic risk.

  21. Séminaire de probabilités et mathématiques financières, Université d'Evry, France, 1 Oct 2015.
    An equilibrium model for spot and forward prices of commodities.

  22. 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.

  23. 12th Summer School in Stochastic Finance, Athens, Greece, 6–10 Jul 2015.
    Fourier methods in finance: from option pricing to systemic risk. [mini-course]

  24. 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.

  25. Advanced Modelling in Mathematical Finance, Kiel, Germany, 20–22 May 2015.
    An equilibrium model for spot and forward prices of commodities.

  26. Department of Mathematics, University of Padova, Italy, 24 Apr 2015.
    An equilibrium model for spot and forward prices of commodities.

  27. Department of Mathematics, University of Giessen, Germany, 8 Apr 2015.
    Improved Fréchet–Hoeffding bounds for d-copulas and applications in model-free finance.

  28. Challenges in Derivatives Markets, Munich, Germany, 30 Mar–1 Apr 2015.
    Computation of value adjustments in affine LIBOR models with multiple curves.

  29. Probability Seminar, University of Duisburg-Essen, Germany, 10 Feb 2015.
    An equilibrium model for commodity spot and forward prices.

  30. Mathematics Seminar, National Technical University, Athens, Greece, 9 Jan 2015.
    Improved bounds for d-copulas and applications in model-free finance.

  31. Institute for Mathematical Stochastics, TU Braunsweig, Germany, 3 Dec 2014.
    Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.

  32. Statistical Inference for Lévy Processes, Lorentz Center, Leiden, The Netherlands, 22–25 Sep 2014.
    Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.

  33. New Directions in Financial Mathematics and Mathematical Economics, Banff, Canada, 7–11 Jul 2014.
    An equilibrium model for commodity spot and forward prices. [video]

  34. 8th World Congress, Bachelier Finance Society, Brussels, Belgium, 2–6 Jun 2014.
    An equilibrium model for commodity spot and forward prices.

  35. Kolloquium Versicherungs- und Finanzmathematik, Hannover, Germany, 28 May 2014.
    A Fourier approach to the computation of risk measures. [slides]

  36. 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.

  37. Seminar on Mathematical Modeling National Technical University Athens, Greece, 14 May 2014.
    A guided tour through interest rate models.

  38. Department of Mathematics, University of Konstanz, Germany, 11 Apr 2014.
    Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.

  39. Financial Engineering Workshops, Cass Business School, London, UK, 19 Mar 2014.
    Affine LIBOR models with multiple curves: theory, examples, calibration, TVA. [slides]

  40. Finance and Stochastics Seminar, Imperial College, London, UK, 12 Mar 2014.
    Affine LIBOR models with multiple curves: theory, examples, calibration, TVA.

  41. 11th German Probability and Statistics Days, Ulm, Germany, 4–7 Mar 2014.
    An equilibrium model for commodity spot and forward prices.

  42. Department of Mathematics, National Technical University, Athens, Greece, 10 Jan 2014.
    An equilibrium model for commodity spot and forward prices.

  43. London Mathematical Finance Seminar Series, London, UK, 28 Nov 2013.
    Affine LIBOR models with multiple curves: theory, examples and calibration.

  44. Probability and Computational Finance Seminars, Carnegie Mellon University, Pittsburgh, USA, 25 Sep 2013.
    Affine LIBOR models with multiple curves: theory, examples and calibration.

  45. Probability and Computational Finance Seminars, Carnegie Mellon University, Pittsburgh, USA, 23 Sep 2013.
    An equilibrium model for commodity spot and forward prices.

  46. ORFE Seminars, Princeton University, USA, 18 Sep 2013.
    Affine LIBOR models with multiple curves: theory, examples and calibration.

  47. Miniworkshop on Advances in LIBOR Modeling, Munich, Germany, 9 Sep 2013.
    Affine LIBOR models with multiple curves: theory, examples and calibration.

  48. Advances in Mathematics of Finance, Warsaw, Poland, 10–15 Jun 2013.
    Affine LIBOR models with multiple curves: theory and calibration.

  49. Oberseminar Biologische Modelle und Statistische Mechanik, TU Berlin, Germany, 22 Apr 2013.
    Non-linear PDEs, branching processes and applications in finance.

  50. Department of Mathematics, National Technical University, Athens, Greece, 29 Mar 2013.
    Fourier methods in finance: from option pricing to risk measurement.

  51. Seminario di Probabilità e Finanza Matematica, University of Padova, Italy, 18 Mar 2013.
    Affine LIBOR models with multiple curves.

  52. 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.

  53. Summer School on "Dependence Modeling", TU Munich, Germany, 30 Jun–3 Aug 2012.
    LIBOR models with multiple curves.

  54. 7th World Congress, Bachelier Finance Society, Sydney, Australia, 19–22 Jun 2012.
    A multi-curve stochastic volatility LIBOR model.

  55. Risk and Stochastics Conference 2012, LSE, London, UK, 19–20 Mar 2012.
    Affine LIBOR models: pre- and in-crisis.

  56. Conference on Liquidity and Credit Risk, Freiburg, Germany, 15–16 Mar 2012.
    Affine LIBOR models with stochastic basis.

  57. Matheon Center Days 2012, Berlin, Germany, 12–14 Mar 2012.
    Affine processes in finance: LIBOR modeling and estimation.

  58. Workshop on Interest Rates and Credit Risk, Chemnitz, Germany, 23–25 Nov 2011.
    Affine LIBOR models: multiple curves and credit risk.

  59. Humboldt–Princeton Conference, Berlin, Germany, 28–29 Oct 2011.
    Affine LIBOR models: multiple curves and credit risk.

  60. 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.

  61. Department of Mathematics, National Technical University, Athens, Greece, 21–23 Jun 2011.
    Numerical methods in finance. [mini-course]

  62. Seminar on Mathematical Finance, University of Vienna, Austria, 30 May 2011.
    Efficient and accurate log-Lévy approximations for the Lévy LIBOR model .

  63. Edgeworth Centre for Financial Mathematics, Dublin City University, Ireland, 18 Mar 2011.
    Fourier methods in finance: option pricing and beyond.

  64. Séminaires Méthodes Stochastiques et Finance, École des Ponts, Paris, France, 4 Mar 2011.
    Efficient log-Lévy approximations for the Lévy LIBOR model.

  65. Département de Máthematiques, Université d'Evry, Paris, France, 3 Mar 2011.
    Towards an affine LIBOR model with default risk.

  66. Modeling and Managing Financial Risks, Paris, France, 10–13 Jan 2011.
    Valuation of credit derivatives in LIBOR models.

  67. International Symposium "Vision in Stochastics", Steklov Mathematical Institute, Moscow, Russia, 1–4 Nov 2010.
    Numerical methods for the Lévy LIBOR model.

  68. Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus, 14 Sep 2010.
    A new approach to modeling LIBOR rates

  69. 28th European Meetings of Statisticians, Piraeus, Greece, 17–22 Aug 2010.
    Numerical methods for the Lévy LIBOR model.

  70. 5th International Workshop on Applied Probability, Madrid, Spain, 5–8 Jul 2010.
    Portfolio optimization, option pricing and multidimensional Lévy processes.

  71. 6th World Congress, Bachelier Finance Society, Toronto, Canada, 22–26 Jun 2010.
    A new approach to LIBOR modeling.

  72. Department of Mathematics, National Technical University, Athens, Greece, 14 Jun 2010.
    A new approach to modeling default-free and defaultable LIBOR rates.

  73. Institute of Mathematics, TU Berlin, Germany, 7 Jun 2010.
    Numerical methods for default-free and defaultable LIBOR models.

  74. Applied and Numerical Analysis Seminar, University of Crete, Greece, 2 Jun 2010.
    Aproximation methods for the Lévy LIBOR model.

  75. Forschungsseminar Stochastische Analysis und Stochastik der Finanzmärkte, TU Berlin, Germany, 15 Apr 2010.
    The class of affine LIBOR models.

  76. Séminaire Bachelier, Institut Henri Poincaré, Paris, France, 10 Apr 2010.
    Approximation methods for the Lévy LIBOR model.

  77. Recent Advances in Mathematical Finance, Aarhus School of Business, Denmark, 11 Mar 2010.
    Approximation methods for the Lévy LIBOR model.

  78. 9th German Open Conference on Probability and Statistics, Leipzig, Germany, 2–5 Mar 2010.
    A new class of LIBOR models.

  79. Actuarial and Financial Mathematics Conference, Brussels, Belgium, 4–5 Feb 2010.
    Taylor approximation of SDEs and application to LIBOR models.

  80. Quantitative Methods in Finance Conference, Sydney, Australia, 16–19 Dec 2009.
    A new approach to LIBOR modeling.

  81. Seminar in Financial and Insurance Mathematics, ETH Zürich, Switzerland, 22 Oct 2009.
    A review and some recent results in LIBOR modeling.

  82. Statistics meets Finance, University of Chemnitz, Germany, 3 September 2009.
    A new approach to LIBOR modeling.

  83. 2nd European Summer School in Financial Mathematics, Paris, France, 24–29 Aug 2009.
    Analysis of Fourier transform valuation formulas and applications.

  84. Statistical Inference for Lévy Processes with Applications to Finance, EURANDOM, Eindhoven, The Netherlands, 15–17 Jul 2009.
    A new approach to LIBOR modeling.

  85. FAM Seminar, TU Vienna, Austria, 2 Jul 2009.
    Towards an "affine LIBOR" model with default risk.

  86. Workshop on Filtering in Mathematical Finance, University of Chemnitz, Germany, 17–19 Jun 2009.
    A new approach to LIBOR modeling.

  87. Istanbul Workshop on Mathematical Finance, Sabanci University, Istanbul, Turkey, 18–21 May 2009.
    A new approach to LIBOR modeling.

  88. Department of Mathematics, University of Vienna, Austria, 27 Mar 2009.
    On the application of Lévy processes in mathematical finance.

  89. Workshop "Finance and Insurance", University of Jena, Germany, 16–20 Mar 2009.
    A new approach to LIBOR modeling.

  90. 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.

  91. Mini-Workshop on Mathematical Finance, University of Kiel, Germany, 17 Feb 2009.
    A new approach to LIBOR modeling.

  92. START Seminar, TU Vienna, Austria, 29 Jan 2009.
    A new approach to LIBOR modeling.

  93. Department of Mathematics, National Technical University, Athens, Greece, 5–9 Jan 2009.
    Lévy processes and applications.

  94. 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.

  95. Seminar on Applied Mathematics, ETH Zürich, Switzerland, 10 Nov 2008.
    Strong Taylor approximation of SDEs and application to the Lévy LIBOR model.

  96. Department of Mathematics, Humboldt University, Berlin, Germany, 31 Oct 2008.
    Facets of the applications of jump processes in finance: affine LIBOR model.

  97. 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.

  98. European Summer School in Financial Mathematics, Paris, France, 6–14 Sep 2008.
    Strong Taylor approximation of SDEs and application to the Lévy LIBOR model.

  99. Oberseminar über Mathematische Stochastik, University of Freiburg, Germany, 4 Aug 2008.
    On the duality principle for multidimensional semimartingales.

  100. 5th World Congress, Bachelier Finance Society, London, UK, 15–19 Jul 2008.
    Numerical solution of SDEs and applications to the Lévy LIBOR model.

  101. Dynstoch Workshop 2008, Padova, Italy, 26–28 Jun 2008.
    Numerical solution of SDEs and applications to the Lévy LIBOR model.

  102. 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.

  103. School of Naval Architecture and Marine Engineering, National Technical University, Athens, Greece, 24 Mar 2008.
    Lévy processes and applications.

  104. 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.

  105. Department of Banking and Financial Management, University of Piraeus, Greece, 20 Mar 2008.
    Lévy processes, change of measure and applications in finance. [mini-course]

  106. 8th German Open Conference on Probability and Statistics, RWTH Aachen, Germany, 4–7 Mar 2008.
    Valuation formulae for derivatives and applications to Lévy models.

  107. Mathematisches Kolloquium, University of Freiburg, Germany, 12 Feb 2008.
    Numerical solution of SDEs and applications to the Lévy LIBOR model.

  108. Department of Mathematics, National Technical University, Athens, Greece, 14 Nov 2007.
    Modeling the term structure of interest rates with Lévy processes.

  109. Department of Mathematics, National Technical University, Athens, Greece, 14 Nov 2007.
    Semimartingales and Lévy processes in finance: duality and valuation.

  110. START Seminar, TU Vienna, Austria, 8 Nov 2007.
    The duality principle for multidimensional semimartingales.

  111. 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.

  112. 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.

  113. Seminar on Mathematical Finance, TU Vienna, Austria, 8 Mar 2007.
    Semimartingales and Lévy processes in finance: duality and valuation.

  114. Frankfurt MathFinance Colloquium, HfB, Frankfurt, Germany, 10 Jan 2007.
    Duality and valuation of exotic derivatives in Lévy models.

  115. Credit Risk under Lévy models, ICMS, Edinburgh, Scotland, 19–21 Sep 2006.
    Valuation of exotic and credit derivatives in Lévy models.

  116. Financial Modeling with Jump Processes, École Polytechnique, Palaiseau, France, 6–8 Sep 2006.
    Valuation of exotic and credit derivatives in Lévy models.

  117. 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]

  118. 4th World Congress, Bachelier Finance Society, Tokyo, Japan, 17–20 Aug 2006.
    Valuation of exotic and credit derivatives in Lévy models.

  119. Séminaire Calcul Stochastique, Université Louis Pasteur, Strasbourg, France, 20 Mar 2006.
    On simplifying certain valuation problems in Lévy models.

  120. Seminar in Actuarial and Financial Mathematics, Heriot–Watt University, Scotland, 24 Feb 2006.
    Lévy driven term structure models and cap-floor symmetries.

  121. Recent Developments in Financial and Actuarial Mathematics, ETH Zürich, Switzerland, 16–18 Nov 2005.
    Symmetries and Lévy term structure models.

  122. 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]

  123. Seminar in Economics and Finance, University of Piraeus, Greece, 23 Mar 2005.
    On symmetry formulas for option valuation in Lévy models.

  124. Department of Banking and Finance, University of Piraeus, Greece, 22 Mar 2005.
    An introduction to Lévy processes with applications in finance. [mini-course]

  125. 4th Symposium on Lévy Processes: Theory and Applications, Manchester, UK, 10–14 Jan 2005.
    Symmetries of exotic options in Lévy models.

  126. 3rd World Congress, Bachelier Finance Society, Chicago, USA, 21–24 Jul 2004.
    Symmetries and pricing of exotic options in Lévy models.

  127. Dynstoch Workshop 2004, Copenhagen, Denmark, 3–5 Jun 2004.
    Symmetries and pricing of exotic options in Lévy models.

  128. CoFaR Research Seminar, University of Mainz, Germany, 10 Jul 2002.
    Option pricing in a jump diffusion model with double exponential jumps.

  129. Frankfurt MathFinance Colloquium, University of Frankfurt, Germany, 6 Jun 2002.
    Option pricing in a jump diffusion model with double exponential jumps.