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..................................Seminar Talks


1996-2017

1. Journée "Processus à sauts: applications à la finance". Université
d'Evry, 24.10.96. Théorie de marché d'obligations: un modéle de diffusion avec des sauts.

2. Demi-journée "Modèles financiers et coûts de transactions".
Université de Marne-la-Vallée, 31.01.97. Sur la stratégie de Leland de l'évaluation du prix de l'option call et couverture des actifs contingents.

3. Mathematical Institute, University of Oslo, 14.01.97. On a general
theory of bond markets.

4. Mathematical Institute, University of Oslo, 16.01.97. On a model of
currency market with transaction costs.

5. Imperial College, London, 21.04.97. On a general theory of bond markets.

6. University of Cambridge, 22.04.97. Towards a general theory of bond
markets.

7. University of Cambridge, 23.04.97. Hedging and liquidation on ”Russian”currency markets.

8. Université de Provence, Marseille, 02.05.97. Hedging on currency markets with transaction costs.

9. University of Padua, 04.06.97. On a model of currency markets with
transaction costs.

10. University of Padua, 05.06.97. Arbitrage theorems.

11. Ecole Polytechnique Fédérale de Lausanne, 19.06.97. Hedging on currency markets with transaction costs.

12. University of Helsinki, 08.08.97. Some models of mathematical finance.

13. University of Freiburg, 17.10.97. Currency markets with transaction
costs.

14. Université de Besançon. Séminaire du DEA "Economie des organisations",
13.11.97. Couverture et liquidations sur le marchés de devises
avec coûts de transaction.

15. University of Ulm, 17.12.97. Discrete-time financial models with transaction costs.

16. Central Economics and Mathematics Institute, Moscow, 13.04.98. Hedging and arbitrage with and without transaction costs.

17. Humboldt University, Berlin, 16.04.98. Hedging of contingent claims
on a market with transaction costs.

18. University of Karlsruhe, 15.05.98. Arbitrage and hedging with and
without transaction costs.

19. University of Ulm, 20.05.98. A model of currency markets with transaction costs.

20. Institut Henri Poincaré, Paris, 17.06.98. Sur un modèle avec coûts
des transactions.

21. Technical University of Braunschweig, 21.07.98. Arbitrage and hedging in general financial markets.

22. University of Newcastle, Australia, 10.12.98. Hedging under transaction costs in currency market: a discrete-time model.

23. University of Melbourne, Australia, 22.12.98. Hedging under transaction costs.

24. ETH Zurich, 21.01.99. Models with transaction costs.
25. Institut Henri Poincaré, Paris, 12.03.99. Recent progress in models
with transaction costs.

26. University of Copenhagen, 12.05.99. Lectures on the arbitrage theory.

27. University of Padua, 07.07.99. Models with transaction costs.

28. Hosei University (Tokyo), 03.09.99. On term structure of interest rate.

29. ENS (Paris), 18.02.2000. Séminaire "Oiko-Nomia" de G. Debreu. Un
modèle de marché financier sous coûts de transactions.

30. University of Southern Switzerland (Lugano), 23.02.2000. Models with transaction costs.

31. University of Milan - Bicocca, 23.02.2000. On a structure of martingale measures.

32. Stanford University, 10.04.2000. Models with transaction costs: criteria of no-arbitrage.

33. University of Southern California, 17.04.2000. On a structure of martingale measures.

34. University of California in San Diego, 20.04.2000. On a mathematical
modeling of financial markets with transaction costs.

35. University of Bonn, 21-22.09.2000. Arbitrage theory, I, II.

36. University of Bielefeld, 26-27.09.2000. Arbitrage theory, III, IV.

37. Technical University of Munich, 23.11.2000. On the optimal portfolio
in the problem of exponential utility maximization.

38. University of Bonn, Department of Statistics, 28.02.2001. In the insurance business risky investments are dangerous.

39. King's College, London, 22.05.2001. Recent progress in models with
transaction costs.

40. Technical University of Munich, 26.07.2001. Elementary introduction
to arbitrage theory.

41. University of Strasbourg, 19.02.2002. Hedging on financial markets
with transaction costs.

42. Nagoya City University, 12.03.2002. Hedging of contingent claims under transaction costs.

43. Tokyo Institute of Technology, 12.03.2002. On the hedging theorems.

44. Technical University of Munich, 07.05.2002. New results on hedging
under transaction costs.

45. Humboldt University, Berlin, 16.05.2002. On the HJB equation for
linear models with conic constraints.

46. Institut Henri Poincaré, Paris, 11.12.2002. Exposé sur Louis Bachelier.

47. Université de Rouen, 11.12.2002. Sur la solution de viscosité de l'équation de HJB d'un modèle avec coûts de transactions.

48. University of Padua, 18.02.2003. Dynamic programming principle and
the viscosity solutions of HJB equations.

49. University of Venice, 21.02.2003. Viscosity solutions of HJB equations
arising in transaction costs models.

50. University of Osaka, 15.05.2003. A geometric approach to portfolio
optimization in models with transaction costs.

51. University of Hokkaido, Sapporo, 27.06.2003. In the insurance business risky investments are dangerous.

52. Bank of Japan, Tokyo, 15.07.2003. Market models with friction.

53. Institut Henri Poincaré, Paris, 24.10.2003. Consumption-investment
problems with a production.

54. Journée "Solutions de viscosité en finance mathématique".
Tours,27.10.2003. HJB equations arising in models with transaction costs.

55. University of Lausanne, Institute of Banking and Finance. 12.01.2004.
A consumption-investment problem with production possibilities.

56. Université Paris VI, 26.02.2004. Un problème de consomation-investissement avec la production.

57. Meeting of the editorial board of "Rendicotti del Seminario Matematico
della Università di Padova", Venice, 15.10.2004. Mathematical problems
in the theory of financial markets with transaction costs. One-hour talk.

58. On the Grigoriev theorem. Isaac Newton Institute for Mathematical
Sciences, Cambridge, 01.02.2005.

59. University of Edinburg, 17.02.2005. HJB equations arising in models
with transaction costs.

60. Heriot-Watt University, Edinburg, 18.02.2005. Recent progress in theory of financial markets with transaction costs.

61. Osaka University, 04.08.2005. Recent results for transaction cost models.

62. Pontificia Universidad Catolica de Chile, 24.08.2005. On modelling of
value processes.

63. University of Berne. Swiss Probability Seminar, 32nd meeting, 29.06.2006. Replication of contingent claims under transaction costs.

64. Institut Henri Poincaré, Paris, 02.03.2007.
Séminaire Louis Bachelier.
Some problems in option replications under transaction costs.

65.Università degli Studi di Padova, 23.04.2007.
On approximate hedging
of contingent claims under transaction costs.

66. Università di Roma Tor Vergata, 23.04.2007. Introduction to the theory of financial markets with transaction costs.

67. University of Helsinki, 25.05.2007. On approximate hedging of contingent claims under transaction costs.

68. Technical University of Helsinki, 25.05.2007. On martingale selectors
of cone-valued processes.

69. Université du Maine, Le Mans, 26.06.2007.
Approximate hedging under transaction costs.

70. ETH Zurich, 28.02.2008.
Some remarks on no-arbitrage criteria.

71. Brown University, 17.04.2008.
Hedging of American options under transaction costs.

72. Nomura Securities, Tokyo, 14.07.2008.
Introduction to the theory of financial markets with transaction costs.

73. Nomura Securities, Tokyo, 14.07.2008.
Approximation errors in the Leland hedging strategy under transaction costs.

74. Tokyo Metropolitan University, 23.07.2008.
Approximation errors in the Leland hedging strategy under transaction costs.

75. Bank of Japan, Tokyo, 31.07.2008.
Introduction to the theory of financial markets with transaction costs.

76. Tokyo Metropolitan University, 29.08.2008.
A positive interest rate model with sticky barrier.

77. Ludwig Maximilian University of Munich, 29.10.2008.
Stochastic deflators and American options for models with transaction costs.

78. Université Paris-XIII, 20.01.2009.
Hedging of American options under transaction costs.

79. Karlsruhe University, 23.06.2009.
Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs.

80. New Economic School, Moscow, 22.07.2009.
Stochastic deflators and American options under transaction costs.

81. Osaka University, CFSI, 20.08.2009.
Recent results in the theory of financial markets with transaction costs.

82. Osaka University, CSFI, 27.08.2009.
On the HJB equation arising in the consumption-investment problem with transaction costs.

83. Central Economics and Mathematics Institute, Moscow, 31.08.2009.
Optimal control in models of financial markets with friction.

84. Helsinki Unversity of Technology, 28.10.2009.
An HJB equation with non-local term arising
in the consumption-investment problem with transaction costs.

85. University of Rennes 1, 02.11.2009.
New results on models of financial markets with transaction costs.

86. Ecole Polytechnique, 30.11.2009.
Questions in the consumption-investment problem under transaction costs.

87. Université d'Angers, 11.01.2010.
NFL2.

88. University of Kyoto, 04.03.2010.
No free lunch of the second kind.

89. Université du Maine, Le Mans, 29.04.2010.
No-arbitrage properties for markets with small transaction costs.

90. Université du Maine, Le Mans, 17.05.2010.
On structure of convex sets of local densities.

91. TU Berlin, 08.07.2010.
Small transaction costs, absence of arbitrage and consistent price systems.

92. Osaka University, CSFI, 26.07.2010.
Small transaction costs, absence of arbitrage and consistent price systems.

93. Central Economics and Mathematics Institute, Moscow, 02.11.2010.
Historical development of the arbitrage theory.

94. University of Oxford, 12.11.2010.
Small transaction costs, absence of arbitrage and consistent price systems.

95. Aalto University, Helsinki, 18.04.2011.
Absence of arbitrage under small transaction costs.

96. University of Jyvaskyla, 27.04.2011.
On FTAP and APT.

97. University of North Caroline at Charlotte, 21.10.2011.
An introduction to the arbitrage theory for markets with transaction costs.

98. Boston University, 27.10.2011.
Arbitrage theory for frictionless markets and markets with transaction costs.

99. Université d'Angers, 06.02.2012.
On local martingale deflators and market portfolios.

100. Université Paris-13, 21.03.2012.
On local martingale deflators and market portfolios.

101. University of Alberta, 12.04.2012.
Arbitrage theory for markets with transaction costs.

102. Ludwig Maximilians University Munich, 12.04.2012.
On local martingale deflators and market portfolios.

103. University of Ulm, 19.06.2012.
Essential supremum with respect to a random partial order.

104. University of Stony Brook, 6.02.2013.
Arbitrage Theory under transaction costs.

105. Jena University, 18.06.2013.
Essential supremum and essential maximum with respect to random preference relations.

106. University of Essen-Duisburg, 16.07.2013.
Models of financial markets with transaction costs and supremal sets with respect to random preference relations.

107. Higher School of Economics, Moscow, 30.09, 21.10, 28.10 2013.
Arbitrage Theory: history and perspectives (view of insider). Parts I-III.

108. Central Economics and Mathematics Institute of Russian Academy of Sciences, Seminar "Mathematical Economics", 19.11.2013.
Arbitrage Theory for financial markets with transaction costs: mathematical economics and mathematical finance reconciled.

109. Higher School of Economics, Moscow, 07.04 2014.
Local martingale and supermartingale numeraire portfolios.

110. Higher School of Economics, Moscow, 19.05 2014.
Optimal investment in models with transaction costs and jump-diffusion price process.

111. Higher School of Economics, Moscow, 16.03 2015.
On the smoothness of the ruin probability as a function of the initial capital.

112. University of Padua, 11.04.2016.
Asymptotics of ruin probabilities with investments in a risky asset.

113. Tokyo Metropolitan University, 25.04.2016.
Asymptotics of ruin probabilities with investments in a risky asset with price given by a geometric Lévy process.

114. University of Barcelona, 16.10.2016.
Clearing in financial networks.

 
 
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