Das Institut für Mathematische Wirtschaftsforschung veranstaltet im Rahmen des Bielefeld Stochastic Afternoon regelmäßig Seminare zum Thema Finanzmathematik. Das Programm des aktuellen Semesters finden Sie hier.
Erster Vortragender: Sergio Pulido (École nationale supérieure d'informatique pour l'industrie et l'entreprise)
Titel: Stochastic Volterra Equations in Finance
Abstract: In this presentation, I will provide an overview of several works related to the theory of Stochastic Volterra Equations (SVEs) and their applications in finance. I will discuss the well-posedness and invariance properties of these equations, examine the relevance of incorporating jumps from a modeling perspective, and explore factor approximation methods for control problems such as optimal stopping. Additionally, I will present potential future research directions that can be further developed in these areas.
Zweiter Vortragender: Harto Saarinen (Universität Turku)
Titel: Poisson Constrained Control Problems of Linear Diffusions
Abstract: We study a class of optimal control problems of linear diffusions under a so-called Poisson constraint: the controlling is only allowed at the arrival times of an independent Poisson signal processes. We study expected discounted criterion and expected ergodic criterion. Under our assumptions, we show that the optimal policy is to control downwards above some threshold. Lastly, we connect the problems to classical singular control by letting the intensity of the Poisson process tend to infinity.
Erster Vortragender: Florian Ziel (Universität Duisburg-Essen)
Titel: Recent challenges in electricity price forecasting
Abstract: Electricity price forecasting poses distinctive statistical challenges due to non‑stationarity, strong seasonality across multiple time scales, heavy tails, and abrupt regime changes driven by weather‑dependent generation and market design. This talk provides a structured overview of relevant wholesale markets (day‑ahead, intraday, and balancing) and their implications for model specification and forecast evaluation. Key empirical characteristics of electricity prices spikes, negative prices, and time-varying volatility, are discussed alongside suitable stochastic representations, including regime‑switching models, high‑dimensional and neural frameworks. Particular emphasis is placed on the integration of external covariates such as renewable generation forecasts, load, fuel prices, and cross‑border flows. The current state of the art is reviewed, covering hybrid approaches that combine econometric structure with machine learning and probabilistic forecasting techniques. Finally, open challenges and research directions of probabilistic forecasting are highlighted, including distributional calibration, interpretability, and decision‑oriented evaluation under increasing system uncertainty.
Zweiter Vortragender: Bin Zou (University of Connecticut)
Titel: Minimizing the Ruin Probability of an Insurer with Irreversible Reinsurance and Investment
Abstract: We consider an insurer who seeks optimal investment and reinsurance strategies to minimizethe probability of ruin in a diffusion model for the uncontrolled surplus. The reinsurance contractis irreversible and costly, featuring both a proportional transaction cost at purchase and apremium proportional to the cumulative ceded risk. We derive the insurer’s optimal strategiesin semiclosed form. The optimal investment is a constant dollar amount depending on theceded proportion, while reinsurance is purchased only when the surplus reaches an endogenousfree boundary. We further identify a non-viable region in which additional reinsurance is never optimal because the long-term premium burden outweighs its risk-reduction benefit.