SDEs in Finance Workshop at LUT

As I returned from the Workshop on SDEs with Applications in Finance at Lappeenranta University of Technology, on my flight back to Frankfurt, I reflected on how enjoyable this workshop had been.

Among the many interesting talks (in fact I felt that all of them were very interesting), there were two which were so close to my field of interest that I will definitely have to catch up by reading the corresponding papers very carefully. Eero Immonen gave a great presentation on dynamical modeling of efficient financial markets based on a paper published in Physica A and another one published in the Journal of Mathematical Economics. Sebastian Springer gave a very interesting talk on correlation-integral likelihood for SDEs based on joint work with Heikki Haario, Janne Hakkarainen and Ramona Maraia. On a personal note, I am greatly honored I was allowed to provide my practitioner’s perspective on our recent work on data-driven indicators for stock price bubbles (which is joint work with Lassi Roininen, Petteri Piiroinen and Tobias Schoden) in a keynote talk which was also the very first talk in a brand new seminar series on Mathematical Sciences at Lappeenranta University of Technology. In the second keynote talk Petteri Piiroinen gave a great presentation on the theoretical aspects of our work ranging from strict local martingales and geometry in the SABR plane to connections to Feynman path integrals.

Many thanks to both the local organizers and the participants of this workshop for providing such a friendly and stimulating atmosphere and for many interesting discussions and questions.

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