On Wednesday, February 8, he will speak at Imperial College London on “Dynamic Conic Finance via Backward Stochastic Difference Equations.” He will describe an innovative framework for narrowing the theoretical spread between ask prices and bid prices of derivative securities in presence of transaction costs. An abstract is available here.
On Thursday, February 9, he will speak at University of Oxford on “Time Consistency in Decision Making,” explaining a flexible new unified framework for studying the time consistency property suited for a large class of maps. View an abstract here.
Cialenco is part of the applied mathematics department’s stochastics research group, which provides modeling tools for analysis, control, and numerical study of various stochastic systems that evolve in time and space, and are subject to randomness.