Departement Mathematik

HG G 49.1

Rämistrasse 101

8092 Zürich

Switzerland

Email: lukas.gonon@math.ethz.ch

Phone: +41 44 632 3444

Room: HG G 49.1

- Stochastic filtering and data assimilation: theory, numerical methods and applications in finance
- The Skorokhod embedding problem

- L. Döring, L. Gonon, D. Prömel , O. Reichmann. On Skorokhod Embeddings and Poisson Equations, arXiv:1703.05673, 2017.
- L. Gonon, L.C.G. Rogers. Evolution of Firm Size. International Journal of Theoretical and Applied Finance, 17. 2014.
- A. Prorok, L. Gonon, A. Martinoli. Online Model Estimation of Ultra-Wideband TDOA Measurements for Mobile Robot Localization, IEEE International Conference on Robotics and Automation (ICRA), pp. 807-814, 2012.

- 03/2017: Filtering of affine processes with Riccati equations. Imperial ETH Workshop on Mathematical Finance 2017, London.
- 01/2017: Filtering of affine processes with Riccati equations. 11. Bachelier Colloquium on Mathematical Finance and Stochastic Calculus, Métabief.
- 11/2016: Filtering of affine processes with Riccati equations. FWZ-Seminar, Freiburg.
- 10/2016: Skorokhod Embedding for Lévy Processes. Stochastic Research Seminar at University of Mannheim, Mannheim.
- 09/2016: Skorokhod embedding via time-changed Lévy processes. Imperial ETH Workshop on Mathemetical Finance 2016, Zürich.
- 06/2016: Using Moser's trick to construct martingales with prescribed marginal laws. At the Frontiers of Quantitative Finance, Edinburgh.
- 05/2016: Continuous-time martingale transport with jumps: explicit examples. ETH Post/Doctoral Seminar in Mathematical Finance, Zürich.
- 12/2015: Using Moser's trick to construct martingales with prescribed marginal laws. FWZ-Seminar, Vienna.
- 08/2015: Evolution of firm size. Doktorandentreffen Stochastik, Berlin.

Last update 24/08/2017 by lgonon