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Mathematical Finance and Probability Seminars

Date Event Title Speaker Location
Tuesday, April 25, 2017 SENSITIVITY ANALYSIS OF THE UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO MODEL PERTURBATIONS Oleksii Mostovyi, University of Connecticut Hill 705
Tuesday, April 18, 2017 The Parametrix method for skew diffusions Jie Zhong, University of Rochester Hill 705
Tuesday, April 11, 2017 Martingale optimal transport with stopping Yavor Stoev, University of Michigan Hill 705
Tuesday, April 04, 2017 Sensitivity analysis of long-term cash flows Hyungbin Park, Worcester Polytechnic Institute Hill 705
Tuesday, March 28, 2017 Modeling wealth dynamics under central clearing Allen Cheng, Columbia University Hill 705
Tuesday, February 28, 2017 Hedging with Uncertainty-Averse Preferences Sebastian Herrmann, University of Michigan Hill 705
Tuesday, February 21, 2017 Transform Analysis for Markov Processes and its Applications in Finance Chihoon Lee, Stevens Institute of Technology Hill 705
Tuesday, February 07, 2017 Infinite sums of the geometric Brownian motion and generalizations Dan Pirjol, JP Morgan Hill 705
Tuesday, January 24, 2017 An Interactive Agent-Based Model Po–Keng Cheng, Stony Brook: Hill 705
Tuesday, December 13, 2016 Risk-Averse Control of Markov Systems Andrzej Ruszczynski, Rutgers University Hill 705
Tuesday, December 06, 2016 Managing counterparty credit risk via backward SDEs Anja Ritchter (CUNY Baruch) Hill 705
Tuesday, November 15, 2016 Metastable behavior of non-reversible dynamics. Insuk Seo, UC Berkeley Hill 705
Tuesday, November 08, 2016 Mean Field Games for Strategic Servers Asaf Cohen, University of Michigan Hill 705
Tuesday, November 01, 2016 Estimating Asset Pricing Factors from Large-Dimensional Panel Data Markus Pelger, Stanford University Hill 705
Tuesday, October 25, 2016 Persistence of Gaussian Stationary Processes Naomi Feldheim, Stanford University Hill 705
Tuesday, October 18, 2016 ENDOGENOUS FORMATION OF LIMIT ORDER BOOKS: DYNAMICS BETWEEN TRADES Sergey Nadtochiy, University of Michigan Hill 705
Tuesday, October 11, 2016 Variational approximations for exponential random graph models Lingjiong Zhu, Florida State University Hill 705
Tuesday, October 04, 2016 Stochastic PDE with U(1) gauge symmetry Hao Shen, Columbia University Hill 705
Tuesday, September 27, 2016 Strategic trading with regulatory constraints Tuan Tran, McMaster University Hill 705
Tuesday, September 13, 2016 Path differentiability of BSDE driven by a continuous martingale. Kihun Nam, Rutgers University Hill 705

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Mathematical Finance Master's Program

Department of Mathematics, Hill 348
Hill Center for Mathematical Sciences
Rutgers, The State University of New Jersey
110 Frelinghuysen Road
Piscataway, NJ 08854-8019

Email: finmath (at) rci.rutgers.edu
Phone: +1.848.445.3920
Fax: +1.732.445.5530