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Mathematical Finance and Probability Seminars

Date Event Title Speaker Location
Tuesday, April 24, 2018 TBA Zsolt Pajor-Gyulai , NYU Hill 705
Tuesday, April 10, 2018 TBA Umut Cetin; LSE Hill 705
Tuesday, March 27, 2018 TBA Zsolt Nika; Pazmany Peter Catholic University Hill 705
Tuesday, March 20, 2018 TBA Yu-Jui Huang; University of Colorado Hill 705
Tuesday, January 16, 2018 Equilibrium Model of Limit Order Books and Optimal Execution Problems Jenny Noh, USC Hill 705
Tuesday, November 14, 2017 Robust Pricing and Hedging around the Globe Florian Stebegg , Columbia University Hill 705
Tuesday, November 07, 2017 Optimal Decisions in a Time Priority Queue Donnelly Ryan Francis , University of Washington Hill 705
Tuesday, October 24, 2017 A Mean Field Competition Yuchong Zhang, Columbia University Hill 705
Tuesday, October 17, 2017 Portfolios generated by optimal transport Tim-Kam Leonard Wong, University of Southern California Hill705
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

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HillCenter

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