Mathematical Finance and Probability Seminars

Date Start End Event Title Speaker Location
Tuesday, March 24, 2020 TBA Kiseop Lee-Purdue University
Tuesday, November 19, 2019 11:50am 12:50pm Resolving Asset Pricing Puzzles with Price Impact Xiao Chen- Rutgers University Hill 425
Tuesday, November 05, 2019 11:50am 12:50pm TBA Ruimeng Hu, Columbia University Hill 425
Tuesday, October 08, 2019 11:55am 12:55pm Inverting the Markovian projection, with an application to local stochastic volatility models Dan Lacker - Columbia University Hill 425
Tuesday, October 01, 2019 11:50am 12:50pm Viscosity solutions for controlled McKean–Vlasov jump-diffusions Max Reppen - Princeton University Hill 425
Tuesday, September 24, 2019 11:50am 12:50pm Optimal Bookmaking Bin Zou - University of Connecticut Hill 425
Tuesday, April 23, 2019 11:50am 12:55pm Pricing Debt in Interbank Networks with Comonotonic Endowments Zachuary Feinstein - Washington University Hill 705
Tuesday, April 09, 2019 11:50am 12:55pm FBSDEs with discontinuous coefficients Ludovic Tangpi - Princeton University Hill 705
Tuesday, April 02, 2019 11:50am 12:55pm Yule’s “Nonsense Correlation” Solved! Philip Ernst - Rice Hill 705
Tuesday, March 26, 2019 11:50am 12:55pm The Dyson Game Mark Cerenzia - Princeton University Hill 705
Tuesday, March 12, 2019 11:50am 12:55pm Equilibrium Model of Limit Order Book and Optimal Execution Problem Eunjung Noh Hill 705
Tuesday, February 19, 2019 11:50am 12:55pm Homogenization of a class of one-dimensional nonconvex viscous Hamilton-Jacobi equations with random potential Atilla Yilmaz - Temple University Hill 705
Tuesday, November 27, 2018 11:50am 12:55pm Optimal investment with transient price impact Moritz Voss - UC Santa Barbara Hill 705
Tuesday, October 23, 2018 11:50am 12:55pm Sharing Profits in the Sharing Economy Gu Wang , Worcester Polytechnic Institute Hill 705
Tuesday, October 09, 2018 11:50am 12:55pm An algorithmic approach to the optimal execution problem in finance Arash Fahim - Florida State University Hill 705
Tuesday, September 25, 2018 11:50am 12:55pm Optimal portfolio allocations in a heterogeneous banking system Marko Weber; Columbia University Hill 705
Tuesday, April 24, 2018 11:40am 12:45pm Exit problems near hyperbolic equilibria and noisy heteroclinic networks Zsolt Pajor-Gyulai , NYU Hill 705
Tuesday, April 17, 2018 11:40am 12:45pm Optimal Portfolio under Fractional Stochastic Environment Jean-Pierre Fouque, UC Santa Barbara Hill 705
Tuesday, April 10, 2018 11:40am 12:45pm Diffusion Transformations, Black-Scholes Equation and Optimal Stopping Umut Cetin; LSE Hill 705
Tuesday, March 27, 2018 11:40am 12:45pm Log-optimal portfolios with memory effect Zsolt Nika; Pazmany Peter Catholic University Hill 705