Mathematical Finance and Probability Seminars (Since covid these events are taking place online.)

Date Start End Event Title Speaker Location
Tuesday, April 01, 2014 11:20am 12:20pm Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models Hongzhong Zhang, Columbia University Hill 705
Tuesday, March 25, 2014 11:20am 12:20pm Facelifting in utility maximization Kasper Larsen, Carnegie Mellon University Hill 705
Tuesday, March 11, 2014 11:20am 12:20pm Asymptotic Pricing Formulas for Some Path-Dependent Payoffs Roger Lee, Department of Mathematics, University of Chicago Hill 705
Tuesday, March 04, 2014 11:20am 12:20pm Minimal surfaces, couplings, and generalizations Rob Neel, Lehigh University Hill 705
Friday, February 21, 2014 12:00pm 01:00pm Continuous Time Perpetuities and the Time Reversal of Diffusions Scott Robertson, Carnegie Mellon University Hill 705
Tuesday, February 11, 2014 11:20am 12:20pm Holder estimates for fully nonlinear parabolic integro-differential equations Hector Chang Lara, Columbia University Hill 705
Tuesday, January 21, 2014 11:20am 12:20pm Triple collision problem in rank-based diffusions Tomoyuki Ichiba, University of California, Santa Barbara Hill 705
Tuesday, December 03, 2013 11:30am 12:30pm Path Integration with Non-Positive Distributions and Applications to the Schrödinger Equation Hill 705
Tuesday, November 12, 2013 11:30am 12:30pm Cancelled Hill 705
Tuesday, November 05, 2013 11:30am 12:30pm On Well-Posedness for First Order Isotropic Hamilton-Jacobi-Bellman Equation in Metric Spaces Hill 705
Saturday, November 02, 2013 09:00am 06:00pm Mathematical Finance and Partial Differential Equations Conference Heldrich Hotel, New Brunswick
Tuesday, October 29, 2013 11:30am 12:30pm Hypoelliptic Heat Kernels on Infinite-Dimensional Heisenberg Groups Hill 705
Friday, October 25, 2013 01:30pm 02:30pm Regularity for Obstacle Problems for Generators of Symmetric Stable Processes with Gradient Perturbations Hill 705
Tuesday, October 22, 2013 12:00pm 01:00pm The Particle Method: A Powerful Tool to Solve Your Smile Calibration Problem Hill 705
Tuesday, October 15, 2013 12:30pm 01:00pm Polynomial preserving diffusions and applications in finance Hill 705
Tuesday, October 15, 2013 11:30am 12:30pm Integro-PDE in Hilbert spaces and large deviations for stochastic PDE with Levy noise Hill 705
Friday, October 11, 2013 01:30pm 02:30pm Analytical Approximations in Volatility Models Hill 705
Tuesday, October 08, 2013 12:00pm 01:00pm Small-time Asymptotics of Option Prices under Lévy-based Models Hill 705
Tuesday, October 01, 2013 12:00pm 01:00pm The Stochastic Heat Equation : Intemittency and Chaos Hill 705
Tuesday, September 24, 2013 12:00pm 01:00pm Hilbert Transform Methods for Options Valuation Hill 705