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

Date Start End Event Title Speaker Location
Friday, September 20, 2013 01:30pm 02:30pm Universality for the Stochastic Airy Operator Hill 705
Tuesday, September 17, 2013 12:00pm 01:00pm Zero-sum stochastic differential games under feedback controls and related nonlinear expectations. Hill 705
Monday, May 06, 2013 11:00am 12:00pm The obstacle problem for divergence form elliptic operators Speaker: Ivan Blank, Department of Mathematics, Kansas State University Hill 705
Monday, April 29, 2013 11:00am 12:00pm Approximation for the Quasipotential for the 2-D Stochastic Navier-Stokes Equations and Applications to the Exit Problem Speaker: Sandra Cerrai, Department of Mathematics, University of Maryland Hill 705
Monday, April 22, 2013 11:00am 12:00pm Small Perturbation Solutions of the Complex Monge-Ampére Equation Speaker: Yu Wang, Department of Mathematics, Columbia University Hill 705
Monday, April 15, 2013 11:00am 12:00pm Time-changed Stochastic Processes and Associated Fractional Order PDEs Speaker: Kei Kobayashi, Department of Mathematics, Tufts University Hill 705
Monday, April 08, 2013 11:00am 12:00pm A Wong-Zakai Approximation Scheme for Reflected Stochastic Differential Equations Speaker: Christopher Evans, Department of Mathematics, University of Missouri Hill 705
Monday, April 01, 2013 11:00am 12:00pm Drawdowns, Last Passage time Distributions and Applications to Online Trading and Quickest Detection Speaker: Olympia Hadjiliadis, Department of Mathematics, Graduate Center of CUNY Hill 705
Monday, March 25, 2013 11:00am 12:00pm Small-time Asymptotics and Expansions of Option Prices under Lévy-based Models Speaker: Ruoting Gong, Department of Mathematics, Rutgers University Hill 705
Monday, March 11, 2013 11:00am 12:00pm Large time asymptotics of Ornstein-Uhlenbeck process in Poisson potential Speaker: Fei Xing, Department of Mathematics, University of Tennessee Hill 705
Monday, February 25, 2013 11:00am 12:00pm Asymptotics for the length in some longest common and/or increasing subsequence problems Speaker: Christian Houdre, School of Mathematics, Georgia Institute of Technology Hill 705
Monday, February 04, 2013 02:00pm 03:00pm A classical Perron method for existence of smooth solutions to boundary value and obstacle problems for degenerate-elliptic operators via holomorphic maps Speaker: Paul Feehan, Department of Mathematics, Rutgers University Hill 525
Monday, December 10, 2012 01:40pm 02:40pm The problem of local volatility calibration of American options Speaker: Ryan Hynd, Department of Mathematics, University of Pennsylvania Hill 705
Friday, November 30, 2012 04:00pm 05:00pm Expansion of filtrations via stochastic processes, and insider trading Speaker: Philip Protter, Columbia University Hill 705 (Joint with Mathematics Colloquium)
Monday, November 19, 2012 01:40pm 02:40pm Parameter estimation methods for reflected Ornstein-Uhlenbeck processes Speaker: Chihoon Lee, Colorado State University Hill 705
Monday, November 12, 2012 01:40pm 02:40pm Optimal Stopping under Adverse Nonlinear Expectation Speaker: Marcel Nutz, Department of Mathematics, Columbia University Hill 705
Wednesday, October 31, 2012 10:45am 11:45am Markovian Projection of Stochastic Processes Speaker: Amel Bentata, University of Zurich and ESILV/LPMA Hill 705
Monday, October 22, 2012 01:40pm 02:40pm Analysis of a Monte Carlo method for fully nonlinear parabolic and elliptic PDEs Speaker: Arash Fahim, Department of Mathematics, University of Michigan Hill 705
Friday, October 19, 2012 04:00pm 05:00pm TBA Speaker: Alain Bensoussan, University of Texas, Dallas Hill 705 (Joint with Mathematics Colloquium)
Tuesday, October 16, 2012 11:00am 12:00pm Recent Results on Systemic Risk in Large Financial Networks Speaker: Konstantinos Spiliopoulos, Department of Mathematics and Statistics, Boston University Hill 705