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

Date Start End Event Title Speaker Location
Monday, October 01, 2012 01:40pm 02:40pm Exact Implied Volatility Expansions Speaker: Matt Lorig, Department of Operations Research & Financial Engineering, Princeton University
Hill 705
Tuesday, May 01, 2012 11:00am 12:00pm Characterization of reflected diffusions and their stationary distributions Speaker: Kavita Ramanan, Brown University Hill 705
Tuesday, April 24, 2012 11:00am 12:00pm On the conditional ergodic theory of Markov processes Speaker: Ramon van Handel, Princeton University Hill 705
Tuesday, April 17, 2012 11:00am 12:00pm Shadow prices and well posedness in the problem of optimal investment and consumption with transaction costs Speaker: Gordan Zitkovic, University of Texas at Austin Hill 705
Tuesday, April 10, 2012 11:00am 12:00pm Estimating expected returns from option prices with its application in portfolio selection Speaker: Huaqiang Ma, University of Maryland, Wells Fargo Securities Hill 705
Friday, April 06, 2012 03:00pm 04:00pm Controlled defaults in financial networks Speaker: Andreea Minca, Cornell University IEOR Hill 525
Tuesday, April 03, 2012 11:00am 12:00pm Diffusion Approximations for Multiscale Stochastic Networks in Heavy traffic Speaker: Xin Liu, Institute for Mathematics and its Applications, University of Minnesota Hill 705
Tuesday, March 20, 2012 11:00am 12:00pm The Probability of a Rare Event Speaker: Leila Setayeshgar, Brown University Hill 705
Tuesday, March 06, 2012 11:00am 12:00pm Trading with market frictions, asymptotics and options Speaker: Jonathan Goodman, New York University Hill 705
Tuesday, February 28, 2012 11:30am 12:30pm Strong solutions to an elliptic obstacle problem with coefficients in VMO Speaker: Kubrom Teka, Kansas State University Hill 705
Tuesday, February 21, 2012 11:00am 12:00pm Log-Sobolev inequalities for subelliptic operators satisfying a generalized curvature dimension inequality Speaker: Fabrice Baudoin, Purdue University Hill 705
Tuesday, February 14, 2012 11:00am 12:00pm Loop soups, local times and additive functionals Speaker: Jay Rosen, City University of New York, Staten Island Hill 705
Tuesday, February 07, 2012 11:00am 12:00pm A probabilistic approach to regularity of fully nonlinear degenerate elliptic equations Speaker: Wei Zhou, University of Minnesota Hill 705
Tuesday, January 31, 2012 11:00am 12:00pm Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption Speaker: Oleksii Mostovyi, Carnegie Mellon University Hill 705
Tuesday, January 24, 2012 11:00am 12:00pm Random homogenization of p-Laplacian with obstacles on the perforated domain Speaker: Lan Tang, Iowa State University Hill 705
Tuesday, December 13, 2011 11:30am 12:30pm Malliavin calculus for backward stochastic differential equations and application for numerical solutions Speaker: Xiaoming Song, University of North Carolina Hill 705
Tuesday, December 06, 2011 11:30am 12:30pm Small value probabilities and applications to smoothness of probability laws Speaker: Wenbo Li, University of Delaware Hill 705
Tuesday, November 29, 2011 11:30am 12:30pm Physical and risk-free density estimation in the energy market Speaker: Peter Laurence, University of Rome and NYU Hill 705
Tuesday, November 22, 2011 11:30am 12:30pm Some Variational Formulas with Applications to Large Deviations Speaker: Amarjit Budhiraja, University of North Carolina Hill 705
Tuesday, November 15, 2011 11:30am 12:30pm Implied volatility from local volatility: A path integral approach Speaker: Tai-Ho Wang, Baruch College Hill 705