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

Date Start End Event Title Speaker Location
Friday, November 11, 2011 03:00pm 04:00pm Ancient solutions to different geometric flows Speaker: Natasa Sesum, Rutgers University Hill 525
Tuesday, November 08, 2011 01:40pm 02:40pm Surface integrals of rapidly Oscillating functions, with applications to PDE Speaker: Henrik Shagholian, Royal Institute of Technology, Stockholm Hill 705
Tuesday, November 08, 2011 11:30am 12:30pm Analytic foundations for a class of degenerate diffusions arising in population genetics Speaker: Charlie Epstein, University of Pennsylvania Hill 705
Wednesday, November 02, 2011 11:30am 12:30pm Optimal investment in the presence of high-water mark fees Speaker: Gerard Brunick, University of Texas, Austin, and University of California, Santa Barbara Hill 705
Tuesday, November 01, 2011 11:30am 12:30pm Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences Speaker: Patrick Cheridito, Princeton University Hill 705
Tuesday, October 25, 2011 11:30am 12:30pm Mimicking theorem for generalized Heston-like processes Speaker: Camelia Pop, Rutgers University Hill 705
Friday, October 21, 2011 03:00pm 04:00pm Gaussian Random Fields: Spectral Measures and Fine Properties Speaker: Yimin Xiao, Michigan State University Hill 525
Tuesday, October 11, 2011 11:30am 12:30pm Density and tail estimates with Malliavin calculus Speaker: Frederi Viens, Purdue University Hill 705
Tuesday, October 04, 2011 11:30am 12:30pm Estimates for the heat kernel with Dirichlet boundary condition Speaker: Janna Lierl, Cornell University Hill 705
Friday, September 30, 2011 04:00pm 05:00pm Recent development in the theory of linear and fully nonlinear elliptic and parabolic nondivergence form equations with VMO coefficients. Speaker: Nicolai Krylov, University of Minnesota Hill 705
Tuesday, September 27, 2011 11:30am 12:30pm Parameter estimation for fractional Ornstein-Uhlenbeck processes with discrete observations Speaker: Jian Song, Rutgers University Hill 705
Friday, September 16, 2011 04:00pm 05:00pm Stochastic Perron's method and verification without smoothness using viscosity comparison: the linear case Speaker: Erhan Bayraktar, University of Michigan Hill 705
Thursday, September 15, 2011 04:00pm 05:00pm Liquidation in Limit Order Books with Controlled Intensity Speaker: Erhan Bayraktar, University of Michigan Simon library, New Jersey Hall 3rd floor (Economics Building, College Avenue Campus)
Tuesday, May 03, 2011 11:00am 12:00pm Applications of a Markov mapping theorem Speaker: Thomas Kurtz, University of Wisconsin Hill 705
Tuesday, April 26, 2011 11:15am 12:15pm Pricing and Hedging in Affine Models with Possibility of Default Speaker: Alexander Wugalter, Princeton University (ORFE) Hill 705
Tuesday, April 26, 2011 10:15am 11:15am A Point Process Model for the High-Frequency Dynamics of a Limit Order Book Speaker: Ekaterina Vinkovskaya, Columbia University Hill 705
Friday, April 22, 2011 04:00pm 05:00pm Stochastically invariant manifolds for Jump diffusion on Hilbert space Hill 705
Monday, April 18, 2011 03:30pm 04:30pm Variational Inequalities, Obstacle, and Free Boundary Problems in Mathematical Finance Speaker: Paul Feehan, Rutgers University Hill 705 (Joint with Faculty Research Perspectives Seminar)
Tuesday, April 12, 2011 11:15am 12:15pm Dyson series for the PDEs arising in Mathematical Finance II Speaker: Victor Nistor, Penn State University Hill 705
Tuesday, April 12, 2011 10:15am 11:15am Dyson series for the PDEs arising in Mathematical Finance I Speaker: Anna Mazzucato, Penn State University Hill 705