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

Date Start End Event Title Speaker Location
Tuesday, April 05, 2011 11:00am 12:00pm Perpetual Cancellable American Call Option Speaker: Thomas Emmerling, University of Michigan Hill 705
Tuesday, March 29, 2011 10:30am 11:30am Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time Speaker: Maxim Bichuch, Princeton University (ORFE) Hill 705
Tuesday, March 29, 2011 09:30am 10:30am Heat Kernel Expansion and Near-Expiry Asymptotics of Implied Volatility for Certain Stochastic Volatility Models Speaker: Elton Hsu, Northwestern University Hill 705
Tuesday, March 22, 2011 06:40pm 09:30pm Excel interfaces for C++ derivative pricing and risk management programs Speaker: Faina Schmulyian, Hill 705
Tuesday, March 22, 2011 06:40pm 09:30pm Creating Excel Interfaces for C++ Derivative Pricing Code Speaker: Faina Schmulyian, Mathematics Hill 705
Tuesday, March 08, 2011 11:00am 12:00pm Simple Arbitrage In Multi-Asset Markets Speaker: Hasanjan Sayit, Worcester Polytechnic Institute Hill 705
Tuesday, March 01, 2011 11:00am 12:00pm A study of nonlinear PDE's and PIDE's appearing in Finance Speaker: Ionut Florescu, Stevens Institute of Technology Hill 705
Tuesday, February 22, 2011 11:00am 12:00pm Optimal timing to buy options in incomplete markets Speaker: Tim Leung, Johns Hopkins University Hill 705
Thursday, February 17, 2011 06:40pm 09:30pm Monte Carlo and tree methods in interest rate derivative pricing Speaker: Viorel Costeanu, JP Morgan SEC 207
Tuesday, February 08, 2011 11:00am 12:00pm Non-Convexity of the Optimal Exercise Boundary For an American Put Option on a Dividend-paying Asset Speaker: Huibin Cheng, University of Pittsburgh Hill 705
Thursday, February 03, 2011 01:30pm 02:30pm A stochastic version of the Ambrosio-DiPerna-Lions' theory Speaker: Alessio Figalli, University of Texas at Austin Hill 705
Thursday, February 03, 2011 10:30am 11:30am Regularity for the parabolic obstacle problem with fractional Laplacian Speaker: Alessio Figalli, University of Texas at Austin Hill 705
Tuesday, January 25, 2011 11:00am 12:00pm Default intensities implied by CDO spreads - Inversion formula and model calibration Speaker: Yu Hang Kan, Columbia University (IEOR) Hill 705
Tuesday, January 18, 2011 11:00am 12:00pm On the Implied Volatility Surface of Stochastic Volatility Models under Indifference Pricing Speaker: Stephan Sturm, Princeton University (ORFE) Hill 705
Tuesday, December 07, 2010 11:00am 12:00pm Asymptotics for local-stochastic volatility models Speaker: Peter Laurence, Universita di Roma I & NYU Hill 705
Tuesday, November 30, 2010 11:00am 12:00pm Brownian motion in renormalized Poissonian potential Speaker: Xia Chen, University of Tennessee Hill 705
Wednesday, November 17, 2010 10:30am 11:30am A weak uniqueness result for degenerate diffusions Speaker: Gerard Brunick, University of Texas at Austin Hill 705
Tuesday, November 16, 2010 10:30am 11:30am Pathwise Optimization for Optimal Stopping Speaker: Ciamac Moallemi, Columbia University (Graduate School of Business) Hill 705
Tuesday, November 09, 2010 11:00am 12:00pm Stochastic Differential Games and Applications to Energy and Consumer Goods Markets Speaker: Ronnie Sircar, Princeton University Hill 705
Tuesday, November 02, 2010 11:00am 12:00pm Malliavin calculus for backward stochastic differential equations and application to numerical solutions Speaker: Yaozhong Hu, University of Kansas Hill 705