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

Date Start End Event Title Speaker Location
Tuesday, October 19, 2010 11:00am 12:00pm Some applications of Clark-Ocone representation formula Speaker: David Nualart, University of Kansas Hill 705
Tuesday, October 12, 2010 11:00am 12:00pm Too interconnected to fail: contagion and systemic risk in financial networks Speaker: Amal Moussa, Columbia University (IEOR) Hill 705
Tuesday, October 05, 2010 11:00am 12:00pm Smoothness of the law of the supremum of the Gaussian process Speaker: Jian Song, Rutgers Hill 705
Tuesday, September 28, 2010 11:00am 12:00pm American-style options, stochastic volatility, and degenerate parabolic variational inequalities Speaker: Paul Feehan, Rutgers University Hill 705
Tuesday, September 21, 2010 01:45pm 02:45pm Hedging under arbitrage (First seminar Fall 2010)
Speaker: Johannes Ruf, Columbia University
Hill 525
Friday, April 30, 2010 04:00pm 05:00pm The Use of Stochastic Control Theory in High Frequency Trading Speaker: Douglas Borden, Knight Equity Trading, LP
Tuesday, April 27, 2010 01:45pm 02:45pm Non-zero-sum Stochastic Differential Games of Control and Stopping Speaker: Qinghua Li, Columbia University Hill 525
Tuesday, April 20, 2010 01:45pm 02:45pm Feynman-Kac Formula for Heat Equation Driven by Fractional White Noise Speaker: Jian Song, Kansas University Hill 525
Tuesday, April 06, 2010 01:45pm 02:45pm Bright Noise: Modelling Volatility Smiles Speaker: Andrea Karlova, Charles University, Prague Hill 525
Tuesday, March 23, 2010 01:45pm 02:45pm Optimizing the exercise boundary for the holder of an American Speaker: Jose Alcala, New York University Hill 525
Tuesday, March 09, 2010 01:45pm 02:45pm Option Prices in Terms of Distribution Functions Speaker: Ju-Yi Yen, Vanderbilt University Hill 525
Tuesday, March 02, 2010 01:45pm 02:45pm Markov Methods in LIBOR Derivative Pricing Speaker: Victor Goodman, Indiana University Hill 525
Tuesday, February 16, 2010 01:45pm 02:45pm Bubbles and contingent claims in markets with short-sale constraints Speaker: Sergio Pulido, Cornell University Hill 525
Tuesday, February 02, 2010 01:45pm 02:45pm Approximating the Green function of parabolic equations Speaker: Victor Nistor, Penn State University Hill 525
Tuesday, December 08, 2009 01:45pm 02:45pm Wiener-Hopf Factorization for Levy Processes with Meromorphic Characteristic Exponent Hill 705
Friday, December 04, 2009 08:00am 08:00pm Mathematical Finance and Partial Differential Equations Conference Speaker: No Seminar, Heldrich Hotel, New Brunswick
Tuesday, November 24, 2009 01:45pm 02:45pm Commodity Derivatives Models with Mean-Reverting Jumps and Stochastic Volatility: A Spectral Expansion Approach Speaker: Lingfei Li, Northwestern University Hill 705
Tuesday, November 10, 2009 01:45pm 02:45pm Minimizing Conditional Value-at-Risk Speaker: Mingxin Xu, UNC Charlotte Hill 705
Friday, November 06, 2009 03:00pm 04:00pm Hybrid Monte Carlo Speaker: Viorel Costeanu, JP Morgan Chase Hill 525
Friday, October 30, 2009 09:00am 05:00pm National Financial Mathematics Career Fair No seminar NYU