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

Date Start End Event Title Speaker Location
Tuesday, October 27, 2009 01:45pm 02:45pm Nonparametric Estimation of Time-Changed Levy Models Speaker: Jose Figueroa-Lopez, Purdue University Hill 705
Friday, October 23, 2009 AMS Special Session on Topics in Mathematical Finance at Penn State University No Seminar No Seminar
Tuesday, October 13, 2009 01:45am 02:45pm Liquidation of a Large Block of Stock with Regime Switching Speaker: Moustapha Pemy, Towson University Hill 705
Friday, October 02, 2009 03:00pm 04:00pm Algorithmic Trading: A Buy-Side Perspective Speaker: Petter Kolm, NYU Hill 525
Tuesday, September 29, 2009 01:45pm 02:45pm Strict Local Martingale Deflators and Pricing American Call-Type Options Speaker: Erhan Bayraktar, University of Michigan Hill 705
Tuesday, May 05, 2009 03:00pm 04:00pm The Recent Financial Turmoil and Related Financial Engineering Research Problems Speaker: Steve Kou, Columbia University Hill 705
Friday, May 01, 2009 03:00pm 04:00pm Valuation of Exotic Interest Rate Derivatives - Bermudans, Range Accruals, and Spreads Speaker: Harvey Stein, Bloomberg LP Hill 525
Tuesday, April 28, 2009 03:00pm 04:00pm Market Models for European Options: Dynamic Local Volatility and Tangent Levy Models Speaker: Sergey Nadtochiy, Princeton University Hill 705
Tuesday, April 21, 2009 03:00pm 04:00pm Pricing Variance Swaps on Time-Changed Levy Processes Speaker: Roger Lee, University of Chicago Hill 705
Monday, April 20, 2009 03:30pm 04:30pm Mathematical Finance and Partial Differential Equations Speaker: Paul Feehan, Rutgers University Hill 705
Friday, April 17, 2009 03:00pm 04:00pm Assessing Default Probabilities from Equity Markets Speaker: Vladimir Finkelstein, Horton Point LLC Hill 525
Tuesday, April 14, 2009 03:00pm 04:00pm Local Intensity Surface and its Dynamics in Multi-Name Credit Derivatives Modeling Speaker: Ming Shi, Rutgers University Hill 705
Friday, April 03, 2009 03:00pm 04:00pm Mismatching Time Scales and Hedging Energy Structures Speaker: Glen Swindle, Credit Suisse Hill 525
Tuesday, March 03, 2009 03:00pm 04:00pm Stochastic Control for Systems with Memory and its Applications in Portfolio Optimization Speaker: Tao Pang, North Carolina State Univ. Hill 705
Friday, February 20, 2009 03:00pm 04:00pm Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions Speaker: Liuren Wu, Baruch College Hill 525
Tuesday, February 17, 2009 03:00pm 04:00pm Regularity in the Optimal Stopping Problem for Levy Processes with Non-degenerate Diffusions Speaker: Hao Xing, University of Michigan Hill 705
Tuesday, February 03, 2009 03:00pm 04:00pm Asymptotics of Implied Volatility in Local Volatility Models Speaker: Cheng Ouyang, Northwestern University Hill 705
Tuesday, December 02, 2008 03:00pm 04:00pm Convex Hedging in Incomplete Markets Speaker: Birgit Rudloff, Princeton University Hill 705
Saturday, November 22, 2008 08:00am 07:00pm Second SIAM Conference on Financial Mathematics and Engineering Speaker: Conference Day 2/2, Heldrich Hotel
Friday, November 21, 2008 08:00am 07:00pm Second SIAM Conference on Financial Mathematics and Engineering Speaker: Conference Day 1/2, Heldrich Hotel