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

Date Start End Event Title Speaker Location
Tuesday, April 18, 2017 11:45am 12:45pm The Parametrix method for skew diffusions Jie Zhong, University of Rochester Hill 705
Tuesday, April 11, 2017 11:45am 12:45pm Martingale optimal transport with stopping Yavor Stoev, University of Michigan Hill 705
Tuesday, April 04, 2017 11:45am 12:45pm Sensitivity analysis of long-term cash flows Hyungbin Park, Worcester Polytechnic Institute Hill 705
Tuesday, March 28, 2017 11:45am 12:45pm Modeling wealth dynamics under central clearing Allen Cheng, Columbia University Hill 705
Tuesday, February 28, 2017 11:45am 12:45pm Hedging with Uncertainty-Averse Preferences Sebastian Herrmann, University of Michigan Hill 705
Tuesday, February 21, 2017 11:45am 12:45pm Transform Analysis for Markov Processes and its Applications in Finance Chihoon Lee, Stevens Institute of Technology Hill 705
Tuesday, February 07, 2017 11:45am 12:45pm Infinite sums of the geometric Brownian motion and generalizations Dan Pirjol, JP Morgan Hill 705
Tuesday, January 24, 2017 11:45am 12:45pm An Interactive Agent-Based Model Po–Keng Cheng, Stony Brook: Hill 705
Tuesday, December 13, 2016 11:45am 12:45pm Risk-Averse Control of Markov Systems Andrzej Ruszczynski, Rutgers University Hill 705
Tuesday, December 06, 2016 11:45am 12:45pm Managing counterparty credit risk via backward SDEs Anja Ritchter (CUNY Baruch) Hill 705
Tuesday, November 15, 2016 11:45am 12:45pm Metastable behavior of non-reversible dynamics. Insuk Seo, UC Berkeley Hill 705
Tuesday, November 08, 2016 11:45am 12:45pm Mean Field Games for Strategic Servers Asaf Cohen, University of Michigan Hill 705
Tuesday, November 01, 2016 11:45am 12:45pm Estimating Asset Pricing Factors from Large-Dimensional Panel Data Markus Pelger, Stanford University Hill 705
Tuesday, October 25, 2016 11:45am 12:45pm Persistence of Gaussian Stationary Processes Naomi Feldheim, Stanford University Hill 705
Tuesday, October 18, 2016 11:45am 12:45pm ENDOGENOUS FORMATION OF LIMIT ORDER BOOKS: DYNAMICS BETWEEN TRADES Sergey Nadtochiy, University of Michigan Hill 705
Tuesday, October 11, 2016 11:45am 12:45pm Variational approximations for exponential random graph models Lingjiong Zhu, Florida State University Hill 705
Tuesday, October 04, 2016 11:45am 12:45pm Stochastic PDE with U(1) gauge symmetry Hao Shen, Columbia University Hill 705
Tuesday, September 27, 2016 11:45am 12:45pm Strategic trading with regulatory constraints Tuan Tran, McMaster University Hill 705
Tuesday, September 13, 2016 11:45am 12:45pm Path differentiability of BSDE driven by a continuous martingale. Kihun Nam, Rutgers University Hill 705
Tuesday, April 26, 2016 11:45am 12:45pm Quickest detection in correlated, coupled systems and in the presence of uncertainty. Olympia Hadjiliadis, Brooklyn College and Graduate Center, CUNY Hill 705