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

Date Start End Event Title Speaker Location
Tuesday, October 06, 2015 11:45am 12:45pm Fundamental Theorem of Asset Pricing Under Transaction Costs and Model Uncertainty Yuchong Zhang, Columbia University Hill 705
Tuesday, September 29, 2015 11:45am 12:45pm On the growth rate of a stochastic compounding process Dan Pirjol, JP Morgan Hill 705
Tuesday, September 15, 2015 11:45am 12:45pm Optimal Investment with Transaction Costs and Stochastic Volatility Maxim Bichuch, John Hopkins University Hill 705
Tuesday, September 01, 2015 11:45am 12:45pm A Recombining Tree Method for Option Pricing in Switching Jump Diffusion Models Duy Nguyen, Massachusetts College of Liberal Arts Hill 705
Tuesday, April 28, 2015 11:45am 12:45pm On multilevel Dyson Brownian motions. Mykhaylo Shkolnikov, Princeton University Hill 705
Tuesday, April 21, 2015 11:45am 12:45pm Analyzing Convergence and Rates of Convergence of Particle Swarm Optimization Algorithms Using Stochastic Approximation Methods Quan Yuan, Weyne State University Hill 705
Tuesday, April 14, 2015 11:45am 12:45pm The maximal particle of branching random walk in random environment Alexander Drewitz, Columbia University Hill 705
Friday, April 10, 2015 11:45am 12:45pm Fast-slow systems with chaotic noise. David Kelly, New York University Hill 124
Tuesday, April 07, 2015 11:45am 12:45pm Product Differentiation, Heterogeneous Beliefs, and Competition in the Mutual Fund Industry: Implications on the Industry Dynamics John Kim, Princeton University Hill 705
Tuesday, March 31, 2015 11:45am 12:45pm Asymptotic Perron's method in stochastic games and control Mihai Sirbu, UT Austin Hill 705
Tuesday, March 24, 2015 11:45am 12:45pm Incomplete-Market Equilibria with Exponential Utilities-CANCELLED Gordan Zitkovic, UT Austin Hill 705
Tuesday, March 10, 2015 11:45am 12:45pm Nonequilibrium steady-states for some interacting particle systems Yao Li, NYU Hill 705
Tuesday, March 03, 2015 11:45am 12:45pm Random Attractor of Stochastic Reaction diffusion System Junyi Tu, U of South Florida Hill 705
Tuesday, February 24, 2015 11:45am 12:45pm Pathwise viscosity and entropy solutions to possibly degenerate fully nonlinear (stochastic) pde and scalar conservation laws with multiple spatially dependent rough fluxes Panagiotis Souganidis, U Chicago Hill 705
Tuesday, February 17, 2015 12:00pm 01:00pm Trading with Small Frictions Johannes Muhle-Karbe, ETH, Zurich Hill 705
Tuesday, February 10, 2015 12:00pm 01:00pm On stochastic portfolio theory Mykhaylo Shkolnikov, Princeton University Hill 705
Friday, February 06, 2015 02:00pm 03:00pm Harnack inequalities for degenerate diffusions Camelia Pop, University of Pennsylvania Hill 705
Friday, February 06, 2015 12:00pm 01:00pm Fractional Pearson Diffusions Alla Sikorskii, Michigan State University Hill 124
Wednesday, January 28, 2015 03:20pm Short-time asymptotics for Lévy models with a view towards financial mathematics Jose Figueroa-Lopez, Purdue University Hill 705
Tuesday, December 09, 2014 11:45am 12:45pm Optimal trading with limit and market orders in a renewal Markov model Vladimir Lubyshev, Rutgers University Hill 705