Events

Date Event Title Category Location
Tuesday, March 24, 2020 TBA Mathematical Finance and Probability Seminars
Tuesday, November 19, 2019 Resolving Asset Pricing Puzzles with Price Impact Mathematical Finance and Probability Seminars Hill 425
Tuesday, November 05, 2019 TBA Mathematical Finance and Probability Seminars Hill 425
Tuesday, October 08, 2019 Inverting the Markovian projection, with an application to local stochastic volatility models Mathematical Finance and Probability Seminars Hill 425
Tuesday, October 01, 2019 Viscosity solutions for controlled McKean–Vlasov jump-diffusions Mathematical Finance and Probability Seminars Hill 425
Tuesday, September 24, 2019 Optimal Bookmaking Mathematical Finance and Probability Seminars Hill 425
Tuesday, April 23, 2019 Pricing Debt in Interbank Networks with Comonotonic Endowments Mathematical Finance and Probability Seminars Hill 705
Tuesday, April 09, 2019 FBSDEs with discontinuous coefficients Mathematical Finance and Probability Seminars Hill 705
Tuesday, April 02, 2019 Yule’s “Nonsense Correlation” Solved! Mathematical Finance and Probability Seminars Hill 705
Tuesday, March 26, 2019 The Dyson Game Mathematical Finance and Probability Seminars Hill 705
Tuesday, March 12, 2019 Equilibrium Model of Limit Order Book and Optimal Execution Problem Mathematical Finance and Probability Seminars Hill 705
Tuesday, February 19, 2019 Homogenization of a class of one-dimensional nonconvex viscous Hamilton-Jacobi equations with random potential Mathematical Finance and Probability Seminars Hill 705
Tuesday, November 27, 2018 Optimal investment with transient price impact Mathematical Finance and Probability Seminars Hill 705
Tuesday, October 23, 2018 Sharing Profits in the Sharing Economy Mathematical Finance and Probability Seminars Hill 705
Tuesday, October 09, 2018 An algorithmic approach to the optimal execution problem in finance Mathematical Finance and Probability Seminars Hill 705
Tuesday, September 25, 2018 Optimal portfolio allocations in a heterogeneous banking system Mathematical Finance and Probability Seminars Hill 705
Tuesday, April 24, 2018 Exit problems near hyperbolic equilibria and noisy heteroclinic networks Mathematical Finance and Probability Seminars Hill 705
Tuesday, April 17, 2018 Optimal Portfolio under Fractional Stochastic Environment Mathematical Finance and Probability Seminars Hill 705
Tuesday, April 10, 2018 Diffusion Transformations, Black-Scholes Equation and Optimal Stopping Mathematical Finance and Probability Seminars Hill 705
Tuesday, March 27, 2018 Log-optimal portfolios with memory effect Mathematical Finance and Probability Seminars Hill 705