Master of Science in Mathematics - Mathematical Finance
• Mimicking theorem for generalized Heston-like processes
• Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
• Optimal investment in the presence of high-water mark fees
• Analytic foundations for a class of degenerate diffusions arising in population genetics
• Surface integrals of rapidly Oscillating functions, with applications to PDE
• Ancient solutions to different geometric flows
• Implied volatility from local volatility: A path integral approach
• Some Variational Formulas with Applications to Large Deviations
• Physical and risk-free density estimation in the energy market
• Small value probabilities and applications to smoothness of probability laws
• Malliavin calculus for backward stochastic differential equations and application for numerical solutions
• Random homogenization of p-Laplacian with obstacles on the perforated domain
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• A probabilistic approach to regularity of fully nonlinear degenerate elliptic equations
• Loop soups, local times and additive functionals
• Log-Sobolev inequalities for subelliptic operators satisfying a generalized curvature dimension inequality
• Strong solutions to an elliptic obstacle problem with coefficients in VMO
• Trading with market frictions, asymptotics and options
• The Probability of a Rare Event
• Diffusion Approximations for Multiscale Stochastic Networks in Heavy traffic
• Controlled defaults in financial networks
• Estimating expected returns from option prices with its application in portfolio selection
• Shadow prices and well posedness in the problem of optimal investment and consumption with transaction costs
• On the conditional ergodic theory of Markov processes
• Characterization of reflected diffusions and their stationary distributions
• Exact Implied Volatility Expansions
• Recent Results on Systemic Risk in Large Financial Networks
• TBA
• Analysis of a Monte Carlo method for fully nonlinear parabolic and elliptic PDEs
• Markovian Projection of Stochastic Processes
• Optimal Stopping under Adverse Nonlinear Expectation
• Parameter estimation methods for reflected Ornstein-Uhlenbeck processes
• Expansion of filtrations via stochastic processes, and insider trading
• The problem of local volatility calibration of American options
• A classical Perron method for existence of smooth solutions to boundary value and obstacle problems for degenerate-elliptic operators via holomorphic maps
• Asymptotics for the length in some longest common and/or increasing subsequence problems
• Large time asymptotics of Ornstein-Uhlenbeck process in Poisson potential
• Small-time Asymptotics and Expansions of Option Prices under Lévy-based Models
• Drawdowns, Last Passage time Distributions and Applications to Online Trading and Quickest Detection
• A Wong-Zakai Approximation Scheme for Reflected Stochastic Differential Equations
• Time-changed Stochastic Processes and Associated Fractional Order PDEs
• Small Perturbation Solutions of the Complex Monge-Ampére Equation
• Approximation for the Quasipotential for the 2-D Stochastic Navier-Stokes Equations and Applications to the Exit Problem
• The obstacle problem for divergence form elliptic operators
• Zero-sum stochastic differential games under feedback controls and related nonlinear expectations.
• Universality for the Stochastic Airy Operator
• Hilbert Transform Methods for Options Valuation
• The Stochastic Heat Equation : Intemittency and Chaos
• Small-time Asymptotics of Option Prices under Lévy-based Models
• Analytical Approximations in Volatility Models
• Integro-PDE in Hilbert spaces and large deviations for stochastic PDE with Levy noise
• Polynomial preserving diffusions and applications in finance
• The Particle Method: A Powerful Tool to Solve Your Smile Calibration Problem
• Regularity for Obstacle Problems for Generators of Symmetric Stable Processes with Gradient Perturbations
• Hypoelliptic Heat Kernels on Infinite-Dimensional Heisenberg Groups
• Mathematical Finance and Partial Differential Equations Conference
• On Well-Posedness for First Order Isotropic Hamilton-Jacobi-Bellman Equation in Metric Spaces
• Cancelled
• Path Integration with Non-Positive Distributions and Applications to the Schrödinger Equation
• Triple collision problem in rank-based diffusions
• Holder estimates for fully nonlinear parabolic integro-differential equations
• Continuous Time Perpetuities and the Time Reversal of Diffusions
• Minimal surfaces, couplings, and generalizations
• Asymptotic Pricing Formulas for Some Path-Dependent Payoffs
• Facelifting in utility maximization
• Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models
• Madalena Czubak, Binghampton University
• The Exponential Formula for the Wasserstein Metric
• On the normalized p-laplacian evolution
• Unique Ergodicity for Fractionally Dissipated, Stochastically Forced 2D Euler Equations
• On Strong Monte Carlo Couplings and Rough Differential Equations
• Meet the Headhunter
• Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
• Deterministic walks in random environments and excited random environments
• How to Nail the Interview
• Excited random walks, or the "cookie" phenomenon
• BSDEs, BSEs, and Fixed Points
• A general characterization of the mean field limit for stochastic differential games
• Do stochastic PDE hit points and have multiple points in the critical dimension?
• Dispersed information in FX trading - a martingale representation
• Variational formula for the time-constant of first-passage percolation
• Power Utility Maximization in Hidden Regime-Switching Markets with Default Risk
• Understanding Mortgage Spreads
• Harnack inequalities for degenerate diffusions
• Burgers equation with random forcing
• Optimal mixing by incompressible flows
• Optimal trading with limit and market orders in a renewal Markov model
• Short-time asymptotics for Lévy models with a view towards financial mathematics
• Fractional Pearson Diffusions
• On stochastic portfolio theory
• Trading with Small Frictions
• Pathwise viscosity and entropy solutions to possibly degenerate fully nonlinear (stochastic) pde and scalar conservation laws with multiple spatially dependent rough fluxes
• Random Attractor of Stochastic Reaction diffusion System
• Nonequilibrium steady-states for some interacting particle systems
• Incomplete-Market Equilibria with Exponential Utilities-CANCELLED
• Asymptotic Perron's method in stochastic games and control
• Product Differentiation, Heterogeneous Beliefs, and Competition in the Mutual Fund Industry: Implications on the Industry Dynamics
• Fast-slow systems with chaotic noise.
• The maximal particle of branching random walk in random environment
