Mathematical Finance and Probability Seminars

Date Start End Event Title Speaker Location
Tuesday, November 27, 2018 11:50am 12:55pm Optimal investment with transient price impact Moritz Voss - UC Santa Barbara Hill 705
Tuesday, October 23, 2018 11:50am 12:55pm Sharing Profits in the Sharing Economy Gu Wang , Worcester Polytechnic Institute Hill 705
Tuesday, October 09, 2018 11:50am 12:55pm An algorithmic approach to the optimal execution problem in finance Arash Fahim - Florida State University Hill 705
Tuesday, September 25, 2018 11:50am 12:55pm Optimal portfolio allocations in a heterogeneous banking system Marko Weber; Columbia University Hill 705
Tuesday, April 24, 2018 11:40am 12:45pm Exit problems near hyperbolic equilibria and noisy heteroclinic networks Zsolt Pajor-Gyulai , NYU Hill 705
Tuesday, April 17, 2018 11:40am 12:45pm Optimal Portfolio under Fractional Stochastic Environment Jean-Pierre Fouque, UC Santa Barbara Hill 705
Tuesday, April 10, 2018 11:40am 12:45pm Diffusion Transformations, Black-Scholes Equation and Optimal Stopping Umut Cetin; LSE Hill 705
Tuesday, March 27, 2018 11:40am 12:45pm Log-optimal portfolios with memory effect Zsolt Nika; Pazmany Peter Catholic University Hill 705
Tuesday, March 20, 2018 11:40am 12:45pm Optimal Equilibria for Time-inconsistency -- the Stopping Case Yu-Jui Huang; University of Colorado Hill 705
Tuesday, March 06, 2018 11:40am 12:45pm Optimal Investment and Derivative Demand under Price Impact and is joint work with C. Spilioupoulos of Boston University and M. Anthropelos of University of Pireaus. Scott Robertson, Boston University Hill 705
Tuesday, January 16, 2018 11:40am 12:40pm Equilibrium Model of Limit Order Books and Optimal Execution Problems Jenny Noh, USC Hill 705
Tuesday, November 14, 2017 11:40am 12:45pm Robust Pricing and Hedging around the Globe Florian Stebegg , Columbia University Hill 705
Tuesday, November 07, 2017 11:40am 12:45pm Optimal Decisions in a Time Priority Queue Donnelly Ryan Francis , University of Washington Hill 705
Tuesday, October 24, 2017 11:40am 12:45pm A Mean Field Competition Yuchong Zhang, Columbia University Hill 705
Tuesday, October 17, 2017 11:40am 12:45pm Portfolios generated by optimal transport Tim-Kam Leonard Wong, University of Southern California Hill705
Tuesday, April 25, 2017 11:45am 12:45pm SENSITIVITY ANALYSIS OF THE UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO MODEL PERTURBATIONS Oleksii Mostovyi, University of Connecticut Hill 705
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