News & Events

Past Events

Feb 08 2011

Non-Convexity of the Optimal Exercise Boundary For an American Put Option on a Dividend-paying Asset

Information
Tuesday, February 8, 2011 - Tuesday, February 8, 2011
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
We prove that when the dividend rate of the underlying asset following a geometric Brownian motion i
Feb 03 2011

A stochastic version of the Ambrosio-DiPerna-Lions' theory

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Thursday, February 3, 2011 - Thursday, February 3, 2011
1:30 PM - 2:30 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
At the beginning of the 90's, DiPerna and Lions developed a kind of "well-posedness theory for ODEs"
Feb 03 2011

Regularity for the parabolic obstacle problem with fractional Laplacian

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Thursday, February 3, 2011 - Thursday, February 3, 2011
10:30 AM - 11:30 AM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
In recent years, there has been an increasing interest in studying constrained variational problems
Jan 25 2011

Default intensities implied by CDO spreads - Inversion formula and model calibration

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Tuesday, January 25, 2011 - Tuesday, January 25, 2011
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
We propose a simple computational method for constructing an arbitrage-free collateralized debt obli
Jan 21 2011

Technical Talk On Innovation In Equity Derivatives /  Market Volatility Dynamics

Information
Friday, January 21, 2011 - Friday, January 21, 2011
12:10 PM - 1:00 PM
Event Type: Career Workshops
PH 111, 3:00-4:40
Societe Generale Corporate and Investment Bank Professional:  This event is only available for Rutge
Jan 18 2011

On the Implied Volatility Surface of Stochastic Volatility Models under Indifference Pricing

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Tuesday, January 18, 2011 - Tuesday, January 18, 2011
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
The study of the implied volatility surface of stochastic volatility models and in particular it's a
Dec 10 2010

Rutgers Mathematical Finance and Partial Differential Equations Conference 2010

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Friday, December 10, 2010 - Friday, December 10, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
Heldrich Hotel, 10 Livingston Avenue,  New Brunswick,  NJ 08901, Friday,  8:00 a.m. - 7:40 p.m.
No Friday seminar:  Website: http://www.finmath.rutgers.edu/mfpde2010/Partial differential equations
Dec 08 2010

Markov Processes International Returns-Based Style Analysis & Student Networking

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Wednesday, December 8, 2010 - Wednesday, December 8, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
Hill Center 705 (new time and location), 2:00-4:00 p.m.
Markov Professionals:  Speakers:  Michael Middleton, Director, US Client Services and James Mitchell
Dec 07 2010

Asymptotics for local-stochastic volatility models

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Tuesday, December 7, 2010 - Tuesday, December 7, 2010
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
We discuss recent work on asymptotics for implied volatility and option prices using the heat kernel
Dec 03 2010

Quant Panel Discussion and Networking Event

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Friday, December 3, 2010 - Friday, December 3, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
S&P - NY Office,  55 Water Street,  New York,  NY, 3:00-5:00 p.m.
Quantitative Analytics Panelists:  Moderator: James Wagner, Director, Quantitative Analytics, Standa
Nov 30 2010

Brownian motion in renormalized Poissonian potential

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Tuesday, November 30, 2010 - Tuesday, November 30, 2010
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
The model of Brownian motion in Poissonian potential describes a typical trajectory of a Brownian pa
Nov 17 2010

A weak uniqueness result for degenerate diffusions

Information
Wednesday, November 17, 2010 - Wednesday, November 17, 2010
10:30 AM - 11:30 AM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
Motivated by the problem of calibrating linear pricing rules to the market prices of Asian options,
Nov 16 2010

All About Murex

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Tuesday, November 16, 2010 - Tuesday, November 16, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
Busch Campus Center,  Center Hall , 1:00-2:30 p.m.
Murex Professionals:  This event is only available for Rutgers University MSMF students/alumni who h
Nov 16 2010

Pathwise Optimization for Optimal Stopping

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Tuesday, November 16, 2010 - Tuesday, November 16, 2010
10:30 AM - 11:30 AM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
We introduce the pathwise optimization (PO) method, a new convex optimization procedure to produce u
Nov 12 2010

Morgan Stanley Quantitative Finance Program & Recruiting

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Friday, November 12, 2010 - Friday, November 12, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
Busch Campus Center,  Room 120 ABC, 2:00-4:00 p.m.
Morgan Stanley Professionals:  Christine Murphy, the Global head of IED Strats, Eric Dennis, and Ken
Nov 10 2010

What's The Bottom Line?

Information
Wednesday, November 10, 2010 - Wednesday, November 10, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
Hill Center 705, 3:30-4:30 p.m.
Carol Pisacka, ESL Teacher & Carol Rutgers, Associate Director:  Carol Pisacka, an English as a Seco
Nov 09 2010

Stochastic Differential Games and Applications to Energy and Consumer Goods Markets

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Tuesday, November 9, 2010 - Tuesday, November 9, 2010
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
We discuss Cournot and Bertrand models of oligopolies, first in the context of static games and then
Nov 03 2010

Capital IQ,  a Standard & Poor's Business

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Wednesday, November 3, 2010 - Wednesday, November 3, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
Hill Center,  Room 705, 1:45 - 4:00 p.m.
Capital IQ Professionals:  Speakers:Howard Bernheim, CFA, CPA, Director, Business DevelopmentErin Gi
Nov 02 2010

Malliavin calculus for backward stochastic differential equations and application to numerical solutions

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Tuesday, November 2, 2010 - Tuesday, November 2, 2010
11:00 AM - 12:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
To obtain the rate of convergence of numerical solutions for backward stochastic differential equati
Oct 26 2010

J.P. Morgan's Investment Bank Event

Information
Tuesday, October 26, 2010 - Tuesday, October 26, 2010
12:10 PM - 1:00 PM
Event Type: Career Workshops
J.P. Morgan Office,  277 Park Avenue,  Room 1709,  New York,  NY, 6:00-8:00 p.m.
Come to our event. Meet our people. Get to know us. Ask us anything you want.:  This event is for st