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Fall 2009 Seminars
Probability and Computational Finance Seminars
If you have questions or suggestions about the seminar, please contact the organizers: Agoston Pisztora, Gautam Iyer, and Kavita Ramanan (Probability), Kasper Larsen, Dmitry Kramkov and Steven Shreve (Mathematical Finance). Information for outside speakers or visitors can be found here.
Schedule for Fall 2009
Unless otherwise stated, the talks take place on Mondays at 5:00 P.M. in Wean Hall, 6423.
Zuoquan Xu, Department of Mathematics, Oxford University
Title: Optimal Stopping with Prospect Preference
Tim Leung, Department of Applied Mathematics and Statistics, John Hopkins University
Title: Exponential Hedging with Optimal Stopping in Incomplete Markets
Kasper Larsen, Carnegie Mellon University
Title: The equity premium puzzle and unspanned random endowment
Holger Kraft, Johann Wolfgang Goethe-University
Title: Large Traders and Illiquid Options: Hedging vs. Manipulation
Ton Dieker, Georgia Institute of Technology
Maxim Bichuch, Carnegie Mellon University
TITLE: Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time
Time: 5:00 P.M.
Monday, November 2, 2009
Sebastian Jaimungal, University of Toronto.
Sunder Sethuraman, Iowa State University
Title: Some asymptotics in preferential attachment random graphs in a randon environment
Jan Vecer, Department of Statistics, Columbia University
Title: Change of Numeraire with Perspective Mapping
David Goldberg, MIT
Title: PTAS for maximum weight independent set problem with random weights in bounded degree graphs
Gautam Iyer, Department of Mathematical Sciences, Carnegie Mellon University
Title: A stochastic-Lagrangian approach to the Navier-Stokes equations.