Fall 2009 Seminars

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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.

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Monday, September 14, 2009

Zuoquan Xu, Department of Mathematics, Oxford University

Title: Optimal Stopping with Prospect Preference

Time: 4:30 P.M.
Location: Wean 6423

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Monday, September 21, 2009

Tim Leung, Department of Applied Mathematics and Statistics, John Hopkins University

Title: Exponential Hedging with Optimal Stopping in Incomplete Markets

Time: 4:30 P.M.
Location: Wean 6423

Abstract:

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Monday, September 28, 2009

Kasper Larsen, Carnegie Mellon University

Title: The equity premium puzzle and unspanned random endowment

Time: 5:00 P.M.
Location: Wean 6423

Abstract:

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Monday, October 5, 2009

Holger Kraft, Johann Wolfgang Goethe-University

Title: Large Traders and Illiquid Options: Hedging vs. Manipulation

Time: 4:30 P.M.
Location: Wean 6423

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Monday, October 12, 2009

Ton Dieker, Georgia Institute of Technology

Title: TBA

Time: 5:00 P.M.
Location: Wean 6423

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Monday, October 26, 2009

Maxim Bichuch, Carnegie Mellon University

TITLE: Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time

Time: 5:00 P.M.
Location: Wean 6423

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THIS SEMINAR HAS BEEN CANCELED

Monday, November 2, 2009

Sebastian Jaimungal, University of Toronto.

Title: TBA

Time: 5:00 P.M.
Location: Wean 6423

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Monday, November 9, 2009

Sunder Sethuraman, Iowa State University

Title: Some asymptotics in preferential attachment random graphs in a randon environment

Time: 5:00 P.M.
Location: Wean 6423

Abstract:

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Monday, November 16, 2009

Jan Vecer, Department of Statistics, Columbia University

Title: Change of Numeraire with Perspective Mapping

Time: 5:00 P.M.
Location: Wean 6423

Abstract:

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Monday, November 23, 2009

David Goldberg, MIT

Title: PTAS for maximum weight independent set problem with random weights in bounded degree graphs

Time: 5:00 P.M.
Location: Wean 6423

Abstract:

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Monday, November 30, 2009

Gautam Iyer, Department of Mathematical Sciences, Carnegie Mellon University

Title: A stochastic-Lagrangian approach to the Navier-Stokes equations.

Time: 5:00 P.M.
Location: Wean 6423

Abstract:

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Monday,December 7, 2009

TBA

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