CMU Campus
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

Spring 2006 Seminars

Probability and Computational Finance Seminars

If you have questions or suggestions about the seminar, please contact the organizers: Agoston Pisztora / Kavita Ramanan (Probability), Kasper Larsen / Dmitry Kramkov / Steven Shreve (Mathematical Finance). Further details for outside speakers or visitors.

Schedule for Spring 2006

Unless otherwise stated, the talks take place on Mondays at 5 P.M. in Wean Hall, 6423.

January 23
Valdo Durrleman, Stanford University.
Coupling Smiles (Abstract).
January 30
Emre Erdogan, Columbia University
Ambiguous Chance Constrained Program: Algorithms and Applications (Abstract).
February 6
Marek Rutkowski, University of New South Wales, Sydney, Australia.
Hedging of credit derivatives in models with totally unexpected default (Abstract, Paper, Slides).
February 20
Jan Kallsen, Technical University of Munich.
On quadratic hedging in affine stochastic volatility models (Slides).
February 27
Jan Kallsen, Technical University of Munich.
On the structure of general mean-variance hedging strategies (Slides).
March 6
Jason Fulman, Department of Mathematics, University of Pittsburgh.
An Introduction to Stein's Method  (Abstract).
March 20
Walter Schachermayer, Technical University of Vienna.
Superhedging strategies in the presence of transaction costs.
March 27
Anand Vidyasankar, Statistics Department, Cornell University.
Large Deviations and Local Limit Theory for Explosive Processes. (Abstract).
March 29
Anand Vidyasankar, Statistics Department, Cornell University
Virtual Clinical Trials and Gibbs conditioning Principle (Abstract).
April 3
Marco Frittelli, University of Florence.
A Unified Framework for Utility Maximization Problems: An Orlicz Space Approach (Abstract).
April 10
Marco Frittelli, University of Florence.
Utility Maximization with Unbounded Semimartingales: on the Supermartingale Property and on the Indifference Price (Abstract).
April 17
Olympia Hadjiliadis, Princeton University.
Detecting a regime change & connections to mathematical finance (Abstract).
April 24
Steve Shreve, Department of Mathematical Sciences,Carnegie Mellon University.
The Double Skorohod Map and Real-Time Queues  (Abstract).
April 26
Philippe Robert, INRIA, Rocquencourt.
Data Structures, Tree Algorithms and Renewal Theorems Abstract)
May 1
Philippe Robert, INRIA, Rocquencourt
Stochastic Networks with Multiple Stable Points (Abstract).