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Spring 2007 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 2007

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

January 16, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
Erhan Bayraktar, University of Michigan,
Quickest Detection for a Poisson Process with a Phase-type Change-time Distribution (Abstract)
January 19, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
Jianfeng Zhang, University of Southern California,
Monte-Carlo Methods for High Dimensional Forward Backward SDEs and Quasilinear PDEs (Abstract)
January 22, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
Mihai Sirbu, Columbia University,
A characterization of models in which mutual fund theorem holds (Abstract)
January 26, MATH COLLOQUIUM: 4:30 P.M., WeH 7500
Soumik Pal, Cornell University,
Interacting Brownian Motions and the Distribution of Equity Capital (Abstract)
January 29
Dejun Xie, University of Pittsburgh,
The Optimal Strategy for Prepayment of Mortgages (Abstract)
February 5
Bruno Bouchard, Université Paris VI,
Optimal reflection of diffusions and barrier options pricing under constraints (Abstract)
February 12
Bruno Bouchard, Université Paris VI,
Regularity of BSDEs with reflection or jumps and Monte-Carlo methods for the resolution of a class of (systems of) semilinear parabolic PDEs.
February 19
Peter Carr, Bloomberg,
Robust replication of default contingent claims (joint with Bjorn Flesaker) (Abstract)
February 20, 5:00 P.M., Doherty Hall 4303
Mia Hinnerich, Stockholm School of Economics
Pricing Equity Swaps in an Economy with Jumps (Abstract)
March 19
David Saunders, University of Waterloo
Pricing CDO Tranches of Bespoke Portfolios (joint with Dan Rosen) (Abstract)
March 26
Kasper Larsen, Carnegie Mellon University
Continuity of utility maximization with respect to preferences (Paper)
April 2
Elchanan Mossel, University of California, Berkeley
Mixing times of Gibbs samplers on random graphs (Abstract)
April 16
Muzaffer Akat, Carnegie Mellon University.
Multi-scale modeling of credit spreads
April 24, Tuesday, 5:00 P.M, Wean Hall 8427
Miguel Lejeune, Carnegie Mellon University.
Exact Solution Approach for Stochastic Portfolio Optimization with Trading Constraints (Abstract)