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Spring 2009 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 2009

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

Monday, January 26, 2009

Sergey Nadtochiy, Princeton University
Market Models For European Options: Dynamic Local Volatility and Dynamic Local Levy Measure, (Joint With Ren´E Carmona)


Time: 1:30 P.M.
Location: PPB 300

Monday, February 2, 2009

Sebastien Darses*, Department of Mathematics, Boston University.

TITLE: Stochastic derivatives and Partial Differential Equations

ABSTRACT: We will introduce general notions of stochastic derivatives on stochastic processes. We will first show how the tools from Malliavin Calculus allow to study these objects. The involved techniques yield applications on various structures of the processes under study: gradient diffusions, asymptotic expansions of fractional SDE. Second, we will extend ODE on stochastic processes through these derivatives. We will focuse on the relationships between these stochastic equations and various PDE, including the Navier-Stokes equation.

*job candidate

Monday, February 9, 2009

Dapeng Zhan*, Gibbs Assistant Professor, Department of Mathematics, Yale University.

TITLE: Reversibility and duality of SLE

ABSTRACT: Stochastic Loewner evolution (SLE) introduced by Oded Schramm is a breakthrough in studying the scaling limits of many two-dimensional lattice models from statistical physics. In this talk, I will discuss the proofs of the reversibility conjecture and duality conjecture about SLE. The proofs of these two conjectures use the same idea, which is to use a coupling technique to lift local couplings of two SLE processes that locally commute with each other to a global coupling. And from the global coupling, we can clearly see that the two conjectures hold.

*job candidate

Wednesday, February 11, 2009

Toufic Suidan*, Department of Mathematics, University of Arizona.

TITLE: The symmetric polynuclear growth process and random matrix theory

ABSTRACT: The polynuclear growth process (PNG), introduced and analyzed by Praehofer and Spohn, is a popular growth model studied in both mathematical physics and probability. I will describe both the PNG process and its symmetric analogue. I will then describe several random matrix type limit theorems on the fluctuations of the shape of the PNG droplet for the symmetric PNG process with a source. This description will interpolate between each of the classical random matrix ensembles and the Gaussian distribution. This is joint work with J. Baik, A. Borodin, and E. Rains.

*job candidate

Monday, February 16, 2009

Vladimir Dubinin, Director, Deutsche Bank

Title: Some theoretical and practical questions of algorithmic trading

Monday, February 23, 2009

Fred Espen Benth, Department of Mathematics, University of Oslo
Pricing of electricity forwards – The risk premium


Monday, March 2, 2009

Fred Espen Benth, Department of Mathematics, University of Oslo.
The Volatility of Temperature, Pricing of Weather Derivatives, and Hedging Spatial Temperature Risk


Time: 5:30 P.M.
Location: Wean 6423

Monday, March 16, 2009

Lysbjerg Hansen, University of Southern Denmark

Monday, March 23, 2009

Michael Monoyios, Oxford University.

Monday, March 30, 2009

Terry Lyons, Oxford University.

Monday, April 6, 2009

Amarjit Budhiraja, University of North Carolina, Chapel Hill
Elliott-Kalton Stochastic Differential Games Associated with the Infinity Laplacian


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

Monday, April 13, 2009

Semyon Malamud, Mathematics Department, ETH Zurich
Information Percolation (joint work with Darrell Duffie and Gustavo Manso)


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

Monday, April 20, 2009

Soummya Kar, ECE, Carnegie Mellon
Sample-path Large Deviations of Jump Markov Processes: Revisited


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

Monday, April 27, 2009

Carl Mueller University of Rochester
Nonuniqueness for some stochastic PDE


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