Spring 2010 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 Spring 2010
Unless otherwise stated, the talks take place on Mondays
at 5:00 P.M. in Wean Hall, 6423.
CANCELED
Monday, January 25, 2010
Ramon van Handel
ORFE Princeton
Title: An asymptotic theory for nonlinear filters
Time: 5:00 P.M.
Location: Wean 6423
Abstract:
Monday February 1, 2010
Silviu Predoiu
Carnegie Mellon University
Title: On optimal execution policy for a large investor
Time: 5:00 P.M.
Location: Wean 6423
Monday February 8, 2010
Ryan Hynd
University of California at Berkeley
Title: Option pricing in the large risk aversion, small transaction cost limit
Time: 5:00 P.M.
Location: Wean 6423
Abstract:
Monday February 15, 2010
Pietro Siorpaes
Department of Mathematical Sciences, Carnegie Mellon University
Title: On Sobolev's imbedding theorems for parametric families of martingales
Time: 5:00 P.M.
Location: Wean 6423
Monday February 22, 2010
Sergio Pulido
Department of Information Engineering and Operations Research, Cornell University
Title: Bubbles and contingent claims in markets with short-sale constraints
Time: 5:00 P.M.
Location: Wean 6423
Abstract:
CANCELED
Monday March 1, 2010
Chenxu Li
Department of Mathematics, Columbia University
Time: 3:00 P.M.
Location: Wean 5302
Abstract:
Monday March 1, 2010
Yuri Bhaktin
Georgia Tech
Title: Diffusion Models of Sequential Decision Making
Time: 5:00 P.M.
Location: Wean 6423
Abstract:
Monday March 15, 2010
Hang Yu
Department of Mathematical Sciences, Carnegie Mellon University.
Time: 5:00 P.M.
Location: Wean 6423
Monday March 22, 2010
Roger Lee
Department of Mathematics, University of Chicago
Title: A Variance Contract is Worth How Many Log Contracts?
Time: 5:00 P.M.
Location: Wean 6423
Abstract:
Monday March 29, 2010
Hao Xing
Department of Mathematics and Statistics, Boston University.
Time: 5:00 P.M.
Location: Wean 6423
Monday April 5, 2010
Gordan Zitkovic
University of Texas at Austin
Title: An overview of some recent progress in incomplete-market equilibria
Time: 5:00 P.M.
Location: Wean 6423
Abstract:
Monday April 12, 2010
TBA
Time: 5:00 P.M.
Location: Wean 6423
Monday April 19, 2010
Ramon van Handel
ORFE Princeton
Title: An asymptotic theory for nonlinear filters
Time: 5:00 P.M.
Location: Wean 6423
Monday April 26, 2010
Tankut Dogrul
Department of Mathematics, Carnegie Mellon University
Title: An Equilibrium Model with Price Impact
Time: 5:00 P.M.
Location: Wean 6423
Past Seminars:
Schedule for Fall 2009
Schedule for Spring 2009
Schedule for Fall 2008
Schedule for Spring 2008
Schedule for Fall 2007
Schedule for Spring 2007
Schedule for Fall 2006
Schedule for Spring 2006
Schedule for Fall 2005
Schedule for Spring 2005
Schedule for Fall 2004
Schedule for Spring 2004
Schedule for Fall 2003
Schedule for Spring 2003
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