CCF Seminars

Center for Computational Finance

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CCF Seminars

Probability and Computational Finance Seminars

If you have questions or suggestions about the seminar, please contact the organizers: Agoston Pisztora and Gautam Iyer (Probability) and Kasper Larsen, Dmitry Kramkov, Scott Robertson, and Steven Shreve (Mathematical Finance). Information for outside speakers or visitors can be found here.

Monday, January 30, 2012, 5:00 pm

Name: Ruoting Gong
Affiliation: Georgia Institute of Technology
Title: Small-time Asymptotics of Options Prices Under Levy-based Models
Location: Wean 5409
Pdf File: Ruoting_Gong.pdf
Status: Completed
Submitted by: Steve Shreve

Monday, February 6, 2012, 5:00 pm

Name: Dmitry Kramkov
Affiliation: Carnegie Mellon University
Title: The existence of continuous-time complete Radner equilibrium
Location: Wean 5409
Status: Completed
Submitted by: Dmitry Kramkov

Monday, February 13, 2012, 5:00 pm

Name: Scott Robertson
Affiliation: Carnegie Mellon University
Title: Portfolio Turnpikes in Incomplete Markets (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Scott Robertson

Monday, February 20, 2012, 5:00 pm

Name: Thomas Emmerling
Affiliation: University of Michigan
Title: On the Impulse Control of Jump Diffusions (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Scott Robertson

Monday, February 27, 2012, 5:00 pm

Name: Kasper Larsen
Affiliation: CMU
Title: Incomplete Continuous-time Securities Markets with Stochastic Income Volatility (Abstract)
Location: Wean Hall 5409
Status: Completed
Submitted by: Kasper Larsen

Monday, March 5, 2012, 5:00 pm

Name: Leonid Berlyand
Affiliation: Penn State University
Title: Modeling of collective swimming in random bacterial suspensions (Abstract)
Location: Wean 5409
Pdf File: Berlyand_2012.pdf
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 19, 2012, 5:00 pm

Name: Verena Hagspiel
Affiliation: Tilburg University
Title: Optimal Technology Adoption when the Arrival Rate of New Technologies Changes (Abstract)
Location: Wean 5409
Pdf File: Verena_Hagspiel.pdf
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 26, 2012, 5:00 pm

Name: Antoine Jacquier
Affiliation: Imperial College (London)
Title: Generalised small-noise expansion for projected diffusions and applications (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Kasper Larsen

Monday, April 9, 2012, 5:00 pm

Name: Jin Ma
Affiliation: University of Southern California
Title: Ruin Problems under Model Uncertainty (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Dmitry Kramkov

Monday, April 16, 2012, 5:00 pm

Name: Mike Tehranchi
Affiliation: Cambridge
Title: Put-call symmetry and self-duality (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Kasper Larsen

Monday, April 23, 2012, 5:00 pm

Name: Frank Riedel
Affiliation: Bielefeld
Title: Market Breakdown and Indeterminacy under Model Uncertainty (Abstract)
Location: Wean 5409
Pdf File: Riedel_Frank.pdf
Status: Completed
Submitted by: Kasper Larsen

Monday, April 30, 2012, 5:00 pm

Name: Kim Weston
Affiliation: Carnegie Mellon University
Title: A superreplication result in an infinite-dimensional market (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Dmitry Kramkov

Monday, May 7, 2012, 5:00 pm

Name: Alexandra Klimova
Affiliation: Carnegie Mellon University
Title: Algorithm for pricing path-dependent options of Asian type (Abstract)
Location: Wean 5409
Status: Completed
Submitted by: Steve Shreve