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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 28, 2013, 5:00 pm

Name: Richard Sowers
Affiliation: University of Illinois
Title: A multiscale model of high frequency trading (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Shreve

Monday, February 4, 2013, 5:30 pm

Name: Christopher Almost
Affiliation: Carnegie Mellon University. Please note time.
Title: Diffusion scaling of a limit order book model (Abstract)
Location: WeH 6423
Status: Completed
Submitted by: Shreve

Monday, February 11, 2013, 5:30 pm

Name: Jing Wang
Affiliation: Carnegie Mellon University. Please note time.
Title: Escrow and Clawback
Location: WeH 6423
Status: Completed
Submitted by: Shreve

Monday, February 18, 2013, 5:00 pm

Name: Alexandra Klimova
Affiliation: Carnegie Mellon University
Title: Numerical algorithm for pricing option of Asian type with continuous sampling (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Shreve

Monday, February 25, 2013, 5:00 pm

Name: Jin Choi
Affiliation: CMU
Title: Continuous time and state equilibrium models (Abstract)
Location: Wean Hall 6423
Status: Completed
Submitted by: Kasper Larsen

Monday, March 18, 2013, 5:00 pm

Name: Kim Weston
Affiliation: Carnegie Mellon University
Title: An Equilibrium Model with Limited Market Participation (Abstract)
Location: Wean Hall 6423
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 25, 2013, 5:00 pm

Name: Birgit Rudloff
Affiliation: Princeton
Title: Time consistency of dynamic risk measures in markets with transaction costs (Abstract)
Location: Wean Hall 6423
Status: Completed
Submitted by: Kasper Larsen

Monday, April 1, 2013, 5:00 pm

Name: Mete Soner
Affiliation: ETH, Zurich
Title: Martingale Optimal Transport and Robust Hedging (Abstract)
Location: Wean Hall 6423
Status: Completed
Submitted by: Dmitry Kramkov

Monday, April 8, 2013, 5:00 pm

Name: Sergio Pulido
Affiliation: Carnegie Mellon University
Title: Quadratic BSDEs arising from a price impact model with exponential utility (Abstract)
Location:
Status: Completed
Submitted by: Dmitry Kramkov

Monday, April 15, 2013, 5:00 pm

Name: Nicolas Garcia
Affiliation: Carnegie Mellon University
Title: On the rate of convergence of the uniform Monte Carlo integration error via optimal transportation. (Abstract)
Location: Wean Hall 6423
Status: Completed
Submitted by: Dmitry Kramkov

Monday, April 22, 2013, 5:00 pm

Name: Daniel Schwarz
Affiliation: Carnegie Mellon University
Title: FBSDEs --- A Short Review and Applications in Financial Mathematics (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Dmitry Kramkov

Monday, April 29, 2013, 11:30 am

Name: Francois Delarue
Affiliation: Universite Nice Sophia-Antipolis
Title: Fully coupled Forward-Backward SDEs. A Short Review. (Abstract)
Location: Wean Hall 7218
Status: Completed
Submitted by: Steve Shreve

Monday, April 29, 2013, 5:00 pm

Name: Francois Delarue
Affiliation: Universite Nice Sophia-Antipolis
Title: Large population stochastic control and backward SDEs (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Shreve

Tuesday, April 30, 2013, 10:00 am

Name: Francois Delarue
Affiliation: Universite Nice Sophia-Antipolis
Title: ome numerical methods for BSDEs (Abstract)
Location: Wean 8220
Status: Completed
Submitted by: Shreve

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