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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 12, 2015, 4:30 pm

Name: Daniel Lacker
Affiliation: Princeton University
Title: A general characterization of the mean field limit for stochastic differential games (Abstract)
Location: Wean 8220
Status: Completed
Submitted by: Steve Shreve

Monday, January 19, 2015, 5:00 pm

Name: TBA
Affiliation:
Title: TBA
Location:
Status: Timeslot

Tuesday, January 20, 2015, 4:30 pm

Name: Camelia Pop
Affiliation: University of Pennsylvania
Title: Harnack inequalities for degenerate diffusions (Abstract)
Location: Wean 8220
Status: Completed
Submitted by: Bohman

Monday, January 26, 2015, 4:30 pm

Name: Zsolt Pajor-Gyulai
Affiliation: University of Maryland
Title: From averaging to homogenization in cellular flows - an exact description of the transition (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Shreve

Thursday, January 29, 2015, 4:30 pm

Name: Joseph Neeman
Affiliation: University of California, Berkeley
Title: Gaussian noise stability (Abstract)
Location: Wean 8220
Status: Completed
Submitted by: Bohman

Monday, February 2, 2015, 4:30 pm

Name: Christian Keller
Affiliation: University of Southern California
Title: Pathwise Ito Calculus for Rough Paths (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Shreve

Monday, February 9, 2015, 4:30 pm

Name: Johannes Muhle-Karbe
Affiliation: ETH - Zurich
Title: Sensitivity of Optimal Consumption Streams (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Scott Robertson

Monday, February 16, 2015, 4:30 pm

Name: Frederi G. Viens
Affiliation: Purdue University
Title: Comparison inequalities on Wiener space (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Solesne Bourguin

Monday, February 23, 2015, 4:30 pm

Name: Igor Cialenco
Affiliation: IIT
Title: Market making via sub-scale invariant Dynamic Acceptability Indices (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Kasper Larsen

Monday, March 2, 2015, 4:30 pm

Name: Mikhail Zhitlukhin
Affiliation: Steklov Mathematical Institute and High School of Economics, Moscow
Title: Monotone reward-to-variability ratios (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 16, 2015, 4:30 pm

Name: Kim Weston
Affiliation: Carnegie Mellon University
Title: The Muckenhoupt (Ap) condition and the existence of an optimal martingale measure in optimal investment. (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 23, 2015, 4:30 pm

Name: Umut Cetin
Affiliation: LSE
Title: Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Kasper Larsen

Monday, March 30, 2015, 4:30 pm

Name: Umut Cetin
Affiliation: LSE
Title: Linear Inverse Problems and Market Microstructure (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Kasper Larsen

Monday, April 6, 2015, 4:30 pm

Name: Agostino Capponi
Affiliation: Columbia
Title: Systemic risk: the dynamics under central clearing (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Schwarz

Monday, April 13, 2015, 4:30 pm

Name: Thames Sae Sue
Affiliation: CMU
Title: Incomplete Radner equilibrium in pure-jump Levy models (Abstract)
Location: Wean 6423
Status: Completed
Submitted by: Kasper Larsen

Monday, April 20, 2015, 4:30 pm

Name: Tim Leung
Affiliation: Columbia University
Title: Optimal Mean Reversion Trading with Transaction Costs (Abstract)
Location: Wean 6423
Status: Scheduled
Submitted by: Scott Robertson

Monday, April 27, 2015, 4:30 pm

Name: Todd Kemp
Affiliation: University of California San Diego
Title: TBA (Abstract)
Location: Wean 6423
Status: Scheduled
Submitted by: Solesne Bourguin

Monday, May 4, 2015, 4:30 pm

Name: Zhe Cheng
Affiliation: Carnegie Mellon University
Title: TBA
Location: Wean Hall 8220
Status: Scheduled
Submitted by: Scott Robertson

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