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CCF Seminars Fall 2014
Date: Monday, September 8, 2014, 5:00 pm
Name: Dmitry Kramkov
Affiliation: Carnegie Mellon University
Title: A system of quadratic BSDEs arising in a price impact model (Abstract)
Location: Porter Hall 226C
Submitted by: Dmitry Kramkov
Date: Monday, September 15, 2014, 5:00 pm
Name: Jianfeng Zhang
Affiliation: University of Southern California
Title: Viscosity Solutions of Path Dependent PDEs (Abstract)
Location: Porter Hall 226C
Submitted by: Dmitry Kramkov
Date: Monday, September 22, 2014, 5:00 pm
Name: Gautam Iyer
Affiliation: Carnegie Mellon University
Title: Anomalous diffusion of tracer particles in fast cellular flows. (Abstract)
Location: Porter Hall 226C
Submitted by: Dmitry Kramkov
Date: Monday, September 29, 2014, 5:00 pm
Name: Solesne Bourguin
Affiliation: Carnegie Mellon University
Title: Density analysis of BSDEs (Abstract)
Location: Porter Hall 226C
Submitted by: Dmitry Kramkov
Nash Lecture - Finance
Date: Monday, October 6, 2014, 4:30 pm
Name: Paul Glasserman
Affiliation: Columbia Business School
Title: Systemic Risk and the Risk Management Paradox (Abstract)
Location: Cohon University Center - McConomy Auditorium
Submitted by: Steve Shreve
Nash Lecture - Finance
Date: Tuesday, October 7, 2014, 4:30 pm
Name: Paul Glasserman
Affiliation: Columbia Business School
Title: Market-Triggered Contingent Capital: Equilibrium Price Dynamics (Abstract)
Location: Wean Hall 7500
Submitted by: Steve Shreve
Date: Monday, October 13, 2014, 5:00 pm
Name: Claudia Nunes
Affiliation: University of Lisbon, Portugal
Title: Optimal investment with random innovations (Abstract)
Location: Porter Hall 226C
Submitted by: Dmitry Kramkov
Date: Monday, October 20, 2014, 5:00 pm
Name: Konstantinos Spiliopoulos
Affiliation: Boston University
Title: Default Clustering in Large Financial Systems (Abstract)
Location: Porter Hall 226C
Submitted by: Scott Robertson
Date: Monday, October 27, 2014, 5:00 pm
Name: Gustavo Schwenkler
Affiliation: Boston University School of Management
Title: Simulated Likelihood for Discretly Observed Jump-Diffusions (Abstract)
Location: Porter Hall 226C
Submitted by: Scott Robertson
Date: Monday, November 3, 2014, 5:00 pm
Name: Kasper Larsen
Affiliation: Carnegie Melllon University
Title: An expansion in the model space in the context of utility maximization (Abstract)
Location: Porter Hall 226C
Submitted by: Kasper Larsen
Date: Monday, November 10, 2014, 5:00 pm
Name: Sergio Pulido
Affiliation: Swiss Finance Institute @ EPFL
Title: Polynomial preserving processes on quadric sets (Abstract)
Location: Porter Hall 226C
Submitted by: Dmitry Kramkov
Date: Monday, November 24, 2014, 5:00 pm
Name: Scott Robertson
Affiliation: Carnegie Mellon University
Title: Indifference Pricing for Contingent Claims: Large Deviations Effects (Abstract)
Location: Porter Hall 226C
Submitted by: Scott Robertson
Date: Monday, December 1, 2014, 5:00 pm
Name: Igor Cialenco
Affiliation: IIT
Title: Market making via sub-scale invariant Dynamic Acceptability Indices (Abstract)
Location: Porter Hall 226C
Submitted by: Kasper Larsen
Date: Monday, December 1, 2014, 5:00 pm
Name: Georg Menz
Affiliation: Stanford
Title: A two scale proof of the Eyring-Kramers formula (joint work with Andre Schlichting) (Abstract)
Location: Porter Hall 226 C

Date: Friday, December 5, 2014, 4:30 pm
Name: Wei-Kuo Chen
Affiliation: University of Chicago
Title: On some Gaussian inequalities arising from the study of the Sherrington-Kirkpatrick mean-field spin glass. (Abstract)
Location: Wean Hall 8220