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CCF Seminars Fall 2015
Date: Monday, September 14, 2015, 4:30 pm
Name: Savas Dayanik
Affiliation: Bilkent University
Title: Bidding for multiple keywords in search-based advertising (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, September 21, 2015, 4:30 pm
Name: Leonard Wong
Affiliation: University of Washington
Title: Geometry and Optimization of Relative Arbitrage (Abstract)
Location: Wean Hall 8220
Submitted by: Kasper Larsen
Date: Monday, October 5, 2015, 4:30 pm
Name: Christopher Almost
Affiliation: Carnegie Melllon University
Title: Diffusion scaling of a limit order book model (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, October 12, 2015, 4:30 pm
Name: Stephan Sturm
Affiliation: WPI
Title: Rationalizing Behavioral Portfolio Choice in Incomplete Markets (Abstract)
Location: Wean Hall 8220
Submitted by: Kasper Larsen
Date: Monday, October 26, 2015, 4:30 pm
Name: Mackenzie Wildman
Affiliation: Lehigh University
Title: A Gaussian Markov alternative to fractional Brownian motion for pricing financial derivatives (Abstract)
Location: Wean Hall 8220
Submitted by: Kasper Larsen
Date: Monday, November 2, 2015, 4:30 pm
Name: Xiaofeng Yu
Affiliation: Carnegie Melllon University
Title: Diffusion Scaling of an Asymmetric Limit Order Book Model and a Poisson Random Measure Application (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, November 9, 2015, 4:30 pm
Name: Archil Gulisashvili
Affiliation: Ohio University
Title: Gaussian and Self-Similar Stochastic Volatility Models (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, November 16, 2015, 4:30 pm
Name: Mark Cerenzia
Affiliation: Princeton
Title: Local limit behavior and Gaussian fluctuations of Plancherel growth processes (Abstract)
Location: Wean Hall 8220
Submitted by: Kasper Larsen
Date: Monday, November 23, 2015, 4:30 pm
Name: Timo Seppalainen
Affiliation: University of Wisconsin
Title: The corner growth model (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, November 30, 2015, 4:30 pm
Name: Leonid Koralov
Affiliation: University of Maryland
Title: Averaging and Large Deviation Results for the Study of Randomly Perturbed Dynamical Systems (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, December 7, 2015, 4:30 pm
Name: Sasha Stoikov
Affiliation: Cornell University
Title: Reducing Transaction Costs with Low-Latency Trading Algorithms (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve