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Probability and Computational Finance Seminars Fall 2017
Date: Monday, October 2, 2017, 4:30 pm
Name: Johannes Muhle-Karbe
Affiliation: Carnegie Mellon University
Title: A Dynamic Equilibrium Model for Brokerage Fees
Location: Wean Hall 8220
Submitted by: Johannes Muhle-Karbe
Date: Monday, October 9, 2017, 4:30 pm
Name: Florian Stebegg
Affiliation: Columbia University
Title: Robust Pricing and Hedging around the Globe (Abstract)
Location: Wean Hall 8220
Submitted by: Johannes Muhle-Karbe
Date: Monday, October 16, 2017, 4:30 pm
Name: Jingyu Huang
Affiliation: University of Utah
Title: Analysis of a Kraichnan-type Fluid Model (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, October 23, 2017, 4:30 pm
Name: Dylan Possamai
Affiliation: Columbia University
Title: Open Problems in Contract Theory (Abstract)
Location: Wean Hall 8220
Submitted by: Johannes Muhle-Karbe
Date: Monday, October 30, 2017, 4:30 pm
Name: Yan Xu
Affiliation: Carnegie Mellon University
Title: A martingale optimal transport problem motivated by Kyle's equilibrium. (Abstract)
Location: Wean Hall 8220
Submitted by: Dmitry Kramkov
Date: Monday, November 6, 2017, 4:30 pm
Name: Antoine Jacquier
Affiliation: Imperial College London
Title: Perturbation Analysis of Sub/Super Hedging Problems (Abstract)
Location: Wean Hall 8220
Submitted by: Johannes Muhle-Karbe
Date: Monday, November 13, 2017, 4:30 pm
Name: Janosch Ortmann
Affiliation: NYU
Title: Polymers, particles, last-passage percolation and KPZ universality (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Monday, November 27, 2017, 4:30 pm
Name: Kevin Ou
Affiliation: Carnegie Mellon University
Title: Transient linear price impact and Fredholm integral equations (Abstract)
Location: Wean Hall 8220
Submitted by: Steve Shreve
Date: Thursday, December 7, 2017, 2:00 pm
Name: Leif Andersen
Affiliation: Bank of America
Title: Funding Valuation Adjustments
Location: Tepper 322
Submitted by: Steve Shreve