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Probability and Computational Finance Seminars
Spring 2010Date: Monday, January 25, 2010, 5:00 pmName: Ramon van Handel Affiliation: ORFE Princeton Title: An asymptotic theory for nonlinear filters (Abstract) Location: Wean Hall 6423 Date: Monday, February 1, 2010, 5:00 pmName: Silviu Predoiu Affiliation: Carnegie Mellon University Title: On optimal execution policy for a large investorLocation: Wean Hall 6423 Date: Monday, February 8, 2010, 5:00 pmName: Ryan Hynd Affiliation: University of California at Berkeley Title: Option pricing in the large risk aversion, small transaction cost limit (Abstract) Location: Wean Hall 6423 Date: Monday, February 15, 2010, 5:00 pmName: Pietro Siorpaes Affiliation: Department of Mathematical Sciences Carnegie Mellon University Title: On Sobolev's imbedding theorems for parametric families of martingalesLocation: Wean Hall 6423 Date: Monday, February 22, 2010, 5:00 pmName: Sergio Pulido Affiliation: Department of Information Engineering and Operations Research Cornell University Title: Bubbles and contingent claims in markets with short-sale constraints (Abstract) Location: Wean Hall 6423 Date: Monday, March 1, 2010, 5:00 pmName: Yuri Bhaktin Affiliation: Georgia Tech Title: Diffusion Models of Sequential Decision Making (Abstract) Location: Wean Hall 6423 Date: Monday, March 15, 2010, 5:00 pmName: Hang Yu Affiliation: Department of Mathematical Sciences Carnegie Mellon University Title: TBALocation: Wean Hall 6423 Date: Monday, March 22, 2010, 5:00 pmName: Roger Lee Affiliation: Department of Mathematics University of Chicago Title: A Variance Contract is Worth How Many Log Contracts? (Abstract) Location: Wean Hall 6423 Date: Monday, March 29, 2010, 5:00 pmName: Hao Xing Affiliation: Department of Mathematics and Statistics Boston University. Title: TBALocation: Wean Hall 6423 Date: Monday, April 5, 2010, 12:00 pmName: Gordan Zitkovic Affiliation: University of Texas at Austin Title: An overview of some recent progress in incomplete-market equilibria (Abstract) Location: Wean Hall 6423 Date: Monday, April 19, 2010, 5:00 pmName: Ramon van Handel Affiliation: ORFE Princeton Title: An asymptotic theory for nonlinear filters (Abstract) Location: Wean Hall 6423 Date: Monday, April 26, 2010, 5:00 pmName: Tankut Dogrul Affiliation: Department of Mathematics, Carnegie Mellon University Title: An Equilibrium Model with Price ImpactLocation: Wean Hall 6423 |