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CCF Seminars Spring 2015
Date: 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 Hall 8220
Submitted by: Steve Shreve
Date: Tuesday, January 20, 2015, 4:30 pm
Name: Camelia Pop
Affiliation: University of Pennsylvania
Title: Harnack inequalities for degenerate diffusions (Abstract)
Location: Wean Hall 8220
Submitted by: Bohman
Date: 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 Hall 6423
Submitted by: Shreve
Date: Thursday, January 29, 2015, 4:30 pm
Name: Joseph Neeman
Affiliation: University of California, Berkeley
Title: Gaussian noise stability (Abstract)
Location: Wean Hall 8220
Submitted by: Bohman
Date: 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 Hall 6423
Submitted by: Shreve
Date: Monday, February 9, 2015, 4:30 pm
Name: Johannes Muhle-Karbe
Affiliation: ETH - Zurich
Title: Sensitivity of Optimal Consumption Streams (Abstract)
Location: Wean Hall 6423
Submitted by: Scott Robertson
Date: Monday, February 16, 2015, 4:30 pm
Name: Frederi G. Viens
Affiliation: Purdue University
Title: Comparison inequalities on Wiener space (Abstract)
Location: Wean Hall 6423
Submitted by: Solesne Bourguin
Date: 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 Hall 6423
Submitted by: Kasper Larsen
Date: 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 Hall 6423
Submitted by: Dmitry Kramkov
Date: 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 Hall 6423
Submitted by: Dmitry Kramkov
Date: 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 Hall 6423
Submitted by: Kasper Larsen
Date: Monday, March 30, 2015, 4:30 pm
Name: Umut Cetin
Affiliation: LSE
Title: Linear Inverse Problems and Market Microstructure (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, April 6, 2015, 4:30 pm
Name: Agostino Capponi
Affiliation: Columbia
Title: Systemic risk: the dynamics under central clearing (Abstract)
Location: Wean Hall 6423
Submitted by: Schwarz
Date: Monday, April 13, 2015, 4:30 pm
Name: Thames Sae Sue
Affiliation: Carnegie Melllon University
Title: Incomplete Radner equilibrium in pure-jump Levy models (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, April 20, 2015, 4:30 pm
Name: Tim Leung
Affiliation: Columbia University
Title: Optimal Mean Reversion Trading with Transaction Costs (Abstract)
Location: Wean Hall 6423
Submitted by: Scott Robertson
Date: Monday, April 27, 2015, 4:30 pm
Name: Todd Kemp
Affiliation: University of California San Diego
Title: Random Matrices, Brownian Motion, and Lie Groups (Abstract)
Location: Wean Hall 6423
Submitted by: Solesne Bourguin
Date: Monday, May 4, 2015, 4:30 pm
Name: Zhe Cheng
Affiliation: Carnegie Mellon University
Title: Mathematical Modeling of an Endogenously Defined Mortgage Rate that Reflects Prepayment Risk (Abstract)
Location: Wean Hall 8220
Submitted by: Scott Robertson