Graduate Students
Center for                           Computational Finance
CCF Home Conferences Seminars Working Groups Nash Lectures Heath Lectures People Open Positions Contact
CCF Seminars

Probability and Computational Finance Seminars

If you have questions or suggestions about the seminar, please contact the organizers: Agoston Pisztora and Gautam Iyer (Probability) and Kasper Larsen, Dmitry Kramkov, Scott Robertson, and Steven Shreve (Mathematical Finance). Information for outside speakers or visitors can be found here.


Monday, January 13, 2014, 5:00 pm

Name: Ibrahim Ekren
Affiliation: University of Southern California
Title: Path-dependent heat equation as an introduction to viscosity solutions of PPDEs (Abstract)
Location: Wean 8220
Status: Completed
Submitted by: Steve Shreve

Monday, January 20, 2014, 5:00 pm

Name: Yuhui Ouyang
Affiliation: CMU
Title: Numerical Approximation of the Valuation Equation for a Stochastic Volatility Model (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Kasper Larsen

Monday, January 27, 2014, 5:30 pm

Name: Jessie Li
Affiliation: UT-Austin
Title: On approximation and existence in the monotone-follower problem (Abstract)
Location: Wean 5310
Status: Completed
Submitted by: Kasper Larsen

Monday, February 3, 2014, 5:00 pm

Name: Phillip Ernst
Affiliation: U Penn
Title: How to Retire Early (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Kasper Larsen

Monday, February 10, 2014, 5:00 pm

Name: Brent Ambrose
Affiliation: Penn State University
Title: The Adjustable Balance Mortgage: Reducing the Value of the Put (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Scott Robertson

Monday, February 17, 2014, 5:00 pm

Name: Kihun Nam
Affiliation: Princeton
Title: BSEs, BSDEs, and fixed points. (Abstract)
Location: Wean 5415
Status: Completed
Submitted by: Kasper Larsen

Monday, March 3, 2014, 5:00 pm

Name: Sergey Nadtochiy
Affiliation: University of Michigan in Ann Arbor
Title: Weak Reflection Principle for Markov Processes. (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 17, 2014, 5:00 pm

Name: Kimberly Weston
Affiliation: CMU
Title: A Counterexample to Indifference Price Stability (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Kasper Larsen

Monday, March 24, 2014, 5:00 pm

Name: Sevak Mkrtchyan
Affiliation: Carnegie Mellon University
Title: The bulk scaling limit of unbounded plane partitions (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 31, 2014, 5:00 pm

Name: Solesne Bourguin
Affiliation: Carnegie Mellon University
Title: Elements of Non-Commutative Probability Theory (Abstract)
Location: Wean 8427
Status: Timeslot
Submitted by: Dmitry Kramkov

Monday, April 7, 2014, 5:00 pm

Name: Patrick Cheridito
Affiliation: ORFE, Princeton
Title: Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Kasper Larsen

Monday, April 14, 2014, 5:00 pm

Name: Fraydoun Rezakhanlou
Affiliation: UC Berkeley
Title: Diffusions with Rough Drifts (Abstract)
Location: Wean 8427
Status: Completed
Submitted by: Gautam Iyer

Monday, April 21, 2014, 5:00 pm

Name: Jin Choi
Affiliation: CMU
Title: Insider trading in the rational equilibrium setup (Abstract)
Location: Wean 8427
Status: Scheduled
Submitted by: Kasper Larsen

Monday, April 28, 2014, 5:00 pm

Name: Daniel Schwarz
Affiliation: Carnegie Mellon University
Title: Integral representation of martingales motivated by the problem of market completion with derivative securities. (Abstract)
Location: Wean 8427
Status: Scheduled
Submitted by: Dmitry Kramkov

Past Seminars: