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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). Further details for outside speakers or visitors


Monday, February 8, 2016, 4:30 pm

Name: Sebastian Herrmann
Affiliation: ETH
Title: Hedging with Uncertainty-Averse Preferences (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Kasper Larsen

Monday, February 15, 2016, 4:30 pm

Name: Elnur Emrah
Affiliation: University of Wisconsin
Title: Corner growth models with inhomogeneous exponential and geometric weights (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, March 14, 2016, 4:30 pm

Name: Martin Herdegen
Affiliation: ETH
Title: Equilibrium models with small transaction costs (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Kasper Larsen

Monday, March 21, 2016, 4:30 pm

Name: David Saunders
Affiliation: University of Waterloo
Title: Mathematical Analysis of Shared-Loss Fee Structures for Hedge Funds (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Kasper Larsen

Monday, March 28, 2016, 4:30 pm

Name: Tetsuya Ishikawa
Affiliation: Carnegie Mellon University
Title: Optimal Investment and Pricing in Models where the Underlying Asset May Default (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Scott Robertson

Monday, April 4, 2016, 4:30 pm

Name: Thorsten Rheinlander
Affiliation: Vienna University of Technology
Title: Brownian trading excursions
Location: Wean Hall 8220
Status: Completed
Submitted by: Dmitry Kramkov

Monday, April 18, 2016, 4:30 pm

Name: Johannes Muhle-Karbe
Affiliation: Michigan University
Title: Portfolio Choice with Small Nonlinear Price Impact (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Kasper Larsen

Monday, April 25, 2016, 4:30 pm

Name: Praveen Kolli
Affiliation: Carnegie Mellon University
Title: Central Limit Theorem for Rank-Based Diffusions
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Past Seminars: