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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). Information for outside speakers or visitors can be found here.


Monday, September 8, 2014, 5:00 pm

Name: Dmitry Kramkov
Affiliation: Carnegie Mellon University
Title: A system of quadratic BSDEs arising in a price impact model (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Dmitry Kramkov

Monday, September 15, 2014, 5:00 pm

Name: Jianfeng Zhang
Affiliation: University of Southern California
Title: Viscosity Solutions of Path Dependent PDEs (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Dmitry Kramkov

Monday, September 22, 2014, 5:00 pm

Name: Gautam Iyer
Affiliation: Carnegie Mellon University
Title: Anomalous diffusion of tracer particles in fast cellular flows. (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Dmitry Kramkov

Monday, September 29, 2014, 5:00 pm

Name: Solesne Bourguin
Affiliation: Carnegie Mellon University
Title: Density analysis of BSDEs (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Dmitry Kramkov

Monday, October 6, 2014, 4:30 pm

Name: Paul Glasserman
Affiliation: Columbia Business School
Title: Systemic Risk and the Risk Management Paradox (Abstract)
Location: Cohon University Center - McConomy Auditorium
Status: Completed
Submitted by: Steve Shreve

Tuesday, October 7, 2014, 4:30 pm

Name: Paul Glasserman
Affiliation: Columbia Business School
Title: Market-Triggered Contingent Capital: Equilibrium Price Dynamics (Abstract)
Location: Wean Hall 7500
Status: Completed
Submitted by: Steve Shreve

Monday, October 13, 2014, 5:00 pm

Name: Claudia Nunes
Affiliation: University of Lisbon, Portugal
Title: Optimal investment with random innovations (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Dmitry Kramkov

Monday, October 20, 2014, 5:00 pm

Name: Konstantinos Spiliopoulos
Affiliation: Boston University
Title: Default Clustering in Large Financial Systems (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Scott Robertson

Monday, October 27, 2014, 5:00 pm

Name: Gustavo Schwenkler
Affiliation: Boston University School of Management
Title: Simulated Likelihood for Discretly Observed Jump-Diffusions (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Scott Robertson

Monday, November 3, 2014, 5:00 pm

Name: Kasper Larsen
Affiliation: CMU
Title: An expansion in the model space in the context of utility maximization (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Kasper Larsen

Monday, November 10, 2014, 5:00 pm

Name: Sergio Pulido
Affiliation: Swiss Finance Institute @ EPFL
Title: Polynomial preserving processes on quadric sets (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Dmitry Kramkov

Monday, November 17, 2014, 5:00 pm

Name: TBA
Affiliation:
Title: TBA
Location: Porter Hall 226C
Status: Timeslot
Submitted by: Dmitry Kramkov

Monday, November 24, 2014, 5:00 pm

Name: Scott Robertson
Affiliation: Carnegie Mellon University
Title: Indifference Pricing for Contingent Claims: Large Deviations Effects (Abstract)
Location: Porter Hall 226C
Status: Completed
Submitted by: Scott Robertson

Canceled

Monday, December 1, 2014, 5:00 pm

Name: Igor Cialenco
Affiliation: IIT
Title: Market making via sub-scale invariant Dynamic Acceptability Indices (Abstract)
Location: Porter Hall 226C
Status: Canceled
Submitted by: Kasper Larsen

Monday, December 1, 2014, 5:00 pm

Name: Georg Menz
Affiliation: Stanford
Title: A two scale proof of the Eyring-Kramers formula (joint work with Andre Schlichting) (Abstract)
Location: Porter Hall 226 C
Status: Completed

Friday, December 5, 2014, 4:30 pm

Name: Wei-Kuo Chen
Affiliation: University of Chicago
Title: On some Gaussian inequalities arising from the study of the Sherrington-Kirkpatrick mean-field spin glass. (Abstract)
Location: Wean 8220
Status: Completed

Monday, January 12, 2015, 5:00 pm

Name: TBA
Affiliation:
Title: TBA
Location:
Status: Timeslot

Monday, January 19, 2015, 5:00 pm

Name: TBA
Affiliation:
Title: TBA
Location:
Status: Timeslot

Tuesday, January 20, 2015, 4:30 pm

Name: Camelia Pop
Affiliation: University of Pennsylvania
Title: TBA
Location: Wean 8220
Status: Scheduled
Submitted by: Bohman

Canceled

Monday, January 26, 2015, 5:00 pm

Name: Tim Leung
Affiliation: Columbia University
Title: TBA
Location:
Status: Canceled
Submitted by: Scott Robertson

Thursday, January 29, 2015, 4:30 pm

Name: Joseph Neeman
Affiliation: University of California, Berkeley
Title: TBA
Location: Wean 8220
Status: Scheduled
Submitted by: Bohman

Monday, February 2, 2015, 5:00 pm

Name: Johannes Muhle-Karbe
Affiliation: ETH - Zurich
Title: TBA
Location:
Status: Tentative
Submitted by: Scott Robertson

Monday, February 9, 2015, 5:00 pm

Name: Johannes Muhle-Karbe
Affiliation: ETH - Zurich
Title: TBA
Location:
Status: Scheduled
Submitted by: Scott Robertson

Monday, February 16, 2015, 5:00 pm

Name: Frederi G. Viens
Affiliation: Purdue University
Title: TBA (Abstract)
Location: Porter Hall 226C
Status: Scheduled
Submitted by: Solesne Bourguin

Monday, February 23, 2015, 5:00 pm

Name: Igor Cialenco
Affiliation: IIT
Title: Market making via sub-scale invariant Dynamic Acceptability Indices (Abstract)
Location:
Status: Scheduled
Submitted by: Kasper Larsen

Monday, March 2, 2015, 5:00 pm

Name: Mikhail Zhitlukhin
Affiliation: Steklov Mathematical Institute and High School of Economics, Moscow
Title: TBA
Location:
Status: Scheduled
Submitted by: Dmitry Kramkov

Monday, March 16, 2015, 5:00 pm

Name: TBA
Affiliation:
Title: TBA
Location:
Status: Timeslot

Monday, March 23, 2015, 5:00 pm

Name: Umut Cetin
Affiliation: LSE
Title: TBA
Location:
Status: Scheduled
Submitted by: Kasper Larsen

Monday, March 30, 2015, 5:00 pm

Name: Umut Cetin
Affiliation: LSE
Title: TBA
Location:
Status: Scheduled
Submitted by: Kasper Larsen

Monday, April 6, 2015, 5:00 pm

Name: Agostino Capponi
Affiliation: Columbia
Title: TBA
Location: TBA TBA
Status: Scheduled
Submitted by: Schwarz

Monday, April 13, 2015, 5:00 pm

Name: TBA
Affiliation:
Title: TBA
Location:
Status: Timeslot

Monday, April 20, 2015, 5:00 pm

Name: Tim Leung
Affiliation: Columbia University
Title: TBA
Location:
Status: Scheduled
Submitted by: Scott Robertson

Monday, April 27, 2015, 5:00 pm

Name: Todd Kemp
Affiliation: University of California San Diego
Title: TBA (Abstract)
Location: Porter Hall 226C
Status: Scheduled
Submitted by: Solesne Bourguin

Past Seminars: