Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Agoston
Pisztora (Probability)
and Dmitry
Kramkov (Mathematical Finance).
Information for outside speakers or visitors can be
found here.
Past Schedules
Spring 2006,
Fall 2005,
Spring 2005,
Fall 2004,
Spring 2004,
Fall 2003,
Spring 2003
Current Schedule (Fall 2006)
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- September 11
-
Dmitry Kramkov, Carnegie Mellon University,
Asymptotic analysis of utility based hedging strategies for
small quantities of derivatives
(Paper)
- October 23
- Silviu N. Predoiu Carnegie Mellon
University,
An introduction to Malliavin Calculus with applications to
finance, Part 1
- October 30
- Silviu N. Predoiu Carnegie Mellon
University,
An introduction to Malliavin Calculus with applications to
finance, Part 2
- November 6
- Tom Hurd McMaster
University
Affine Markov chain model of multifirm credit migration
(Abstract)
- November 7, Tuesday, 4:30-5:30 PM, Wean Hall 7500.
-
Kasper Larsen, Carnegie Mellon University
Stability of utility-maximization
(Abstract)
- November 13
- Weining Kang, Carnegie Mellon
University
Diffusion Approximation for an NxN Input Queued Crossbar Switch
Operating under a Maximum Weight matching Algorithm
(Abstract)
- November 20
- Erhan Bayraktar, University of
Michigan
The adaptive Poisson disorder problem
(Abstractj)
- December 4
- This talk will be in Doherty 1212.
Mark Broadie, Columbia University
Dynamic portfolio allocation with taxes
Joint work with Zhidong Wang
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