Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Agoston
Pisztora
and Kavita
Ramanan (Probability), Kasper Larsen,
Dmitry
Kramkov
and Steven Shreve
(Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Fall 2007
Spring 2007,
Fall 2006,
Spring 2006,
Fall 2005,
Spring 2005,
Fall 2004,
Spring 2004,
Fall 2003,
Spring 2003
Schedule for Spring 2008
Schedule for Fall 2008
Fall 2008
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- September 8
-
Christian Gromoll, University of Virginia
- Fluid
limits for shortest remaining processing time queues
- WEDNESDAY, September 17
-
NASH LECTURE TECHNICAL TALK
- Darrell Duffie, Dean Witter Distinguished Professor of Finance, The
Graduate School of Business, Stanford University.
- Capital
Mobility and Asset Pricing
- Time: 4:30 P.M.
- Location: Wean Hall 7500
- Refreshments at 4:00 outside the lecture room.
- THURSDAY, September 18
-
NASH LECTURE
- Darrell Duffie, Dean Witter, Distinguished Professor of Finance, The
Graduate School of Business, Stanford University.
- Dark
Markets
- Time: 4:30 P.M.
- Location: McConomy Auditorium
- Reception will follow in the Tepper Grand Room.
- September 22
-
Albina Danilova, Carnegie Mellon University
- Understanding
Stochastic Volatility
- September 29
-
Dmitry Kramkov, Carnegie Mellon University
- Risk-tolerance
wealth processes and corrections to Black and Scholes
formula due to market imperfections
- October 6
-
Archil Gulisashvili, Ohio University
- Distribution Densities in Stochastic Volatility Models
- THURSDAY, October 16
-
Luciano Campi, University of Dauphine
- Multivariate utility maximization under proportional transaction
costs (joint work with M. Owen)
- Location: Wean Hall 5310
- October 20
-
Luciano Campi, University of Dauphine
- Risk neutral dynamics for spot and forward electricity prices (joint
work with J.M. Marin and N. Touzi)
- October 27
-
Kostas Karadas, Boston University
Topics in markets with limited agent information: viability and the
numeraire
- November 3
-
Kavita Ramanan, Carnegie Mellon University
-
Asymptotic
approximations of many-server queues (based on joint works with
Weining Kang and Haya Kaspi.)
- November 10
-
Uwe Wystup, Frankfurt School of Finance and
Management, Frankfurt, Germany
- Pricing of
First Generation Exotics with the Vanna-Volga Method, pros and
cons
-
- November 17
-
Wenbo Li, University of Delaware
Spectral
Analysis of Brownian Motion with Jump Boundary
- November 24
-
Maxim Bichuch, Carnegie Mellon University
- An Optimal Portfolio of Correlated Futures with Small Transaction
Cost
- December 1
-
Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische
Universitat Munchen
On
asymptotic power-utility based pricing and hedging
- December 5
-
Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische
Universitat Munchen
On
asymptotic utility-based pricing and hedging in affine stochastic volatility
model
December 8
Scott Robertson, Boston University
Portfolios
and Risk Premia for the Long
Wean Hall 6423
PLEASE NOTE ROOM IS BACK TO WEAN.
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