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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 / Gautam Iyer (Probability) and Dmitry Kramkov / Steven Shreve (Mathematical Finance). Further details for outside speakers or visitors


Monday, January 23, 2017, 4:30 pm

Name: Dylan Possamai
Affiliation: CMAP, Ecole Polytechnique, Paris
Title: An introduction and recent progress on Principal-Agent problems (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, February 6, 2017, 4:30 pm

Name: Paolo Guasoni
Affiliation: Boston University/Dublin City College
Title: Nonlinear price impact and portfolio choice (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, February 13, 2017, 4:30 pm

Name: Daniel Lacker
Affiliation: Brown University
Title: From convex risk measures to large deviations and concentration of measure (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, February 20, 2017, 4:30 pm

Name: Jose Figueroa-Lopez
Affiliation: Washington University
Title: Asymptotic methods in financial mathematics (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, February 27, 2017, 4:30 pm

Name: Sergey Nadtochiy
Affiliation: University of Michigan
Title: Control-Stopping Games for Market Microstructure (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, March 6, 2017, 4:30 pm

Name: Dmitry Kramkov
Affiliation: Carnegie Mellon University
Title: Density of probability measures with martingale representation property
Location: Wean Hall 8220
Status: Completed
Submitted by: Dmitry Kramkov

Monday, March 13, 2017, 4:30 pm

Name: Andreea Minca
Affiliation: Cornell University
Title: Mathematical modeling of funding liquidity (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Friday, March 17, 2017, 10:00 am

Name: Johannes Muhle-Karbe
Affiliation: University of Michigan
Title: Equilibrium Liquidity Premia (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, March 20, 2017, 4:30 pm

Name: Zhipeng Liu
Affiliation: Courant Institute of Mathematical Sciences, New York University
Title: TASEP on a ring in relaxation time scale (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, March 27, 2017, 4:30 pm

Name: Cheng Ouyang
Affiliation: University of Illinois at Chicago
Title: Sample path properties of SDEs driven by fractional Brownian motions (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, April 3, 2017, 4:30 pm

Name: Umut Cetin
Affiliation: London School of Economics
Title: Diffusion transformations, Black-Scholes equation and optimal stopping (Abstract)
Location: Wean Hall 8220
Status: Scheduled
Submitted by: Dmitry Kramkov

Monday, April 10, 2017, 4:30 pm

Name: Samy Tindel
Affiliation: Purdue University
Title: TBA
Location: Wean Hall 8220
Status: Scheduled
Submitted by: Steve Shreve

Monday, April 17, 2017, 4:30 pm

Name: Yifan Sun
Affiliation: Carnegie Mellon University
Title: Sampling from a log-concave discribution with Projected Langevin Monte Carlo (Abstract)
Location: Wean Hall 8220
Status: Scheduled
Submitted by: Steve Shreve

Monday, April 24, 2017, 4:30 pm

Name: Yan Xu
Affiliation: Carnegie Mellon University
Title: TBA
Location: Wean Hall 8220
Status: Timeslot
Submitted by: Dmitry Kramkov

Monday, May 1, 2017, 4:30 pm

Name: Erhan Bayraktar
Affiliation: University of Michigan
Title: TBA
Location: Wean Hall 8220
Status: Scheduled
Submitted by: Steve Shreve

Past Seminars: