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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 / Johannes Muhle-Karbe / Steven Shreve (Mathematical Finance). Further details for outside speakers or visitors


Thursday, January 18, 2018, 4:30 pm

Name: Martin Larsson
Affiliation: ETH Zurich
Title: Generators of measure-valued jump-diffusions (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, January 29, 2018, 4:30 pm

Name: Christa Cuchiero
Affiliation: University of Vienna
Title: High and Infinite Dimensional Finance in the Light of Affine and Polynomial Processes (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Steve Shreve

Monday, February 5, 2018, 4:30 pm

Name: Mete Soner
Affiliation: ETH Zurich
Title: Hedging with friction (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, February 12, 2018, 4:30 pm

Name: Marcel Nutz
Affiliation: Columbia University
Title: Supply and shorting in speculative markets (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, February 19, 2018, 4:30 pm

Name: Tahir Choulli
Affiliation: University of Alberta
Title: Optional martingale representation for markets under random horizon with applications. (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Dmitry Kramkov

Monday, February 26, 2018, 4:30 pm

Name: Agostino Capponi
Affiliation: Columbia University
Title: The term structure of liquidity: a liquidation game approach (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, March 5, 2018, 4:30 pm

Name: Yuchong Zhang
Affiliation: Columbia University
Title: Large tournament games (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, March 19, 2018, 4:30 pm

Name: Hao Xing
Affiliation: London School of Economics
Title: An example of continuous-time Radner equilibrium (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, March 26, 2018, 4:30 pm

Name: Christoph Belak
Affiliation: University of Trier
Title: Utility maximization with constant costs (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, April 2, 2018, 4:30 pm

Name: Beatrice Acciaio
Affiliation: London School of Economics
Title: Generalized McKean-Vlasov stochastic control problems (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, April 9, 2018, 4:30 pm

Name: Kevin Webster
Affiliation: Citadel LLC
Title: Leland strategy with both market and limit orders (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, April 16, 2018, 4:30 pm

Name: Kim Weston
Affiliation: Rutgers
Title: Incomplete equilibrium with stochastic interest rates
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, April 23, 2018, 4:30 pm

Name: Xiaolu Tan
Affiliation: Paris Dauphine University
Title: A randomisation approach for super-hedging and utility maximisation problem under transaction costs (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Monday, April 30, 2018, 4:30 pm

Name: Sergey Nadtochiy
Affiliation: University of Michigan
Title: Optimal contract for fund manager, with capital injections and endogenous trading constraints (Abstract)
Location: Wean Hall 8220
Status: Completed
Submitted by: Johannes Muhle-Karbe

Past Seminars: