Graduate Students
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

CCF Seminars Fall 2011
Date: Monday, September 12, 2011, 5:00 pm
Name: Jin Hyuk Choi
Affiliation: UT-Austin
Title: Utility maximization problem with transaction cost (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, September 19, 2011, 5:00 pm
Name: Oleksii Mostovyi
Affiliation: Carnegie Mellon University
Title: Optimal investment with intermediate consumption and random endowment (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, September 26, 2011, 5:00 pm
Name: Xiang Yu
Affiliation: UT-Austin
Title: Utility Maximization with Addictive Consumption Habits in Incomplete Market (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, October 3, 2011, 5:00 pm
Name: Jing Wang
Affiliation: Carnegie Mellon University
Title: The relative valuation of caps and swaptions: theory and empirical evidence (Abstract)
Location:
Submitted by: Steve Shreve
Date: Monday, October 10, 2011, 5:00 pm
Name: Camelia Pop
Affiliation: Rutgers University
Title: Mimicking theorem for generalized Heston-like processes
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, October 17, 2011, 5:00 pm
Name: Kasper Larsen
Affiliation: Carnegie Melllon University
Title: Face-lifting, part II (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, October 24, 2011, 5:00 pm
Name: Dmitry Kramkov
Affiliation: Carnegie Mellon University
Title: On a stochastic differential equation arising in a price impact model (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, October 31, 2011, 5:00 pm
Name: Yan Dolinsky
Affiliation: ETH, Zurich
Title: Hedging of Game Options With the Presence of Transaction Costs (Abstract)
Location: Wean Hall 6423
Submitted by: Kramkov
Date: Monday, November 7, 2011, 5:00 pm
Name: Scott Robertson
Affiliation: Carnegie Mellon University
Title: Utility Indifference Pricing in the Large Claim Limit (Abstract)
Location: Wean Hall 6423
Submitted by: Scott Robertson
Date: Monday, November 14, 2011, 5:00 pm
Name: Sebastian Jaimungal
Affiliation: University of Toronto
Title: Self-Exciting Marked Point Processes for Algorithmic Trading (Abstract)
Location: Wean Hall 6423
Submitted by: Kramkov
Date: Monday, November 21, 2011, 5:00 pm
Name: Sergio Pulido
Affiliation: Carnegie Mellon University
Title: Option pricing and hedging in currency markets modeled with strict local martingales (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, December 5, 2011, 5:00 pm
Name: Song Yao
Affiliation: University of Pittsburgh
Title: Stochastic Differential Games with Unbounded Controls
Location: Wean Hall 6423
Submitted by: Steve Shreve