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CCF Seminars Spring 2010
Date: Monday, January 25, 2010, 5:00 pm
Name: Ramon van Handel
Affiliation: ORFE Princeton
Title: An asymptotic theory for nonlinear filters (Abstract)
Location: Wean Hall 6423

Date: Monday, February 1, 2010, 5:00 pm
Name: Silviu Predoiu
Affiliation: Carnegie Mellon University
Title: On optimal execution policy for a large investor
Location: Wean Hall 6423

Date: Monday, February 8, 2010, 5:00 pm
Name: Ryan Hynd
Affiliation: University of California at Berkeley
Title: Option pricing in the large risk aversion, small transaction cost limit (Abstract)
Location: Wean Hall 6423

Date: Monday, February 15, 2010, 5:00 pm
Name: Pietro Siorpaes
Affiliation: Department of Mathematical Sciences Carnegie Mellon University
Title: On Sobolev's imbedding theorems for parametric families of martingales
Location: Wean Hall 6423

Date: Monday, February 22, 2010, 5:00 pm
Name: Sergio Pulido
Affiliation: Department of Information Engineering and Operations Research Cornell University
Title: Bubbles and contingent claims in markets with short-sale constraints (Abstract)
Location: Wean Hall 6423

Date: Monday, March 1, 2010, 5:00 pm
Name: Yuri Bhaktin
Affiliation: Georgia Tech
Title: Diffusion Models of Sequential Decision Making (Abstract)
Location: Wean Hall 6423

Date: Monday, March 15, 2010, 5:00 pm
Name: Hang Yu
Affiliation: Department of Mathematical Sciences Carnegie Mellon University
Title: TBA
Location: Wean Hall 6423

Date: Monday, March 22, 2010, 5:00 pm
Name: Roger Lee
Affiliation: Department of Mathematics University of Chicago
Title: A Variance Contract is Worth How Many Log Contracts? (Abstract)
Location: Wean Hall 6423

Date: Monday, March 29, 2010, 5:00 pm
Name: Hao Xing
Affiliation: Department of Mathematics and Statistics Boston University.
Title: TBA
Location: Wean Hall 6423

Date: Monday, April 5, 2010, 12:00 pm
Name: Gordan Zitkovic
Affiliation: University of Texas at Austin
Title: An overview of some recent progress in incomplete-market equilibria (Abstract)
Location: Wean Hall 6423

Date: Monday, April 19, 2010, 5:00 pm
Name: Ramon van Handel
Affiliation: ORFE Princeton
Title: An asymptotic theory for nonlinear filters (Abstract)
Location: Wean Hall 6423

Date: Monday, April 26, 2010, 5:00 pm
Name: Tankut Dogrul
Affiliation: Department of Mathematics, Carnegie Mellon University
Title: An Equilibrium Model with Price Impact
Location: Wean Hall 6423