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CCF Seminars Spring 2012
Date: Monday, January 30, 2012, 5:00 pm
Name: Ruoting Gong
Affiliation: Georgia Institute of Technology
Title: Small-time Asymptotics of Options Prices Under Levy-based Models
Location: Wean Hall 5409
Submitted by: Steve Shreve
Date: Monday, February 6, 2012, 5:00 pm
Name: Dmitry Kramkov
Affiliation: Carnegie Mellon University
Title: The existence of continuous-time complete Radner equilibrium
Location: Wean Hall 5409
Submitted by: Dmitry Kramkov
Date: Monday, February 13, 2012, 5:00 pm
Name: Scott Robertson
Affiliation: Carnegie Mellon University
Title: Portfolio Turnpikes in Incomplete Markets (Abstract)
Location: Wean Hall 5409
Submitted by: Scott Robertson
Date: Monday, February 20, 2012, 5:00 pm
Name: Thomas Emmerling
Affiliation: University of Michigan
Title: On the Impulse Control of Jump Diffusions (Abstract)
Location: Wean Hall 5409
Submitted by: Scott Robertson
Date: Monday, February 27, 2012, 5:00 pm
Name: Kasper Larsen
Affiliation: Carnegie Melllon University
Title: Incomplete Continuous-time Securities Markets with Stochastic Income Volatility (Abstract)
Location: Wean Hall 5409
Submitted by: Kasper Larsen
Date: Monday, March 5, 2012, 5:00 pm
Name: Leonid Berlyand
Affiliation: Penn State University
Title: Modeling of collective swimming in random bacterial suspensions (Abstract)
Location: Wean Hall 5409
Submitted by: Dmitry Kramkov
Date: Monday, March 19, 2012, 5:00 pm
Name: Verena Hagspiel
Affiliation: Tilburg University
Title: Optimal Technology Adoption when the Arrival Rate of New Technologies Changes (Abstract)
Location: Wean Hall 5409
Submitted by: Dmitry Kramkov
Date: Monday, March 26, 2012, 5:00 pm
Name: Antoine Jacquier
Affiliation: Imperial College (London)
Title: Generalised small-noise expansion for projected diffusions and applications (Abstract)
Location: Wean Hall 5409
Submitted by: Kasper Larsen
Date: Monday, April 9, 2012, 5:00 pm
Name: Jin Ma
Affiliation: University of Southern California
Title: Ruin Problems under Model Uncertainty (Abstract)
Location: Wean Hall 5409
Submitted by: Dmitry Kramkov
Date: Monday, April 16, 2012, 5:00 pm
Name: Mike Tehranchi
Affiliation: Cambridge
Title: Put-call symmetry and self-duality (Abstract)
Location: Wean Hall 5409
Submitted by: Kasper Larsen
Date: Sunday, April 22, 2012, 5:00 pm
Name: Daniel Schwartz
Affiliation: Carnegie Mellon University
Title: TBA
Location:
Submitted by: Dmitry Kramkov
Date: Monday, April 23, 2012, 5:00 pm
Name: Frank Riedel
Affiliation: Bielefeld
Title: Market Breakdown and Indeterminacy under Model Uncertainty (Abstract)
Location: Wean Hall 5409
Submitted by: Kasper Larsen
Date: Monday, April 30, 2012, 5:00 pm
Name: Kim Weston
Affiliation: Carnegie Mellon University
Title: A superreplication result in an infinite-dimensional market (Abstract)
Location: Wean Hall 5409
Submitted by: Dmitry Kramkov
Date: Monday, May 7, 2012, 5:00 pm
Name: Alexandra Klimova
Affiliation: Carnegie Mellon University
Title: Algorithm for pricing path-dependent options of Asian type (Abstract)
Location: Wean Hall 5409
Submitted by: Steve Shreve