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CCF Seminars Spring 2013
Date: Monday, January 28, 2013, 5:00 pm
Name: Richard Sowers
Affiliation: University of Illinois
Title: A multiscale model of high frequency trading (Abstract)
Location: Wean Hall 6423
Submitted by: Shreve
Date: Monday, February 4, 2013, 5:30 pm
Name: Christopher Almost
Affiliation: Carnegie Mellon University
Title: Diffusion scaling of a limit order book model (Abstract)
Location: Wean Hall 6423
Submitted by: Shreve
Date: Monday, February 11, 2013, 5:30 pm
Name: Jing Wang
Affiliation: Carnegie Mellon University
Title: Escrow and Clawback
Location: Wean Hall 6423
Submitted by: Shreve
Date: Monday, February 18, 2013, 5:00 pm
Name: Alexandra Klimova
Affiliation: Carnegie Mellon University
Title: Numerical algorithm for pricing option of Asian type with continuous sampling (Abstract)
Location: Wean Hall 6423
Submitted by: Shreve
Date: Monday, February 25, 2013, 5:00 pm
Name: Jin Choi
Affiliation: Carnegie Melllon University
Title: Continuous time and state equilibrium models (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, March 18, 2013, 5:00 pm
Name: Kim Weston
Affiliation: Carnegie Mellon University
Title: An Equilibrium Model with Limited Market Participation (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, March 25, 2013, 5:00 pm
Name: Birgit Rudloff
Affiliation: Princeton
Title: Time consistency of dynamic risk measures in markets with transaction costs (Abstract)
Location: Wean Hall 6423
Submitted by: Kasper Larsen
Date: Monday, April 1, 2013, 5:00 pm
Name: Mete Soner
Affiliation: ETH, Zurich
Title: Martingale Optimal Transport and Robust Hedging (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, April 8, 2013, 5:00 pm
Name: Sergio Pulido
Affiliation: Carnegie Mellon University
Title: Quadratic BSDEs arising from a price impact model with exponential utility (Abstract)
Location:
Submitted by: Dmitry Kramkov
Date: Monday, April 15, 2013, 5:00 pm
Name: Nicolas Garcia
Affiliation: Carnegie Mellon University
Title: On the rate of convergence of the uniform Monte Carlo integration error via optimal transportation. (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, April 22, 2013, 5:00 pm
Name: Daniel Schwarz
Affiliation: Carnegie Mellon University
Title: FBSDEs --- A Short Review and Applications in Financial Mathematics (Abstract)
Location: Wean Hall 6423
Submitted by: Dmitry Kramkov
Date: Monday, April 29, 2013, 11:30 am
Name: Francois Delarue
Affiliation: Universite Nice Sophia-Antipolis
Title: Fully coupled Forward-Backward SDEs. A Short Review. (Abstract)
Location: Wean Hall 7218
Submitted by: Steve Shreve
Date: Monday, April 29, 2013, 5:00 pm
Name: Francois Delarue
Affiliation: Universite Nice Sophia-Antipolis
Title: Large population stochastic control and backward SDEs (Abstract)
Location: Wean Hall 6423
Submitted by: Shreve
Date: Tuesday, April 30, 2013, 10:00 am
Name: Francois Delarue
Affiliation: Universite Nice Sophia-Antipolis
Title: ome numerical methods for BSDEs (Abstract)
Location: Wean Hall 8220
Submitted by: Shreve