Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Kavita
Ramanan (Probability)
and Dmitry
Kramkov (Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Fall 2005, Spring 2005, Fall
2004, Spring 2004, Fall 2003, Spring
2003
Current Schedule (Spring 2006)
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- January 23
- Valdo Durrleman, Stanford University.
Coupling Smiles (Abstract).
- January 30
- Emre Erdogan, Columbia University
Ambiguous Chance Constrained Program: Algorithms and
Applications (Abstract).
- February 6
- Marek Rutkowski, University of New South Wales,
Sydney, Australia.
Hedging of credit derivatives in models with totally
unexpected default (Abstract,
Paper, Slides).
- February 20
- Jan Kallsen, Technical University of Munich.
On quadratic hedging in affine stochastic volatility models
(Slides).
- February 27
- Jan Kallsen, Technical University of Munich.
On the structure of general mean-variance hedging
strategies (Slides).
- March 6
- Jason Fulman,
Department of Mathematics, University of Pittsburgh.
An Introduction to Stein's Method (Abstract).
- March 20
- Walter Schachermayer, Technical University of
Vienna.
Superhedging strategies in the presence of transaction
costs.
- March 27
- Anand Vidyasankar,
Statistics Department, Cornell University.
Large Deviations and Local
Limit Theory for Explosive Processes. (Abstract).
- March 29
- Anand Vidyasankar, Statistics Department, Cornell
University
Virtual Clinical Trials and Gibbs conditioning Principle
(Abstract).
- April 3
- Marco Frittelli, University of Florence.
A Unified Framework for Utility Maximization Problems: An
Orlicz Space Approach (Abstract).
- April 10
- Marco Frittelli, University of Florence.
Utility Maximization with Unbounded Semimartingales: on
the Supermartingale Property and on the Indifference Price (Abstract).
- April 17
- Olympia Hadjiliadis, Princeton University.
Detecting a regime change & connections to
mathematical finance (Abstract).
- April 24
- Steve Shreve, Department of Mathematical
Sciences,Carnegie Mellon
University.
The Double Skorohod Map and Real-Time Queues (Abstract).
- April 26
- Philippe Robert, INRIA, Rocquencourt.
Data Structures, Tree Algorithms and Renewal Theorems Abstract)
- May 1
- Philippe Robert, INRIA, Rocquencourt
Stochastic Networks with Multiple Stable Points (Abstract).
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