Financial/Actuarial Mathematics Seminar

Academic Year 2009-2010

Thursdays 4:10-5:00, Room EH 3088 (Unless otherwise noted)

For more information contact Erhan Bayraktar or Virginia Young. You can also see last (2008/09) Year's Seminar Schedule.

Fall 2009 Semester

Sep 24	Qingshuo Song Department of Mathematics University of Michigan	Impulse control and portfolio optimization with general transaction cost
Oct 1	Tom Emmerling Department of Mathematics University of Michigan	Perpetual Cancellable Call Option
Oct 15	Sebatian Jaimungal Department of Statistics University of Toronto	Hitting Time Problems with Applications to Finance and Insurance
Oct 29	Hao Xing Department of Mathematics and Statistics Boston University	Strict Local Martingale Deflators and Pricing American Call-Type Options
Nov 5	Mihai Sirbu Department of Mathematics University of Texas at Austin	Optimal investment on finite horizon with random discrete order flow in illiquid markets
Nov 19	Ting Wang Department of Mathematics University of Michigan	Optimal Strategy to Maximize Utility with Reversible Annuity
Dec 3	Song Yao Department of Mathematics University of Michigan	Optimal Stopping for Dynamic Convex Risk Measures

Winter 2010 Semester

TBA	Rene Carmona Department of Operations Research and Financial Engineering, Princeton University	TBA
TBA	Birgit Rudloff Department of Operations Research and Financial Engineering, Princeton University	TBA
TBA	Nizar Touzi Centre de Mathematiques Appliquees, Ecole Polytechnique	TBA