Financial/Actuarial Mathematics Seminar

Academic Year 2010-2011

Thursdays 3:00-4:00, Room EH 3088 (Unless otherwise noted)

For more information contact Erhan Bayraktar.
This seminar is partially funded by NSF (Erhan Bayraktar), Curtis Huntington, and by the Keene Family Fund (Mattias Jonsson).
You can also see last (2009/10) Year's Seminar Schedule.

Sep 16	Yu-Jui Huang Department of Mathematics University of Michigan	Outperforming the Market Portfolio with a Given Probability.
Sep 30	Jose Alcala Department of Mathematics University of Michigan	Optimizing the exercise boundary for the holder of an American option over a parametric family
Oct 7	Hyejin Kim Department of Mathematics University of Michigan	On the weak convergence of one-dimensional Markov processes.
Oct 14	Gordan Zitkovic Department of Mathematics, University of Texas at Austin	Examples of incomplete-market equilibria in continuous time
Oct 21	Song Yao Department of Mathematics, University of Michigan	Optimal Stopping for Nonlinear Expectations
Oct 29 (Friday)	Mihai Sirbu Department of Mathematics, University of Texas at Austin	Optimal investment with high-watermark performance fee
Nov 4	Zhibin Liang Visiting Scholor at the Department of Mathematics, University of Michigan	Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
Nov 11	Takis Souganidis Department of Mathematics, University of Chicago	Differential Equations Seminar
Nov 12, Friday, 3 p.m. 3088 EH	Kostas Kardaras Department of Mathematics and Statistics, Boston University	On random times
Jan 13	Arash Fahim Department of Mathematics, University of Michigan	Monte Carlo methods in elliptic and parabolic PDEs
Jan 18 (Tuesday)	Gordan Zitkovic Department of Mathematics, University of Texas at Austin	Special Math/Stat Colloquium
Jan 27	Arash Fahim Department of Mathematics, University of Michigan	A Probabilistic Numerical Method for Fully Nonlinear PDEs
Feb 3	Arash Fahim Department of Mathematics, University of Michigan	TBA
Feb 17	Ronnie Sircar Operations Research and Financial Engineering, Princeton University	Exploration and Exhaustibility in Dynamic Cournot Games
March 15 (Tuesday)	SRS Varadhan Department of Mathematics, NYU	Math Colloquium
March 17	Mike Ludkovski Department of Statistics and Applied Probability UCSB	Price Discrepancies and Optimal Timing to Buy Options .
March 22 (Tuesday), 4:10, Alumni Center, Founders Room	Erhan Bayraktar Department of Mathematics University of Michigan	Valuation Equations for Stochastic Volatility Models.
March 31	Ross Kravitz Department of Mathematics University of Michigan	On the Stability of Utility Maximization Problems.
April 14	Traian Pirvu Department of Mathematics and Statistics, McMaster Universityy	Time consistent portfolio management
May 17-20	Workshop on Stochastic Analysis for Finance and Insurance