Financial/Actuarial Mathematics Seminar

Academic Year 2006-2007

Thursdays 3:10-4:00, 3088 East Hall

(unless noted otherwise)

For more information contact Mike Ludkovski or Virginia Young. You can also see last (2005/06) Year's Seminar Schedule.

Winter 2007 Semester

January 25	Lones Smith Department of Economics University of Michigan	The Demand for Information: More Heat than Light
February 1	Virginia (Jenny) Young Department of Mathematics University of Michigan	Pareto Optimal Risk Allocations
February 8	Mike Ludkovski Department of Mathematics University of Michigan	Risk Sharing: Actuarial and Financial Perspectives
Special Time/Room Friday February 16, 3:00pm EH 4088	Peter Bank Department of Mathematics Columbia University	Pricing and Hedging in Illiquid Financial Markets
March 1	Not meeting this week	UM Spring Break
Special Time/Room Tuesday, March 13 3:00pm EH 2866	Joseph Marker Department of Mathematical Sciences Ball State University	Student Experience Developing Models using "Real" Data
March 15	Volodymyr Babich Department of Industrial and Operations Engineering University of Michigan	Dealing with Supplier Bankruptcy: the Costs and Benefits of Financial Subsidies
March 22	Dmitry Kramkov Department of Mathematical Sciences Carnegie Mellon University	Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
March 29	Gunduz Caginalp Department of Mathematics University of Pittsburgh	Asset price dynamics: heterogenous groups and influx of shares or cash
Special Time/Room Friday April 6, 1:00pm EH 2866	Tomasz Bielecki Department of Applied Mathematics Illinois Institute of Technology	Markov Copulae and applications in finance
Special Time/Room Wednesday May 2, 4:00pm EH 3096	Tomas Bjork Department of Finance Stockholm School of Economics	On the timing option in a futures contract

Fall 2006 Semester

September 21	Ahmet Duran Department of Mathematics University of Michigan	Computational Parameter Optimization and Differential Equations For Stock Markets
Special Time Wed October 4, 3:00pm	Ioannis Karatzas Department of Mathematics, Department of Statistics Columbia University	Stochastic Differential Games of Control and Stopping: Some Results and a Lot of Open Problems
October 19	Farid AitSahlia Department of Industrial and Systems Engineering University of Florida	Efficient Pricing of American Options in a Jump-Diffusion Context
October 26	Semih Sezer Department of Mathematics University of Michigan	Sequential Multi-hypotheses Testing About (compound) Poisson Process
November 2	Matt Davison Department of Applied Mathematics University of Western Ontario	Success and failure in (modelling) Deregulated Electricity Markets
November 9	Not meeting this week	Not meeting this week
November 16	Masahiko Egami Department of Mathematics University of Michigan	Optimizing Venture Capital Investments in a Jump Diffusion Model
November 30	Hyekyung Min Department of Mathematics University of Michigan	Optimal Dividend Distribution Control Models
December 7	Mingxin Xu Department of Mathematics University of North Carolina Charlotte	Risk measure pricing and hedging in incomplete markets