Financial/Actuarial Mathematics Seminar

Academic Year 2007-2008

Thursdays 3:10-4:00, Room EH 3088

For more information contact Mike Ludkovski or Virginia Young. You can also see last (2006/07) Year's Seminar Schedule.

Winter 2008 Semester

January 10	Jussi Keppo Department of Industrial and Operations Engineering University of Michigan	Optimal Consumption and Portfolio Decisions with Partially Observed Real Prices
January 24	Sergey Levendorskiy Department of Economics University of Texas	Wiener-Hopf factorization as a general method for valuation of real and American options
February 7	Not meeting this week	Not meeting this week
February 21	Kyounghee Kim Department of Mathematics Florida State University	Derivatives of Asian Call option prices
February 28	Not meeting this week	Spring Break
March 6	Semih Sezer Department of Mathematics University of Michigan	Finite Horizon Decision Timing with Partially Observable Poisson Processes
March 13	Stefan Weber School of Operations Research and Information Engineering Cornell University	Optimal Portfolio Choice with Limited Downside Risk
March 20	Thomas Buchmueller Ross School of Business University of Michigan	The Effect of an Employer Health Insurance Mandate on Health Insurance Coverage and the Demand For Labor: The Hawaiian Experience
March 27	Ahmet Duran Department of Mathematics University of Michigan	Spectral Analysis in Mathematical Finance: Intelligent Walk
April 3	Joe Conlon Department of Mathematics University of Michigan	On the Wiener-Hopf factorization method as applied to valuation of options
April 10	Richard Mattison President, Ramstone Capital	Option Pricing in P-Space: An Actuarial Approach
Wednesday, April 16 Special Time: 2pm in EH 4088	Hao Xing Department of Mathematics University of Michigan	Regularity of the optimal exercise boundary of American options for jump diffusions

Fall 2007 Semester

September 13	Erhan Bayraktar Department of Mathematics University of Michigan	On the finite horizon American option pricing problem: A proof of smoothness and an exponentially fast converging scheme
September 20	Hao Xing Department of Mathematics University of Michigan	Pricing Asian options for jump diffusions
October 4	Kasper Larsen Department of Mathematical Sciences Carnegie Mellon University	Continuity of utility-maximization with respect to preferences
Special Time: Wed, October 10	George Yin Department of Mathematics Wayne State University	Switching Diffusions and Applications
October 25	Soumik Pal Department of Mathematics Cornell University	Brownian Motions Interacting through Ranks and a Conjecture by Banner-Fernholz-Karatzas
November 1	Rescheduled: Not meeting this week	Not meeting this week
November 8	Mark O'Reilly Deloitte Consulting LLP, Detroit	Sticky Luck: Why Patterns Persist in an Efficient Market, and Why They Never Change Our Expected Return
November 15	Virginia (Jenny) Young Department of Mathematics University of Michigan	Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio
November 22	Not meeting this week	Thanksgiving Holiday, Not meeting this week
December 6	Mathieu Boudreault HEC Montreal	A structural credit risk model with a reduced-form default trigger