Financial/Actuarial Mathematics Seminar

Academic Year 2008-2009

Thursdays 3:10-4:00, Room EH 3088 (Unless otherwise noted)

For more information contact Erhan Bayraktar or Virginia Young. You can also see last (2007/08) Year's Seminar Schedule.

Fall 2008 Semester

Sep 25	Song Yao Department of Mathematics University of Michigan	Risk Measures and Non-linear Expectations
Oct 2	Virginia Young Department of Mathematics University of Michigan	Minimizing the Probability of Ruin When the Consumption is Ratcheted
Friday, Oct 17	Paolo Guasoni Department of Mathematics Boston University	Portfolios and Risk Premia for the Long Run
Nov 6	Virginia Young Department of Mathematics University of Michigan	Optimal Investment Strategy to Minimize Occupation Time
Ziwet Lectures I Mathematics Colloquium (1360 EH) Tuesday (4 p.m.), Nov 18	Ioannis Karatzas Department of Mathematics Columbia University	Stochastic Portfolio Optimization
Ziwet Lectures II Wednesday, Nov 19, 3-4 p.m. 1518 CC Little Building	Ioannis Karatzas Department of Mathematics Columbia University	Aspects of Stochastic Portfolio Theory
Ziwet Lectures III Thursday, Nov 20, 1-2 p.m. 1096 EH	Ioannis Karatzas Department of Mathematics Columbia University	Optimal Arbitrage

Winter 2009 Semester

January 15	Tomoyuki Ichiba Department of Statistics Columbia University	Hybrid Atlas model of Equity Market
January 22	Scott Robertson Department of Mathematics Boston University	Portfolios and Risk Premia for the Long Run (continued)
January 29	Sergey Nadtochiy Operations Research and Financial Engineering Princeton University	Market Models for European Options
February 4, Wednesday	Guoliang Wu Department of Mathematics University of California Berkeley	Smooth Fit Principle for Multidimensional Impulse Control Problems
February 11, Wednesday	Mitja Stadje Operations Research and Financial Engineering Princeton University	Dynamic Risk Measures and Stochastic Calculus
March 5	Xin Guo Department of Industrial Engineering and Operations Research University of California, Berkeley	Connecting singular controls and switching controls, with applications
March 12	Kostas Kardaras Department of Mathematics Boston University	Numeraire invariant choices in financial modeling and financial equilibria in incomplete markets
March 26	Carole Bernard Department of Statistics and Actuarial Science University of Waterloo	Path-dependent inefficient strategies and how to make them efficient
April 8 (11 a.m. - 12 a.m. in 3088 EH)	Sara Biagini Department of Economics, Finance and Statistics University of Perugia	A natural framework for optimization problems and applications to Mathematical Finance, Part I
April 9	Sara Biagini Department of Economics, Finance and Statistics University of Perugia	A natural framework for optimization problems and applications to Mathematical Finance, Part II
April 16	Jay Vadiveloo Watson Wyatt Professor, University of Connecticut Head of IFS, Hartford Office	To be Announced