Seminar Event

Results for Financial/Actuarial Mathematics events from 2011-04-30 to 2016-12-31
Future or past events may be found by using the Search tab above.

This seminar is funded by the by Curtis E. Huntington Honorary Fund.

pdf version

Date Speaker Seminar Title
Thursday, September 22, 2011
Start: 3:00 PM
Location: 3088 East Hall *
Kasper Larsen
Carnegie Mellon University
Financial/Actuarial Mathematics Unspanned endowment and dynamical programming with face-lifting

Thursday, September 29, 2011
Start: 3:00 PM
Location: 3088 East Hall *
Yu-Jui Huang
University of Michigan
Financial/Actuarial Mathematics On the Multi-dimensional controller and stopper games

Thursday, October 06, 2011
Start: 3:00 PM
Location: 3088 East Hall *
Arash Fahim
University of Michigan
Financial/Actuarial Mathematics Optimal Production Policy under the Carbon Emission Market

Thursday, October 13, 2011
Start: 3:00 PM
Location: 3088 East Hall *
Olympia Hadjiliadis
CUNY
Financial/Actuarial Mathematics Preventing market crashes through insuring the speed of drawdowns

Thursday, October 27, 2011
Start: 3:00 PM
Location: 3088 East Hall *
Tomoyuki Ichiba
University of California at Santa Barbara
Financial/Actuarial Mathematics On collision of Brownian particles and applications

Tuesday, November 29, 2011
Start: 4:00 PM
Location: See Colloquium page *
Ioannis Karatzas
Columbia University & INTECH
Financial/Actuarial Mathematics Stable Diffusions Interacting through Their Ranks, as Models of Large Equity Markets

Thursday, December 08, 2011
Start: 3:00 PM
Location: 3088 East Hall *
Marcel Nutz
Columbia University
Financial/Actuarial Mathematics Duality and Superreplication under Model Uncertainty

Thursday, January 19, 2012
Start: 3:00 PM
Location: 3088 East Hall *
Sergey Nadtochiy
Oxford
Financial/Actuarial Mathematics MARKET-BASED APPROACH TO MODELING DERIVATIVES PRICES

Thursday, February 02, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Yan Dolinsky
ETH
Financial/Actuarial Mathematics Limit Theorems for Partial Hedging under Transaction Costs

Thursday, February 16, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Mario Ghossoub
University of Montreal
Financial/Actuarial Mathematics On a Class of Monotone Comparative Statics Problems under Heterogeneous Uncertainty, with an Application to Insurance.

Thursday, February 23, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Philip Protter
Columbia University
Financial/Actuarial Mathematics Can one detect a bubble in real time?

Thursday, March 08, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Dennis Ikpe
University of Cape Town
Financial/Actuarial Mathematics American-style derivatives: State space representation and filtering techniques

Monday, April 09, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Jianfeng Zhang
USC
Financial/Actuarial Mathematics Viscosity Solutions of Path Dependent PDEs

Thursday, April 12, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Manuel Morales
University of Montreal
Financial/Actuarial Mathematics On the Ruin Problem for Levy Insurance Risk Processes: A Review and a New Family of Models

Thursday, September 06, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Xiang Yu
UM
Financial/Actuarial Mathematics Utility Maximization with Addictive Consumption Habit Formation in Incomplete Markets

Thursday, September 13, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Sergey Nadtochiy
UM
Financial/Actuarial Mathematics WEAK REFLECTION PRINCIPLE FOR DIFFUSIONS, WITH APPLICATIONS IN FINANCE AND PHYSICS

Thursday, October 04, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Jenny Young
UM
Financial/Actuarial Mathematics Life Insurance Purchasing to Reach a Bequest

Thursday, October 11, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Kazutoshi Yamazaki
Osaka University
Financial/Actuarial Mathematics Optimal Stopping for Spectrally Negative Levy Processes and Applications in Finance

Thursday, October 18, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Peter Carr
Courant Institute and Morgan Stanley
Financial/Actuarial Mathematics Risk, Return, and Ross Recovery

Thursday, October 25, 2012
Start: 3:00 PM
Location: 4096 East Hall *
Ramon van Handel
Princeton University
Financial/Actuarial Mathematics Can one construct nonlinear conditional expectations?

Thursday, November 01, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Jean-Pierre Fouque
UCSB
Financial/Actuarial Mathematics Portfolio Optimization and Stochastic Volatility Asymptotics

Thursday, November 15, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Konstantinos Spiliopoulos
Boston University
Financial/Actuarial Mathematics Recent results on systemic risk in large financial networks

Monday, December 10, 2012
Start: 12:00 PM
Location: 2265 North Quad *
Zhou Zhou
UM
Financial/Actuarial Mathematics Proposal Defense: On controller-stopper problems with jumps and its application to pricing American options

Tuesday, December 11, 2012
Start: 3:00 PM
Location: 1360 East Hall *
Patrick Cheridito
Princeton University
Financial/Actuarial Mathematics Equilibrium pricing in incomplete markets under translation invariant preferences

Thursday, January 10, 2013
Start: 2:30 PM
Location: 1360 East Hall *
Ross Kravitz
UM
Financial/Actuarial Mathematics Thesis Defense: Problems in Optimal Stopping and Control

Friday, February 22, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Pierre Patie
Cornell University
Financial/Actuarial Mathematics Fluctuation theory for completely asymmetric Markov processes

Thursday, February 28, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Darinka Dentcheva
Stevens Institute of Technology
Financial/Actuarial Mathematics Risk-averse optimization via stochastic order constraints

Tuesday, March 12, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Steve Shreve
Carnegie Mellon University
Financial/Actuarial Mathematics Diffusion scaling of a limit-order book model

Thursday, March 21, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Igor Cialenco
Department of Applied Mathematics, Illinois Institute of Technology
Financial/Actuarial Mathematics Dynamic Conic Finance

Thursday, March 28, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Mykhaylo Shkolnikov
UC Berkeley
Financial/Actuarial Mathematics Asymmetrically colliding Brownian particles in stochastic portfolio theory and beyond

Thursday, April 04, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Jin Ma
USC
Financial/Actuarial Mathematics Pathwise Stochastic Taylor Expansion and Forward Path-Dependent PDEs

Thursday, April 11, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Thaleia Zariphopoulou
Oxford University and UT Austin.
Financial/Actuarial Mathematics Postponed to Fall

Tuesday, April 16, 2013
Start: 3:00 PM
Location: 1096 East Hall *
Umut Cetin
London School of Economics
Financial/Actuarial Mathematics Explicit construction of a dynamic Bessel bridge of dimension 3

Thursday, April 18, 2013
Start: 2:50 PM
Location: 1360 East Hall *
Umut Cetin
London School of Economics
Financial/Actuarial Mathematics Risk aversion of market makers and asymmetric information

Tuesday, April 23, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Sebastian Jaimungal
University of Toronto
Financial/Actuarial Mathematics Robust Market Making

Tuesday, April 30, 2013
Start: 1:30 AM
Location: 1096 East Hall *
Yu-Jui Huang
UM
Financial/Actuarial Mathematics Thesis Defense: Topics in Stochastic Control with Applications to Finance

Wednesday, September 04, 2013
Start: 3:00 PM
Location: 3866 East Hall *
Yuchong Zhang
UM
Financial/Actuarial Mathematics Prelim Exam: Fundamental Theorem of Asset Pricing under Transaction Cost and Model Uncertainty

Thursday, September 12, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Gu Wang
UM
Financial/Actuarial Mathematics Consumption in Incomplete Markets

Thursday, September 19, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Sergey Nadtochiy
UM
Financial/Actuarial Mathematics Optimal Investment For All Time Horizons And Evolution Equations With A Wrong Time Direction

Tuesday, September 24, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Jan Obloj
Oxford
Financial/Actuarial Mathematics Two tales in tractable (robust) portfolio optimisation

Thursday, September 26, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Jan Obloj
Oxford University
Financial/Actuarial Mathematics On new advancements in Robust Pricing and Hedging

Tuesday, October 01, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Gechun Liang
Kings College
Financial/Actuarial Mathematics Stochastic control representations for penalized backward stochastic differential equations

Tuesday, October 15, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Johannes Ruf
Oxford University
Financial/Actuarial Mathematics Supermartingales as Radon-Nikodym densities, Novikov's and Kazamaki's criteria, and the distribution of explosion times

Tuesday, October 22, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Dilip Madan
University of Maryland
Financial/Actuarial Mathematics Designing Option Overlays

Thursday, October 31, 2013
Start: 2:30 PM
Location: 1360 East Hall *
Paolo Guasoni
Dublin City University and Boston University
Financial/Actuarial Mathematics Spending and Investment for Shortfall-Averse Endowments

Tuesday, November 05, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Traian Pirvu
McMaster University
Financial/Actuarial Mathematics Time Consistent Portfolio Management

Thursday, December 05, 2013
Start: 3:00 PM
Location: 1360 East Hall *
Tim Leung
Columbia University
Financial/Actuarial Mathematics Optimal Timing to Trade Derivatives for Risk-Neutral and Risk-Averse Investors

Thursday, December 19, 2013
Start: 3:00 PM
Location: 1060 East Hall *
Arash Fahim
Florida State University
Financial/Actuarial Mathematics Model-free arbitrage bounds under constrain

Wednesday, January 29, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Zhou Zhou
UM
Financial/Actuarial Mathematics On hedging American options under model uncertainty

Wednesday, February 19, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Yuchong Zhang
UM
Financial/Actuarial Mathematics MINIMIZING THE PROBABILITY OF LIFETIME RUIN UNDER AMBIGUITY AVERSION

Wednesday, February 26, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Xiang Yu
UM
Financial/Actuarial Mathematics On the Market Viability under Proportional Transaction Costs

Wednesday, March 19, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Richard Sowers
UIUC
Financial/Actuarial Mathematics Cancelled

Wednesday, March 26, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Zhou Zhou
UM
Financial/Actuarial Mathematics On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints

Wednesday, April 02, 2014
Start: 3:00 PM
Location: 242 West Hall *
Tom Hurd
McMaster
Financial/Actuarial Mathematics Contagion channels for financial systemic risk

Tuesday, April 15, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Shige Peng
Shangdong University
Financial/Actuarial Mathematics See the Math Colloquium

Wednesday, April 23, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Ronnie Sircar
Princeton
Financial/Actuarial Mathematics Oligopolies & Mean Field Games

Wednesday, September 03, 2014
Start: 3:00 PM
Location: DENN 271 *
Jiaqi Li
UM
Financial/Actuarial Mathematics Stochastic Perron for Stochastic Target Games

Wednesday, September 10, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Asaf Cohen
UM (coming from Technion)
Financial/Actuarial Mathematics Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise

Wednesday, September 17, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Chris Rogers
Cambridge
Financial/Actuarial Mathematics Combining a babel of models

Wednesday, September 24, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Bahman Angoshtari
UM (coming from Oxford)
Financial/Actuarial Mathematics On the Market-Neutrality of Optimal Convergence Trading Strategies

Wednesday, October 01, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Mike Tehranchi
University of Cambrdige
Financial/Actuarial Mathematics Uniform bounds on implied volatility

Wednesday, October 08, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Ioannis Karatzas
Columbia University
Financial/Actuarial Mathematics Explosions and Arbitrage

Wednesday, October 15, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Rene Carmona
Princeton University
Financial/Actuarial Mathematics Trading Frictions in High Frequency Markets

Tuesday, October 21, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Mete Soner
ETH
Financial/Actuarial Mathematics See the colloquium page

Thursday, October 30, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Scott Robertson
Carnegie Mellon University
Financial/Actuarial Mathematics Indifference pricing for Contingent Claims: Large Deviations Effects

Wednesday, November 05, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Yuchong Zhang
UM
Financial/Actuarial Mathematics Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs

Tuesday, November 25, 2014
Start: 3:00 PM
Location: 1360 East Hall *
Gu Wang
UM
Financial/Actuarial Mathematics Quantile Hedging in a Semi-Static Market with Model Uncertainty

Wednesday, December 03, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Alexander Munk
UM
Financial/Actuarial Mathematics An alpha Stable Limit Theorem Under Sublinear Expectation

Wednesday, December 10, 2014
Start: 4:00 PM
Location: 1360 East Hall *
Zhou Zhou
UM
Financial/Actuarial Mathematics On Zero-sum Optimal Stopping Games

Wednesday, January 14, 2015
Start: 2:00 PM
Location: 1400 Chem *
Aihua Liang and Sherry Hu
Goldman Sachs
Financial/Actuarial Mathematics Risk Management Info Session

Wednesday, January 14, 2015
Start: 4:00 PM
Location: 1360 East Hall *

Goldman Sachs
Financial/Actuarial Mathematics

Wednesday, January 14, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Aihua Liang
Head of fundamental market risk modeling. Goldman Sachs
Financial/Actuarial Mathematics Financial Modeling

Thursday, January 15, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Johannes Muhle-Karbe
ETH, Zurich
Financial/Actuarial Mathematics Trading with Small Frictions

Wednesday, January 21, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Jenny Young
UM
Financial/Actuarial Mathematics Purchasing Term Life Insurance to Reach a Bequest Goal

Wednesday, February 18, 2015
Start: 3:00 PM
Location: 4088 East Hall *
Albert Cohen
Michigan State
Financial/Actuarial Mathematics "Bond and CDS Pricing with Stochastic Recovery: Moody's PD-LGD Correlation Model."

Wednesday, February 18, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Minyi Huang
Carleton University
Financial/Actuarial Mathematics Mean field control: selected topics and applications

Wednesday, February 25, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Thaleia Zariphopoulou
UT Austin
Financial/Actuarial Mathematics Forward investment performance processes

Wednesday, March 11, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Asaf Cohen
UM
Financial/Actuarial Mathematics A Multiclass Queueing Model in the Moderate-Deviation Heavy-Traffic Regime

Wednesday, March 18, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Alex Munk
UM
Financial/Actuarial Mathematics Index Tracking Near Rebalance Dates: A Game-Theoretic Analysis

Thursday, March 19, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Daniel Schwarz
Carnegie Mellon University
Financial/Actuarial Mathematics Integral Representation Theorems for Martingales Motivated by the Problems of Endogenous Completeness and Market Completeness with Derivative Securities

Wednesday, March 25, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Frederi Viens
Purdue University
Financial/Actuarial Mathematics Dynamic portfolio selection with mispricing and model ambiguity

Thursday, March 26, 2015
Start: 3:00 PM
Location: 1372 East Hall *
Virginia Young
UM
Financial/Actuarial Mathematics Purchasing life insurance to reach a bequest goal while consuming

Tuesday, March 31, 2015
Start: 3:00 PM
Location: 1060 East Hall *
Yuchong Zhang
UM
Financial/Actuarial Mathematics Problems in Mathematical Finance Related to Transaction Costs and Model Uncertainty

Wednesday, April 01, 2015
Start: 1:00 PM
Location: 1096 East Hall *
Zhou Zhou
UM
Financial/Actuarial Mathematics Topics in Optimal Stopping and Fundamental Theorem of Asset Pricing

Wednesday, April 01, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Marcel Nutz
Columbia University
Financial/Actuarial Mathematics Martingale Optimal Transport and Robust Finance

Wednesday, April 08, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Jaksa Cvitanic
Caltech
Financial/Actuarial Mathematics Dynamics of Contract Design with Screening

Thursday, April 09, 2015
Start: 3:00 PM
Location: 1372 East Hall *
Xiang Yu
UM
Financial/Actuarial Mathematics Optimal Investment with Unbounded Random Endowments and Transaction Costs: Duality Theory and Connections to the Shadow Price Process

Wednesday, April 15, 2015
Start: 3:00 PM
Location: 4088 East Hall *
Virginia Young
UM
Financial/Actuarial Mathematics Optimal purchasing of deferred income annuities when payout yields are mean-reverting

Wednesday, April 22, 2015
Start: 3:00 PM
Location: 1360 East Hall *
Sergey Nadtochiy
UM
Financial/Actuarial Mathematics Market-Based Models for Derivatives Prices: Theory and Empirical Analysis

Wednesday, May 06, 2015
Start: 3:00 PM
Location: 1360 East Hall *
Johannes Muhle-Karbe
ETH
Financial/Actuarial Mathematics Hedging with small volatility uncertainty

Wednesday, May 13, 2015
Start: 2:00 PM
Location: 1360 East Hall *
Georgios Fellouris
UIUC
Financial/Actuarial Mathematics Almost optimal sequential detection in multiple data streams

Thursday, May 14, 2015
Start: 2:00 PM
Location: 1360 East Hall *
Lifeng Lai
WPI
Financial/Actuarial Mathematics Detecting Changes in High-Dimensional Regression Models

Tuesday, May 26, 2015
Start: 2:00 PM
Location: 1360 East Hall *
Vijay Subramanian
EECS--UM
Financial/Actuarial Mathematics Mean Field Games in Societal Networks

Wednesday, August 26, 2015
Start: 3:00 PM
Location: 1360 East Hall *
Katsumasa Nishide
Yokohama National University
Financial/Actuarial Mathematics Heston-Type Stochastic Volatility with a Markov Switching Regime

Wednesday, September 09, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Yavor Stoev
UM
Financial/Actuarial Mathematics Equilibrium with imbalance of the derivative market

Wednesday, September 23, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Johannes Muhle-Karbe
ETH and UM
Financial/Actuarial Mathematics Information and Inventories in High-Frequency Trading

Wednesday, September 30, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Christian Keller
UM
Financial/Actuarial Mathematics Pathwise classical and viscosity solutions of fully nonlinear SPDEs

Wednesday, October 14, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Andrea Cosso
Paris 7 (Diderot), LPMA
Financial/Actuarial Mathematics Randomization method for optimal control of partially observed path-dependent SDEs

Thursday, October 15, 2015
Start: 3:00 PM
Location: 1360 East Hall *
Jiro Akahori
Ritsumeikan University, Kusatsu, Japan
Financial/Actuarial Mathematics Hedging Error as a Timing Risk and its Static Hedge

Wednesday, October 21, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Leonard Wong
University of Washington
Financial/Actuarial Mathematics Geometry and Optimization of Relative Arbitrage

Wednesday, November 11, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Bahman Angoshtari
UM
Financial/Actuarial Mathematics Predictable Investment Preferences

Tuesday, November 17, 2015
Start: 3:00 PM
Location: 1360 East Hall *
Daniel Lacker
Brown University
Financial/Actuarial Mathematics Liquidity, risk measures, and concentration of measure

Wednesday, November 18, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Daniel Lacker
Brown University
Financial/Actuarial Mathematics Mean field limits for stochastic differential games

Wednesday, December 02, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Alex Cox
University of Bath, UK
Financial/Actuarial Mathematics Model-independent bounds for Asian options: a dynamic programming approach

Wednesday, December 09, 2015
Start: 4:00 PM
Location: 1360 East Hall *
Song Yao
University of Pittsburgh
Financial/Actuarial Mathematics Robust Dynkin games

Wednesday, December 16, 2015
Start: 3:00 PM
Location: 1068 East Hall *
Sergey Nadtochiy
UM
Financial/Actuarial Mathematics Endogenous Formation of Limit Order Books: the Effects of Trading Frequency

Wednesday, January 13, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Johannes Muhle-Karbe
UM
Financial/Actuarial Mathematics Equilibrium Models with Small Frictions

Wednesday, February 03, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Rohini Kumar
Wayne State University
Financial/Actuarial Mathematics Small-time asymptotics for fast mean-reverting stochastic volatility models

Wednesday, February 10, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Dylan Possamai
Paris Dauphine
Financial/Actuarial Mathematics Dynamic Programming Approach to Principal-Agent Problems

Friday, February 12, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Sebastian Hermann
ETH
Financial/Actuarial Mathematics Model Uncertainty, Recalibration, and the Emergence of Delta-Vega Hedging

Wednesday, February 17, 2016
Start: 3:00 PM
Location: 3088 East Hall *
Yavor Stoev
UM
Financial/Actuarial Mathematics Quickest change-point detection problems for multidimensional Wiener processes

Wednesday, February 17, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Abhinav Sinha
EECS, UM
Financial/Actuarial Mathematics Network Mechanism Design

Wednesday, February 24, 2016
Start: 3:00 PM
Location: 4096 East Hall *
Asaf Cohen
UM
Financial/Actuarial Mathematics Risk Sensitive Control of the Lifetime Ruin Problem

Wednesday, March 09, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Chris Miller
UC Berkeley
Financial/Actuarial Mathematics Optimal Control of Conditional Value-at-Risk in Continuous Time

Friday, March 11, 2016
Start: 4:00 PM
Location: 1866 East Hall *
Martin Herdegen
ETH
Financial/Actuarial Mathematics Economically consistent valuations and put-call parity

Wednesday, March 16, 2016
Start: 3:00 PM
Location: 3088 East Hall *
Jinniao Qiu
UM
Financial/Actuarial Mathematics Weak Solution for Fully Nonlinear Stochastic Hamilton-Jacobi-Bellman Equations and its Applications

Wednesday, March 16, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Matin Herdegen
ETH
Financial/Actuarial Mathematics Sensitivity of Optimal Consumption Streams

Wednesday, March 23, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Gustavo Schwenkler
Boston University
Financial/Actuarial Mathematics The Systemic Effects of Benchmarking

Wednesday, March 30, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Christian Keller
UM
Financial/Actuarial Mathematics Viscosity solutions of path-dependent integro-differential equations

Wednesday, April 06, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Tom Bielecki
IIT
Financial/Actuarial Mathematics Dependence between components of multivariate conditional Markov chains: Markov consistency and Markov Copulae

Wednesday, April 13, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Vadim Linetsky
Northwestern
Financial/Actuarial Mathematics Long Forward Measure, Recovery, and the Term Structure of Bond Risk Premiums

Wednesday, April 27, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Mario Ghossub
Imperial College, London
Financial/Actuarial Mathematics Optimal Insurance: Belief Heterogeneity, Ambiguity, and Arrow's Theorem

Thursday, May 26, 2016
Start: 4:00 PM
Location: 1360 East Hall *
Roman Gayduk
UM
Financial/Actuarial Mathematics Endogenous Formation of Limit Order Books And Dynamics Between Trades

Tuesday, August 16, 2016
Start: 3:00 PM
Location: 2866 East Hall *
Jiaqi Li
UM
Financial/Actuarial Mathematics Stochastic Perron for Stochastic Target Problems

Wednesday, September 14, 2016
Start: 4:00 PM
Location: 1360 East Hall
Sebastian Hermann
UM
Financial/Actuarial Mathematics Single Jump Semimartingales and Arbitrage Theory

Wednesday, September 21, 2016
Start: 4:00 PM
Location: 1360 East Hall
Johannes Muhle-Karbe
UM
Financial/Actuarial Mathematics Equilibrium Liquidity Premia

Wednesday, September 28, 2016
Start: 4:00 PM
Location: 1360 East Hall
Sebastian Jaimungal
University of Toronto
Financial/Actuarial Mathematics Algorithmic Trading with Partial Information and Learning

Wednesday, October 05, 2016
Start: 3:00 PM
Location: 3096 East Hall *
Jerome Beneviste
NYU- Courant
Financial/Actuarial Mathematics Market Impact Costs, Model Uncertainty, and Optimal Trading

Wednesday, October 05, 2016
Start: 4:00 PM
Location: 1360 East Hall
Beatrice Acciaio
LSE
Financial/Actuarial Mathematics Model-independent pricing with additional information: a Skorokhod embedding approach.

Wednesday, October 12, 2016
Start: 4:00 PM
Location: 1360 East Hall
Agostino Capponi
Columbia University
Financial/Actuarial Mathematics Intraday Market Making with Overnight Inventory Costs

Wednesday, October 19, 2016
Start: 4:00 PM
Location: 1360 East Hall
Qingshuo Song
City University of Hong Kong
Financial/Actuarial Mathematics Solvability of Fractional Partial Differential Equation with Drichlet boundary

Wednesday, October 26, 2016
Start: 4:00 PM
Location: 1360 East Hall
Andreea Minca
Cornell
Financial/Actuarial Mathematics Control of Interbank Contagion under Partial Information

Wednesday, November 02, 2016
Start: 4:00 PM
Location: 1360 East Hall
Bahman Angoshtari
UM
Financial/Actuarial Mathematics Optimal investment to minimize the probability of drawdown

Wednesday, November 09, 2016
Start: 3:00 PM
Location: 1084 East Hall *
Josef Teichmann
ETH
Financial/Actuarial Mathematics Affine processes and non-linear (partial) differntial equations

Wednesday, November 09, 2016
Start: 4:00 PM
Location: 1360 East Hall
Jussi Keppo
National University of Singapore
Financial/Actuarial Mathematics Opaque Bank Assets and Optimal Equity Capital

Wednesday, November 30, 2016
Start: 4:00 PM
Location: 1360 East Hall
Ibrahim Ekren
ETH
Financial/Actuarial Mathematics Portfolio choice with permanent and temporary transaction costs

Wednesday, December 07, 2016
Start: 4:00 PM
Location: 1360 East Hall
Sasha Stoikov
Cornell University (NYC)
Financial/Actuarial Mathematics The micro-price

 

* non-standard time or location

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