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 facelifting 
Thursday, September 29, 2011 Start: 3:00 PM
Location: 3088 East Hall * 
YuJui Huang University of Michigan  Financial/Actuarial Mathematics  On the Multidimensional 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  MARKETBASED 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  Americanstyle 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 * 
JeanPierre 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 controllerstopper 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  Riskaverse 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 limitorder 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 PathDependent 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 * 
YuJui 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 RadonNikodym 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 ShortfallAverse 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 RiskNeutral and RiskAverse Investors 
Thursday, December 19, 2013 Start: 3:00 PM
Location: 1060 East Hall * 
Arash Fahim Florida State University  Financial/Actuarial Mathematics  Modelfree 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 MarketNeutrality 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 SemiStatic 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 Zerosum 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 MuhleKarbe 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 PDLGD 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 ModerateDeviation HeavyTraffic 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 GameTheoretic 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 meanreverting 
Wednesday, April 22, 2015 Start: 3:00 PM
Location: 1360 East Hall * 
Sergey Nadtochiy UM  Financial/Actuarial Mathematics  MarketBased Models for Derivatives Prices: Theory and Empirical Analysis 
Wednesday, May 06, 2015 Start: 3:00 PM
Location: 1360 East Hall * 
Johannes MuhleKarbe 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 HighDimensional Regression Models 
Tuesday, May 26, 2015 Start: 2:00 PM
Location: 1360 East Hall * 
Vijay Subramanian EECSUM  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  HestonType 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 MuhleKarbe ETH and UM  Financial/Actuarial Mathematics  Information and Inventories in HighFrequency 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 pathdependent 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  Modelindependent 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 MuhleKarbe 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  Smalltime asymptotics for fast meanreverting 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 PrincipalAgent 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 DeltaVega Hedging 
Wednesday, February 17, 2016 Start: 3:00 PM
Location: 3088 East Hall * 
Yavor Stoev UM  Financial/Actuarial Mathematics  Quickest changepoint 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 ValueatRisk 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 putcall 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 HamiltonJacobiBellman 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 pathdependent integrodifferential 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 MuhleKarbe 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  Modelindependent 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 nonlinear (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 microprice 