Seminar Event

Results for Financial/Actuarial Mathematics events from 2011-08-01 to 2030-12-31
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.

Seminar List

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: *
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: *
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

Wednesday, January 11, 2017
Start: 4:00 PM
Location: 1360 East Hall
Jenny Young
UM
Financial/Actuarial Mathematics Purchasing Casualty Insurance to Avoid Lifetime Ruin

Wednesday, January 18, 2017
Start: 4:00 PM
Location: 1360 East Hall
Romuald Elie
Universite Paris-Est and UM (Sabbatical)
Financial/Actuarial Mathematics On the design of optimal incentives in continuous time

Wednesday, January 25, 2017
Start: 4:00 PM
Location: 1360 East Hall
Matthieu Lauriere
NYU Shangai
Financial/Actuarial Mathematics A Dynamic Programming Principle for Mean Field Type Control

Friday, January 27, 2017
Start: 3:00 PM
Location: 1372 East Hall *
Mathieu Lauriere
NYU Shanghai
Financial/Actuarial Mathematics Mean Field Type Control with Congestion

Wednesday, February 01, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Thibaut Mastrolia
Ecole Polytechnique
Financial/Actuarial Mathematics Moral Hazard under Ambiguity

Wednesday, February 01, 2017
Start: 4:00 PM
Location: 1360 East Hall
Dylan Possamai
Paris Dauphine
Financial/Actuarial Mathematics Moral hazard, limited liability, slavery and golden parachutes

Wednesday, February 08, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Romuald Elie
Universite Paris-Est and UM (Sabbatical)
Financial/Actuarial Mathematics When Contract theory meets Mean Field Games

Wednesday, February 08, 2017
Start: 4:00 PM
Location: 1360 East Hall
Jim Gatheral
Baruch College
Financial/Actuarial Mathematics Rough volatility: An overview

Wednesday, February 15, 2017
Start: 2:00 PM
Location: 1866 East Hall *
Sergey Nadtochiy
UM
Financial/Actuarial Mathematics Particle Systems with Singular Interaction: application in Systemic Risk modeling

Wednesday, February 15, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Daniel Lacker
Brown
Financial/Actuarial Mathematics From the master equation to mean field game limits, fluctuations, and large deviations

Wednesday, February 22, 2017
Start: 2:00 PM
Location: 1866 East Hall *
Zhibin Liang
Nanjing Normal University
Financial/Actuarial Mathematics Some optimization problems for the risk model with dependence structure

Wednesday, March 08, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Yavor Stoev
UM
Financial/Actuarial Mathematics Martingale optimal transport with stopping

Wednesday, March 08, 2017
Start: 4:00 PM
Location: 1360 East Hall
Sam Cohen
Oxford
Financial/Actuarial Mathematics Data driven nonlinear expectations for statistical uncertainty

Wednesday, March 15, 2017
Start: 2:00 PM
Location: 1866 East Hall *
Christoph Czichowsky
LSE
Financial/Actuarial Mathematics Portfolio Optimisation, Transaction Costs, Shadow Prices and Fractional Brownian Motion

Wednesday, March 22, 2017
Start: 4:00 PM
Location: 1360 East Hall
Roger Lee
University of Chicago
Financial/Actuarial Mathematics Variance Swaps on Time-Changed Markov Processes

Wednesday, March 29, 2017
Start: 4:00 PM
Location: Palmer Commons *

Financial/Actuarial Mathematics Young Researchers' Workshop

Wednesday, April 05, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Christian Keller
UM
Financial/Actuarial Mathematics Path-dependent hamilton-jacobi equations with locally monotone coefficients in infinite dimensions

Wednesday, April 05, 2017
Start: 4:00 PM
Location: 1360 East Hall
Michalis Anthropelos
University of Piraeus
Financial/Actuarial Mathematics Effective Risk Aversion in Thin Risk-Sharing Markets

Friday, April 07, 2017
Start: 3:00 PM
Location: 1372 East Hall *
Martin Herdegen
Warwick
Financial/Actuarial Mathematics Option Market Making with Competition

Wednesday, April 12, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Alex Munk
UM
Financial/Actuarial Mathematics Crashes & Bubbles: A Heterogeneous Agent Model with Transaction Costs & Learning

Wednesday, April 12, 2017
Start: 4:00 PM
Location: 1360 East Hall
Christoph Czichowsky
London School of Economics
Financial/Actuarial Mathematics The risk tolerance process and the sensitivity of optimal investment and consumption

Wednesday, April 19, 2017
Start: 4:00 PM
Location: 1360 East Hall
Misha Shkolnikov
Princeton
Financial/Actuarial Mathematics Largest eigenvalues of spiked random matrices and reflected Brownian motions

Tuesday, May 09, 2017
Start: 4:00 PM
Location: 1360 East Hall
Roman Gayduk
UM
Financial/Actuarial Mathematics Game-Theoretic Approach for Modeling Market Microstructure

Wednesday, May 31, 2017
Start: 3:00 PM
Location: B844 East Hall *
Alex Munk
UM
Financial/Actuarial Mathematics Beliefs and Uncertainty in Stochastic Modeling

Wednesday, June 07, 2017
Start: 4:00 PM
Location: 1360 East Hall
Jean-Francois Chassagneux
Paris 7
Financial/Actuarial Mathematics Obliquely Reflected BSDEs

Tuesday, June 27, 2017
Start: 3:00 PM
Location: 1372 East Hall *
Arthur Charpentier
Universite Rennes
Financial/Actuarial Mathematics Analyzing some Actuarial Pricing Games

Wednesday, September 06, 2017
Start: 4:00 PM
Location: 1360 East Hall
Xunyu Zhou
Columbia University
Financial/Actuarial Mathematics Time Inconsistency, Self Control and Portfolio Choice

Wednesday, September 13, 2017
Start: 4:00 PM
Location: 1360 East Hall
Mike Ludkovski
UCSB
Financial/Actuarial Mathematics Capacity Expansion Games with Application to Competition in Power Generation Investments

Tuesday, September 19, 2017
Start: 3:00 PM
Location: 4096 East Hall *
Johannes Muhle-Karbe
Carnegie Mellon
Financial/Actuarial Mathematics Equilibrium Price Impact

Wednesday, September 27, 2017
Start: 4:00 PM
Location: 1360 East Hall
Archil Gulisashvili
Ohio University
Financial/Actuarial Mathematics Implied volatility skew in rough stochastic volatility models. Moderate deviation regime

Wednesday, October 04, 2017
Start: 4:00 PM
Location: 1360 EH East Hall *
Zhou Zhou
UM
Financial/Actuarial Mathematics Optimal Equilibrium for Time-Inconsistent Stopping Problems

Wednesday, October 11, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Sebastian Hermann
UM
Financial/Actuarial Mathematics Robust Pricing and Hedging around the Globe

Wednesday, October 11, 2017
Start: 4:00 PM
Location: 1360 East Hall
Nicolas Hernandez
UM
Financial/Actuarial Mathematics Bank monitoring incentives under moral hazard and adverse selection

Wednesday, October 18, 2017
Start: 4:00 PM
Location: 1360 East Hall
Alexandros Saplaouras
UM
Financial/Actuarial Mathematics The stability property of BSDEJ

Thursday, October 19, 2017
Start: 3:00 PM
Location: R2240 Ross School of Business *
Jia Guo
UM
Financial/Actuarial Mathematics Recombining Tree Approximations for Optimal Stopping for Diffusions

Wednesday, October 25, 2017
Start: 3:00 PM
Location: 1866EH East Hall *
Christian Keller
UM
Financial/Actuarial Mathematics Viscosity solutions for fully nonlinear stochastic partial differential equations - a rough path view

Wednesday, November 01, 2017
Start: 4:00 PM
Location: 1360 East Hall
Vathana Ly Vath
ENSIIE
Financial/Actuarial Mathematics Optimal dividend and investment policy with debt covenants

Wednesday, November 08, 2017
Start: 4:00 PM
Location: 1360 East Hall
Mark Schroder
Michigan State
Financial/Actuarial Mathematics The Effects of Competition and Monitoring on R&D Investment: A Dynamic Approach

Wednesday, November 29, 2017
Start: 4:00 PM
Location: 1360 East Hall
Ronnie Sircar
Princeton University
Financial/Actuarial Mathematics Trading, Market Impact and Nonlinear Systems

Tuesday, December 05, 2017
Start: 4:00 PM
Location: 4096 East Hall *
Francois Delarue
Universite Nice-Sophia Antipolis
Financial/Actuarial Mathematics Mean field rough differential equations

Wednesday, December 06, 2017
Start: 4:00 PM
Location: 1360 East Hall
Dylan Possamai
Columbia University
Financial/Actuarial Mathematics Open problems in contract theory

Wednesday, January 03, 2018
Start: 3:00 PM
Location: 1096 East Hall *
Jenny Young
UM
Financial/Actuarial Mathematics Mean-Variance Criterion over a Random Horizon

Wednesday, January 03, 2018
Start: 4:00 PM
Location: 1360 East Hall
Ibrahim Ekren
UM
Financial/Actuarial Mathematics Multidimensional utility maximization with small nonlinear price impact

Wednesday, January 10, 2018
Start: 4:00 PM
Location: 1360 East Hall
Ibrahim Ekren
UM
Financial/Actuarial Mathematics A dynamic equilibrium model for brokerage fees

Wednesday, January 17, 2018
Start: 4:00 PM
Location: 1360 East Hall
Matteo Burzoni
ETH
Financial/Actuarial Mathematics On the martingale selection problem and its connection to arbitrage theory

Wednesday, January 24, 2018
Start: 4:00 PM
Location: 1360 East Hall
Martin Larsson
ETH
Financial/Actuarial Mathematics Generators of measure-valued jump-diffusions

Wednesday, January 31, 2018
Start: 4:00 PM
Location: 1360 East Hall
Gaoyue Guo
Oxford
Financial/Actuarial Mathematics Some numerical aspects of (martingale) optimal transportation

Wednesday, February 07, 2018
Start: 4:00 PM
Location: 1360 East Hall
Thomas Kruse
University of Duisburg-Essen
Financial/Actuarial Mathematics Multilevel Picard approximations for high-dimensional nonlinear parabolic partial differential equations

Wednesday, February 14, 2018
Start: 4:00 PM
Location: 1360 East Hall
Florian Stebegg
Columbia University
Financial/Actuarial Mathematics Existence of Dual Optimizers in Constrained Transport

Wednesday, February 21, 2018
Start: 4:00 PM
Location: 1360 East Hall
Christoph Belak
University of Trier
Financial/Actuarial Mathematics Utility Maximization with Constant Costs

Monday, March 05, 2018
Start: 4:00 PM
Location: 1360 East Hall
Pierre Cardaliaguet
Paris Dauphine
Financial/Actuarial Mathematics On the (in)efficiency of mean field games.

Wednesday, March 14, 2018
Start: 4:00 PM
Location: 1360 East Hall
Hao Xing
LSE
Financial/Actuarial Mathematics An example of continuous-time Radner equilibrium

Wednesday, March 21, 2018
Start: 4:00 PM
Location: B844 East Hall *
Parsiad Azimzadeh
UM
Financial/Actuarial Mathematics Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities

Tuesday, March 27, 2018
Start: 3:00 PM
Location: Blau Jeff Hall 1580 Ross School of Business *
Jingjie Zhang
UM
Financial/Actuarial Mathematics Time Consistent Stopping For The Mean-Standard Deviation Problem - The Discrete Time Case

Tuesday, April 03, 2018
Start: 4:00 PM
Location: 1360 East Hall
Nizar Touzi
Ecole Polytechnique
Financial/Actuarial Mathematics Math Colloquium/Inaugural Van Eenam Lecture

Wednesday, April 04, 2018
Start: 3:00 PM
Location: 4096 East Hall *
Sergey Nadtochiy
UM
Financial/Actuarial Mathematics Optimal Contract for a Fund Manager, with Capital Injections and Endogenous Constraints.

Wednesday, April 04, 2018
Start: 4:00 PM
Location: 1360 East Hall
Nizar Touzi
Ecole Polytechnique
Financial/Actuarial Mathematics New developments in second order backward SDEs

Thursday, April 05, 2018
Start: 3:00 PM
Location: 1360 East Hall *
Nizar Touzi
Ecole Polytechniqie
Financial/Actuarial Mathematics Branching particles representation for nonlinear Cauchy problems

Wednesday, April 11, 2018
Start: 4:00 PM
Location: 1360 East Hall
Jianfeng Zhang
USC
Financial/Actuarial Mathematics A Martingale Approach for Fractional Brownian Motions and Related Path Dependent PDEs

Wednesday, April 18, 2018
Start: 4:00 PM
Location: 1866 East Hall *
Maxim Bichuch
Johns Hopkins
Financial/Actuarial Mathematics Robust XVA

Wednesday, April 25, 2018
Start: 3:00 PM
Location: 3096 East Hall *
Nicolas Hernandez
UM
Financial/Actuarial Mathematics Contract theory in a VUCA world

Monday, August 27, 2018
Start: 3:00 PM
Location: 1360 East Hall *
Asaf Cohen
University of Haifa
Financial/Actuarial Mathematics Fluctuations in finite state many player games

Wednesday, September 05, 2018
Start: 4:00 PM
Location: 1360 East Hall
Ruoyu Wu
UM
Financial/Actuarial Mathematics Weakly Interacting Particle Systems on Graphs: from Dense to Sparse

Wednesday, September 12, 2018
Start: 4:00 PM
Location: 1360 East Hall
Julio Backhoff
TU Wien
Financial/Actuarial Mathematics Sanov-Type Limit Theorems on Wiener Space: Schrodinger Problems, BSDEs, and Control

Wednesday, September 19, 2018
Start: 4:00 PM
Location: 1360 East Hall
Martin Herdegen
Warwick
Financial/Actuarial Mathematics Equilibrium asset pricing with transaction costs

Wednesday, September 26, 2018
Start: 4:00 PM
Location: 1360 East Hall
Xiaolu Tan
Paris Dauphine
Financial/Actuarial Mathematics From Martingale Optimal Transport problem to the McKean-Vlasov control problem

Wednesday, October 03, 2018
Start: 4:00 PM
Location: 1360 East Hall
Walter Schachermayer
University of Vienna
Financial/Actuarial Mathematics Van Eenam Lecture 2: Cover's Universal Portfolio, Stochastic Portfolio Theory and the Numeraire Portfolio

Thursday, October 04, 2018
Start: 4:00 PM
Location: 1360 East Hall
Walter Schachermayer
University of Vienna
Financial/Actuarial Mathematics Van Eenam Lecture 3: A Trajectorial Interpretation of Doob's Martingale Inequalities.

Wednesday, October 17, 2018
Start: 4:00 PM
Location: 1360 East Hall
Ibrahim Ekren
Florida State University
Financial/Actuarial Mathematics Equilibrium option price with competing market makers

Wednesday, October 24, 2018
Start: 4:00 PM
Location: 1360 East Hall
Martin Larsson
ETH
Financial/Actuarial Mathematics Short- and long-term relative arbitrage in stochastic portfolio theory

Wednesday, November 07, 2018
Start: 4:00 PM
Location: 1360 East Hall
Suman Chakraborty
UM
Financial/Actuarial Mathematics Site percolation on pseudo-random graphs and chromatic number of random subgraphs

Wednesday, November 14, 2018
Start: 4:00 PM
Location: 1360 East Hall
Xin Zhang
UM
Financial/Actuarial Mathematics Transport plans with domain constraints

Wednesday, November 28, 2018
Start: 4:00 PM
Location: 1360 East Hall
Sebastian Hermann
UM
Financial/Actuarial Mathematics Inventory Management for High-Frequency Trading with Imperfect Competition

Wednesday, December 05, 2018
Start: 4:00 PM
Location: 1360 East Hall
Ludovic Tangpi
Princeton University
Financial/Actuarial Mathematics FBSDEs with discontinuous coefficients

Wednesday, December 12, 2018
Start: 3:00 PM
Location: 1360 East Hall *
Gaoyue Guo
UM
Financial/Actuarial Mathematics Robust hedging with local time and Skorokhod embedding

Wednesday, January 16, 2019
Start: 4:00 PM
Location: 1360 East Hall
Kasper Larsen
Rutgers
Financial/Actuarial Mathematics Smart TWAP trading in continuous-time equilibria

Tuesday, January 22, 2019
Start: 12:00 PM
Location: 1866 East Hall *
Moumanti Podder
University of Washington
Financial/Actuarial Mathematics Sofic and percolative entropies of Gibbs measures on regular infinite trees

Wednesday, February 06, 2019
Start: 4:00 PM
Location: 1360 East Hall
Oleksii Mostovyi
UConn
Financial/Actuarial Mathematics Optimal consumption from investment and labor income in a unifying framework of admissibility

Wednesday, February 13, 2019
Start: 4:00 PM
Location: 1360 East Hall
Nils Detering
UCSB
Financial/Actuarial Mathematics Managing Default Contagion in Inhomogeneous Financial Networks

Wednesday, February 27, 2019
Start: 4:00 PM
Location: 1360 East Hall
Jose Figueroa-Lopez
Washington University
Financial/Actuarial Mathematics CANCELED---- Utility Maximization in Hidden Regime-Switching Markets with Default Risk

Wednesday, March 13, 2019
Start: 4:00 PM
Location: 1360 East Hall
Hamed Amini
Georgia State University
Financial/Actuarial Mathematics Contagion risks and security investment in large-scale directed networks

Wednesday, March 13, 2019
Start: 5:00 PM
Location: 1360 East Hall *
Christian Keller
University of Central Florida
Financial/Actuarial Mathematics On path-dependent PDEs

Wednesday, March 20, 2019
Start: 4:00 PM
Location: 1360 East Hall
Jiequn Han
Princeton
Financial/Actuarial Mathematics Deep Learning-Based Numerical Methods for High-Dimensional Parabolic PDEs and Forward-Backward SDEs

Wednesday, March 27, 2019
Start: 4:00 PM
Location: 1360 East Hall
Dylan Possamai
Columbia University
Financial/Actuarial Mathematics A general approach to non-Markovian time-inconsistent stochastic control for sophisticated players

Monday, April 01, 2019
Start: 3:00 PM
Location: 3088 East Hall *
Yili Zhang
UM
Financial/Actuarial Mathematics On the asymptotic optimality of the comb strategy for prediction with expert advice

Wednesday, April 03, 2019
Start: 4:00 PM
Location: 1360 East Hall
Justin Sirignano
UIUC
Financial/Actuarial Mathematics CANCELED. Mean Field Analysis of Neural Networks in Machine Learning

Wednesday, April 17, 2019
Start: 5:00 PM
Location: 1360 East Hall *
Matteo Basei
Berkeley
Financial/Actuarial Mathematics Nonzero-sum stochastic games with impulse controls

Wednesday, April 24, 2019
Start: 4:00 PM
Location: 1360 East Hall
Antonis Papapantaleon
National Technical University of Athens
Financial/Actuarial Mathematics Improved Fréchet-Hoeffding bounds, optimal transport and model-free finance

Monday, April 29, 2019
Start: 4:00 PM
Location: 1096 East Hall *
Jan Obloj
Oxford
Financial/Actuarial Mathematics Information (data-driven) approach to (robust) pricing and hedging

Wednesday, September 04, 2019
Start: 4:00 PM
Location: 1360 East Hall
Dominykas Norgilas
UM
Financial/Actuarial Mathematics Robust approach to pricing of American options

Wednesday, September 18, 2019
Start: 4:00 PM
Location: 4096 East Hall *
Shuoqing Deng
UM
Financial/Actuarial Mathematics Optimal consumption with reference to past spending maximum

Friday, September 20, 2019
Start: 3:00 PM
Location: 4448 East Hall *
Steve Kou
Boston University
Financial/Actuarial Mathematics A Theory of FinTech

Wednesday, September 25, 2019
Start: 4:00 PM
Location: 1360 East Hall
Ioannis Karatzas
Columbia University
Financial/Actuarial Mathematics Van Eenam Lecture #2: Conservative Diffusion as Entropic Gradient Flow

Thursday, September 26, 2019
Start: 4:00 PM
Location: 1360 East Hall
Ioannis Karatzas
Columbia University
Financial/Actuarial Mathematics Van Eenam Lecture #3: The Harrison-Shepp Equation and some of Its Offspring

Wednesday, October 02, 2019
Start: 4:00 PM
Location: 1360 East Hall
Justin Sirignano
UIUC
Financial/Actuarial Mathematics Deep Learning: Applications and Asymptotics

Wednesday, October 09, 2019
Start: 4:00 PM
Location: 1360 East Hall
Dave Goldberg
Cornell
Financial/Actuarial Mathematics Beating the curse of dimensionality in options pricing and optimal stopping

Wednesday, October 30, 2019
Start: 4:00 PM
Location: 1360 East Hall
Thomas Bernhardt
UM
Financial/Actuarial Mathematics Tontines with bequest

Wednesday, November 13, 2019
Start: 4:00 PM
Location: 1360 East Hall
Bin Zou
University of Connecticut
Financial/Actuarial Mathematics Optimal Bookmaking

Wednesday, November 20, 2019
Start: 4:00 PM
Location: 1360 East Hall
Nicolas Hernandez
UM
Financial/Actuarial Mathematics An adverse selection approach to power pricing

Wednesday, December 11, 2019
Start: 4:00 PM
Location: 1360 East Hall
Bahman Angoshtari
University of Washington
Financial/Actuarial Mathematics Optimal Consumption under Habit Formation Constraints

Wednesday, January 08, 2020
Start: 4:00 PM
Location: 1360 East Hall
Ruoyu Wu
UM
Financial/Actuarial Mathematics Mean field interaction on random graphs with dynamically changing multi-color edges

Wednesday, January 15, 2020
Start: 4:00 PM
Location: 1360 East Hall
Gabriel Khan
UM
Financial/Actuarial Mathematics The Regularity of Pseudo-Arbitrages: PROBLEMS

Wednesday, January 22, 2020
Start: 4:00 PM
Location: 1360 East Hall
Xiaoqing Liang
Visiting Scholar at UM
Financial/Actuarial Mathematics Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance

Wednesday, January 29, 2020
Start: 4:00 PM
Location: 1360 East Hall
Daniel Lacker
Columbia University
Financial/Actuarial Mathematics Inverting the Markovian projection, with an application to local stochastic volatility models

Wednesday, February 12, 2020
Start: 4:00 PM
Location: 1360 East Hall
Diogo Gomes
KAUST
Financial/Actuarial Mathematics A price formation mean-field game model.

Wednesday, February 19, 2020
Start: 4:00 PM
Location: 4096 East Hall *
Xin Zhang
UM
Financial/Actuarial Mathematics Finite-Time 4-Expert Prediction Problem

Wednesday, February 26, 2020
Start: 4:00 PM
Location: 1360 East Hall
Leo Neufcourt
MSU
Financial/Actuarial Mathematics Continuous expansion of a filtration with a stochastic process: the information drift.

Wednesday, March 11, 2020
Start: 4:00 PM
Location: 1360 East Hall
Wenpin Tang
UCLA
Financial/Actuarial Mathematics Rank-dependent diffusions and PDEs

Wednesday, April 01, 2020
Start: 4:00 PM
Location: https://bluejeans.com/285526482 East Hall *
Asaf Cohen
UM
Financial/Actuarial Mathematics On singular control problems, the time-stretching method, and the weak-M1 topology

Wednesday, April 08, 2020
Start: 4:00 PM
Location: https://bluejeans.com/285526482 East Hall *
Alexandros Saplaouras
UM
Financial/Actuarial Mathematics Stability of (F)BSDEs under Mémin's framework

Wednesday, April 15, 2020
Start: 4:00 PM
Location: https://bluejeans.com/285526482 East Hall *
Gaoyue Guo
UM
Financial/Actuarial Mathematics POSTPONED

Wednesday, April 22, 2020
Start: 3:00 PM
Location: https://bluejeans.com/608683530 East Hall *
Suman Chakraborty
UM
Financial/Actuarial Mathematics Bootstrap Percolation: Exposition and Some Applications

Wednesday, September 23, 2020
Start: 4:00 PM
Location: https://umich.zoom.us/j/95407665241 Virtual *
Tao Chen
UM
Financial/Actuarial Mathematics Adaptive Robust Stochastic Control

Wednesday, September 30, 2020
Start: 4:00 PM
Location: https://umich.zoom.us/j/95407665241 Virtual *
Wei Yan
UM
Financial/Actuarial Mathematics Time inconsistent optimal control problem and related issues

Wednesday, October 07, 2020
Start: 4:00 PM
Location: https://umich.zoom.us/j/95407665241 Virtual *
Prakash Chakraborty
UM
Financial/Actuarial Mathematics Quenched asymptotics for the parabolic Anderson model with rough spatial noise

Wednesday, October 14, 2020
Start: 4:00 PM
Location: passcode: 790109, https://umich.zoom.us/j/95407665241 Virtual *
Ibrahim Ekren
FSU
Financial/Actuarial Mathematics Information Asymmetry and Optimal Transport

Wednesday, October 21, 2020
Start: 4:00 PM
Location: Passcode: 790109 https://umich.zoom.us/j/95407665241 Virtual *
Indrajit Mitra
Federal Reserve Bank of Atlanta
Financial/Actuarial Mathematics Time-varying Unemployment Benefits

Wednesday, October 28, 2020
Start: 4:00 PM
Location: Passcode: 790109 https://umich.zoom.us/j/95407665241 Virtual *
Xin Zhang
UM
Financial/Actuarial Mathematics Embedding of Walsh Brownian motion

Wednesday, November 04, 2020
Start: 4:00 PM
Location: Passcode: 790109 https://umich.zoom.us/j/95407665241 Virtual *
Yan Dolinsky
University of Jerusalem
Financial/Actuarial Mathematics Stochastic Stability for the Utility Maximization Problem

Wednesday, November 11, 2020
Start: 4:00 PM
Location: Passcode: 790109 https://umich.zoom.us/j/95407665241 Virtual *
Ruoyu Wu
Iowa State
Financial/Actuarial Mathematics Graphon mean field systems: large population and long time limits

Wednesday, November 18, 2020
Start: 4:00 PM
Location: Passcode: 790109 https://umich.zoom.us/j/95407665241 Virtual *
Bahman Angoshtari
University of Miami
Financial/Actuarial Mathematics Optimal Consumption under a Habit-Formation Constraint Based on Average Past Consumption

Wednesday, December 09, 2020
Start: 4:00 PM
Location: https://umich.zoom.us/j/95407665241 Virtual *
Zhenhua Wang
UM
Financial/Actuarial Mathematics The Coin-turning Walk and Its Scaling Limit

Wednesday, January 20, 2021
Start: 4:00 PM
Location: https://umich.zoom.us/j/95407665241 Virtual *
Jenny Young
UM
Financial/Actuarial Mathematics Bowley Solution of a Mean-Variance Game in Insurance

Wednesday, January 27, 2021
Start: 4:00 PM
Location: https://umich.zoom.us/j/95407665241 Virtual *
Gaoyue Guo
UM
Financial/Actuarial Mathematics Wasserstein metric and its financial applications

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