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: * 
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: * 
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 
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 ParisEst 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 ParisEst 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 TimeChanged 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 
Pathdependent hamiltonjacobi 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 RiskSharing 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 
GameTheoretic 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 
JeanFrancois 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 MuhleKarbe 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 TimeInconsistent 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 NiceSophia 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 
MeanVariance 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 measurevalued jumpdiffusions 
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 DuisburgEssen 
Financial/Actuarial Mathematics 
Multilevel Picard approximations for highdimensional 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 continuoustime 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 HamiltonJacobiBellman quasivariational 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 MeanStandard 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 
SanovType 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 McKeanVlasov 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 longterm 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 pseudorandom 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 HighFrequency 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 continuoustime 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 FigueroaLopez Washington University 
Financial/Actuarial Mathematics 
CANCELED Utility Maximization in Hidden RegimeSwitching 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 largescale directed networks 
Wednesday, March 13, 2019 Start: 5:00 PM
Location: 1360 East Hall * 
Christian Keller University of Central Florida 
Financial/Actuarial Mathematics 
On pathdependent PDEs 
Wednesday, March 20, 2019 Start: 4:00 PM
Location: 1360 East Hall 
Jiequn Han Princeton 
Financial/Actuarial Mathematics 
Deep LearningBased Numerical Methods for HighDimensional Parabolic PDEs and ForwardBackward SDEs 
Wednesday, March 27, 2019 Start: 4:00 PM
Location: 1360 East Hall 
Dylan Possamai Columbia University 
Financial/Actuarial Mathematics 
A general approach to nonMarkovian timeinconsistent 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 
Nonzerosum 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 FréchetHoeffding bounds, optimal transport and modelfree finance

Monday, April 29, 2019 Start: 4:00 PM
Location: 1096 East Hall * 
Jan Obloj Oxford 
Financial/Actuarial Mathematics 
Information (datadriven) 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 HarrisonShepp 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 multicolor edges 
Wednesday, January 15, 2020 Start: 4:00 PM
Location: 1360 East Hall 
Gabriel Khan UM 
Financial/Actuarial Mathematics 
The Regularity of PseudoArbitrages: 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 meanfield game model. 
Wednesday, February 19, 2020 Start: 4:00 PM
Location: 4096 East Hall * 
Xin Zhang UM 
Financial/Actuarial Mathematics 
FiniteTime 4Expert 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 
Rankdependent 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 timestretching method, and the weakM1 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 
Timevarying 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 HabitFormation 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 Cointurning 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 MeanVariance 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 