Seminar Event

Results for Financial/Actuarial Mathematics events from 2015-07-01 to 2016-06-30
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.

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

 

* non-standard time or location

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