Date 
Speaker  Seminar  Title 
Wednesday, August 26, 2015 Start: 3:00 PM
Location: 1360 East Hall * 
Katsumasa Nishide Yokohama National University  Financial/Actuarial Mathematics  HestonType Stochastic Volatility with a Markov Switching Regime 
Wednesday, September 09, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Yavor Stoev UM  Financial/Actuarial Mathematics  Equilibrium with imbalance of the derivative market 
Wednesday, September 23, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Johannes MuhleKarbe ETH and UM  Financial/Actuarial Mathematics  Information and Inventories in HighFrequency Trading 
Wednesday, September 30, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Christian Keller UM  Financial/Actuarial Mathematics  Pathwise classical and viscosity solutions of fully nonlinear SPDEs 
Wednesday, October 14, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Andrea Cosso Paris 7 (Diderot), LPMA  Financial/Actuarial Mathematics  Randomization method for optimal control of partially observed pathdependent SDEs 
Thursday, October 15, 2015 Start: 3:00 PM
Location: 1360 East Hall * 
Jiro Akahori Ritsumeikan University, Kusatsu, Japan  Financial/Actuarial Mathematics  Hedging Error as a Timing Risk and its Static Hedge 
Wednesday, October 21, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Leonard Wong University of Washington  Financial/Actuarial Mathematics  Geometry and Optimization of Relative Arbitrage 
Wednesday, November 11, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Bahman Angoshtari UM  Financial/Actuarial Mathematics  Predictable Investment Preferences 
Tuesday, November 17, 2015 Start: 3:00 PM
Location: 1360 East Hall * 
Daniel Lacker Brown University  Financial/Actuarial Mathematics  Liquidity, risk measures, and concentration of measure 
Wednesday, November 18, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Daniel Lacker Brown University  Financial/Actuarial Mathematics  Mean field limits for stochastic differential games 
Wednesday, December 02, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Alex Cox University of Bath, UK  Financial/Actuarial Mathematics  Modelindependent bounds for Asian options: a dynamic programming approach 
Wednesday, December 09, 2015 Start: 4:00 PM
Location: 1360 East Hall * 
Song Yao University of Pittsburgh  Financial/Actuarial Mathematics  Robust Dynkin games 
Wednesday, December 16, 2015 Start: 3:00 PM
Location: 1068 East Hall * 
Sergey Nadtochiy UM  Financial/Actuarial Mathematics  Endogenous Formation of Limit Order Books: the Effects of Trading Frequency 
Wednesday, January 13, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Johannes MuhleKarbe UM  Financial/Actuarial Mathematics  Equilibrium Models with Small Frictions 
Wednesday, February 03, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Rohini Kumar Wayne State University  Financial/Actuarial Mathematics  Smalltime asymptotics for fast meanreverting stochastic volatility models 
Wednesday, February 10, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Dylan Possamai Paris Dauphine  Financial/Actuarial Mathematics  Dynamic Programming Approach to PrincipalAgent Problems 
Friday, February 12, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Sebastian Hermann ETH  Financial/Actuarial Mathematics  Model Uncertainty, Recalibration, and the Emergence of DeltaVega Hedging 
Wednesday, February 17, 2016 Start: 3:00 PM
Location: 3088 East Hall * 
Yavor Stoev UM  Financial/Actuarial Mathematics  Quickest changepoint detection problems for multidimensional Wiener processes 
Wednesday, February 17, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Abhinav Sinha EECS, UM  Financial/Actuarial Mathematics  Network Mechanism Design 
Wednesday, February 24, 2016 Start: 3:00 PM
Location: 4096 East Hall * 
Asaf Cohen UM  Financial/Actuarial Mathematics  Risk Sensitive Control of the Lifetime Ruin Problem 
Wednesday, March 09, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Chris Miller UC Berkeley  Financial/Actuarial Mathematics  Optimal Control of Conditional ValueatRisk in Continuous Time 
Friday, March 11, 2016 Start: 4:00 PM
Location: 1866 East Hall * 
Martin Herdegen ETH  Financial/Actuarial Mathematics  Economically consistent valuations and putcall parity

Wednesday, March 16, 2016 Start: 3:00 PM
Location: 3088 East Hall * 
Jinniao Qiu UM  Financial/Actuarial Mathematics  Weak Solution for Fully Nonlinear Stochastic HamiltonJacobiBellman Equations and its Applications 
Wednesday, March 16, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Matin Herdegen ETH  Financial/Actuarial Mathematics  Sensitivity of Optimal Consumption Streams 
Wednesday, March 23, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Gustavo Schwenkler Boston University  Financial/Actuarial Mathematics  The Systemic Effects of Benchmarking 
Wednesday, March 30, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Christian Keller UM  Financial/Actuarial Mathematics  Viscosity solutions of pathdependent integrodifferential equations 
Wednesday, April 06, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Tom Bielecki IIT  Financial/Actuarial Mathematics  Dependence between components of multivariate conditional Markov chains: Markov consistency and Markov Copulae 
Wednesday, April 13, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Vadim Linetsky Northwestern  Financial/Actuarial Mathematics  Long Forward Measure, Recovery, and the Term Structure of Bond Risk Premiums 
Wednesday, April 27, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Mario Ghossub Imperial College, London  Financial/Actuarial Mathematics  Optimal Insurance: Belief Heterogeneity, Ambiguity, and Arrow's Theorem 
Thursday, May 26, 2016 Start: 4:00 PM
Location: 1360 East Hall * 
Roman Gayduk UM  Financial/Actuarial Mathematics  Endogenous Formation of Limit Order Books And Dynamics Between Trades 