Date 
Speaker  Seminar  Title 
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 
Wednesday, April 04, 2018 Start: 3:00 PM
Location: 4096 East Hall * 
Sergey Nadtochiy
 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  Systemic Risk and Market Confidence 
Wednesday, October 03, 2018 Start: 4:00 PM
Location: 1360 East Hall 
Walter Schachermayer University of Vienna  Financial/Actuarial Mathematics  Van Eenam Lecture II 
Thursday, October 04, 2018 Start: 3:00 PM
Location: 1360 East Hall * 
Walter Schachermayer University of Vienna  Financial/Actuarial Mathematics  Van Eenam Lecture III 