Seminar Event

Results for Financial/Actuarial Mathematics events from 2017-01-01 to 2018-12-31
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

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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 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 TBA

Tuesday, December 05, 2017
Start: 4:00 PM
Location: 4096 East Hall *
Francois Delarue
Université Nice-Sophia Antipolis
Financial/Actuarial Mathematics TBA

Wednesday, December 13, 2017
Start: 3:00 PM
Location: 1866 East Hall *
Jenny Young
UM
Financial/Actuarial Mathematics TBA

Wednesday, December 13, 2017
Start: 4:00 PM
Location: 1866 East Hall *
Ibrahim Ekren
UM
Financial/Actuarial Mathematics TBA

Wednesday, January 17, 2018
Start: 4:00 PM
Location: 1360 East Hall
Matteo Burzoni
ETH
Financial/Actuarial Mathematics TBA

Wednesday, February 07, 2018
Start: 4:00 PM
Location: 1360 East Hall
Thomas Kruse
University of Duisburg-Essen
Financial/Actuarial Mathematics TBA

Wednesday, February 14, 2018
Start: 4:00 PM
Location: 1360 East Hall
Florian Stebegg
Columbia University
Financial/Actuarial Mathematics TBA

Wednesday, February 21, 2018
Start: 4:00 PM
Location: 1360 East Hall
Christoph Belak
University of Trier
Financial/Actuarial Mathematics TBA

Wednesday, April 04, 2018
Start: 4:00 PM
Location: 1360 East Hall
Nizar Touzi
Ecole Polytechnique
Financial/Actuarial Mathematics Van Eenam Lecture-II

Thursday, April 05, 2018
Start: 3:00 PM
Location: 1360 East Hall *
Nizar Touzi
Ecole Polytechniqie
Financial/Actuarial Mathematics Van Eenam Lecture III

Wednesday, April 18, 2018
Start: 4:00 PM
Location: 1360 East Hall
Maxim Bichuch
Johns Hopkins
Financial/Actuarial Mathematics TBA

Seminar List

 

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