Math Finance Colloquium Schedule

The MF Colloquiums are held regularly on Mondays, 2:15-3:15, at KAP 414.

SPRING 2012
Date Speaker Affilation Title of Talk Comment
4/16/12 Yingying Fan USC Marshall School of Business Testing and Detecting Jumps Based on a Discretely Observed Process  
3/26/12 Henry Schellhorn Claremont Graduate University

A numerical scheme to solve smooth BSDEs: Applications to path-dependent American option pricing and beyond

2/17/12 Philip Protter Columbia University Can one detect a bubble in real time? Friday, 3:30PM- 4:30PM
2/13/12 Kamal Hamdan Goldman Sacks Modeling Capital Structure in Commodities Intensive Companies
2/6/12 Carol Bernard University of Waterloo, Canada Optimal Portfolios under Worst Case Scenarios
1/27/12 Joscha Diehl TU Berlin Rough Path Theory Friday, 3:30PM- 4:30PM
 
 

FALL 2011
Date Speaker Affilation Title of Talk Comment
11/28/11 Marcel Nutz Columbia University Duality and Superreplicaton under Model Uncertainty  
11/18/11 George Yin Wayne State University Friday, 3:30PM- 4:30PM
11/4/11 Richard Sowers University of Illinois, Urbana-Champaign Friday, 3:30PM- 4:30PM
10/17/11 Erhan Bayraktar University of Michigan Liquidation in Limit Order Books with Controlled Intensity  
10/7/11 Alain Bensoussan University of Texas, Dallas
Friday, 3:30PM- 4:30PM
10/3/11 Monday 4:30- 6 PM
9/23/11 Dilip Madan University of Maryland Capital Minimization as a Hedging Criterion Friday, 3:30PM- 4:30PM
9/12/11 Yaozhong Hu University of Kansas Optimal time to invest with advanced information  
 
 

SPRING 2011

Date Speaker Affilation Title of Talk Comment
4/22/11 Shige Peng Shandong University, China BSDE, PDE and Nonlinear Expectations Friday, 3:30PM- 4:30PM
4/18/11 Thorsten Hens University of Zurich and Swiss Banking Institute The Dark Side of the Moon:  Structured Products from the Customer's Perspective  
4/11/11 Igor Cialenco Illinois Institute of Technology New Dynamic Measures of Performance and Risks in Financial Markets  
4/1/11 Rama Cont Columbia Univ/CNRS France Functional Ito Calculas Friday, 3:30PM- 4:30PM
3/28/11 Min Dai National University of Singapore Optimal Consumption and Investment with Differential Long-term and Short-term Tax Rates
 
3/11/11 Qing Zhang University of Georgia
The Mathematics of Momentum Trading
 Friday, 3:30PM- 4:30PM
2/28/11 Zhaunzin Ding Analytic Investors, Los Angeles The Fundamental Law of Active Portfolio Management  
2/7/11 Kay Giesecke Stanford University Exploring the Sources of Default Clustering Cancelled
 

FALL 2010
Date Speaker Affilation Title of Talk Comment
12/6/10 Shaolin Ji Shandong University, China and Boston University Ambiguous Volatility, Possibility and Utility in Continuous Time  
11/16/10
Morgan Stanley Recruiting Event
 Tuesday,
12:00-4:30
11/15/10 Olaf Menkens Dublin City University, Ireland Optimising Proportional Reinsurance Using a Worst Case Scenario Approach  
11/8/10 Marco Fritelli University of Milano, UCSB On Quasiconvex Dynamic Risk Measures  
10/29/10 Steven Kou Columbia University Pricing Asian Options under a General Jump Diffusion Model Friday,
3:30-4:30
10/22/10 Michael Magill USC Reforming Capitalism Friday,
3:30-4:30
10/11/10 Mihai Sirbu UT Austin Optimal investment with high-watermark performance fee  
9/24/10
20th Anniversary Celebration of CAMS
Friday,
3:30-4:30
9/13/10 Zhen Wu Shandong University, China BSDEs with Markov Chains and Application to Homogenization of PDEs System  
9/3/10 T. I. Lai Stanford University Sequential Monte Carlo methods for rare event simulation Friday, 3:30PM- 4:30PM