Event Archive

A BSDE approach to super-replication or quantile hedging with risk or portfolio constraint by Dr. Professor Romuald Elie
  1. October 1, 2014 - 3:00pm to 5:00pm
On Control Invariance methods and their use in Finance by Dr. Paolo Cavarani
  1. May 19, 2014 - 3:30pm to 5:00pm
A generalized grouped t-copula with multiple parameters of degrees of freedom and analysis of tail dependence in currency carry trades by Dr. Pavel Shevchenko
  1. April 7, 2014 - 3:30pm to 5:00pm
Market Models with Splits and Mergers by Andrey Sarantsev
  1. March 10, 2014 - 3:30pm to 5:00pm
Robust Quadratic Hedging via G-Expectation (joint work with Francesca Biagini and Thilo Meyer-Brandid) by Dr. Jacopo Mancin
  1. March 4, 2014 - 4:45pm to 5:45pm
Ruin probability for some particular correlated claims, for worsening risks, and risks with infinite mean by Dr. Stéphane Loisel
  1. February 24, 2014 - 3:30pm to 5:00pm
Robust Market Making by Dr. Sebastian Jaimungal
  1. February 10, 2014 - 5:00pm to 6:30pm
Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach by Dr. Tim Leung
  1. February 5, 2014 - 3:30pm to 5:00pm
On Model Uncertainty in Discrete Time by Dr. Marcel Nutz
  1. November 26, 2013 - 3:30pm to 5:00pm
Mathematical models for the formation of financial bubbles by Dr. Francesca Biagini
  1. November 25, 2013 - 3:30pm
Bismut-Elworthy-Li Formulas for Diffusions with Irregular Drift Coefficients by Dr. Thilo Meyer-Brandis
  1. November 18, 2013 - 3:30pm to 5:00pm
Global Ranking Problems, Sequential Design and Applications to Real Options by Ruimeng Hu
  1. November 10, 2013 - 3:30pm to 5:00pm
Ross Recovery in Continuous Time by Dr. Wenjian Liu
  1. October 13, 2013 - 3:30pm to 5:00pm
Markov Tree Option Pricing by Dr. Harish Bhat
  1. May 13, 2013 - 3:30pm to 5:00pm
BSDE, PDE, Nonlinear Expectation and Model Uncertainty by Dr. Shige Peng
  1. May 8, 2013 - 3:30pm to 5:00pm
Integral representation of martingales motivated by the problem of endogenous completeness in financial economics by Dr. Dmitry Kramkov
  1. March 13, 2013 - 3:30pm to 5:00pm
Scales in High Frequency Trading by Dr. Richard Sowers
  1. February 25, 2013 - 3:30pm to 5:00pm
Analysis of VIX Options & Leveraged ETF Options by Dr. Ronnie Sircar
  1. January 28, 2013 - 3:30pm to 5:00pm
Viscosity Solutions of Fully Nonlinear Parabolic Path-Dependent PDEs by Dr. Jianfeng Zhang
  1. November 12, 2012 - 3:30pm to 5:00pm
Asymmetrically colliding Brownian particles in stochastic portfolio theory and beyond by Dr. Mykhaylo Shkolnikov
  1. October 29, 2012 - 3:30pm to 5:00pm