Event Archive

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
Application and Implication of Cointegration in Asset Pricing by Dr. Hoi Ying Wong
  1. October 22, 2012 - 3:30pm to 5:00pm
Optimal Stopping for Spectrally Negative Levy Processes and Applications in Finance by Dr. Kazutoshi Yamazaki
  1. October 19, 2012 - 12:00am
Functional It Weights for Greeks by Yuri Saporito
  1. May 21, 2012 - 3:30pm to 5:00pm
Mean Field Equilibria in Large Scale Stochastic Games by Dr. Sachin Adlakha
  1. May 14, 2012 - 3:30pm to 5:00pm
Two applications of quasi-convex analysis by Dr. Marco Frittelli
  1. April 16, 2012 - 3:30pm to 5:00pm
A Feedback Model for the Financialization of Commodities Prices by Dr. Ronnie Sircar
  1. March 14, 2012 - 3:30pm to 5:00pm
Rough path theory: a quick overview and some applications by Dr. Joscha Diehl
  1. February 29, 2012 - 3:30pm to 5:00pm
A No-arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets by Dr. Henry Schellhorn
  1. February 13, 2012 - 3:30pm to 5:00pm
Stochastic volatility models with long-memory in discrete and continuous time by Dr. Alexandra Chronopoulou
  1. January 23, 2012 - 3:30pm to 5:00pm
Optimal Investment in the Presence of High-water Mark Fees by Dr. Gerard Brunick
  1. January 20, 2012 - 3:30pm to 5:00pm