Mathematical Finance Seminar – Fall 2012

probfinmathSchedule for Fall 2012

Seminars are on Thursdays
Time: 4:10pm – 5:25pm
Location: Columbia University, 500 West 120th Street, Room 627 MUDD, 6th Floor (Google map)

Organizers: Ioannis Karatzas, Philip Protter, Marcel Nutz, Hongzhong Zhang

Date

Description

9/13/2012

Peter Carr

Risk, Return, and Ross Recovery

PDF AbstractSlides, J. Long’s paper

9/20/2012

Jean-Pierre Fouque

Portfolio Optimization and Stochastic Volatility Asymptotics

PDF Abstract

9/27/2012

No Seminar

10/4/2012

Paul Glasserman

Market-Triggered Changes in Capital Structure: Equilibrium Price Dynamics

PDF Abstract

10/11/12

Patrick Cheridito

Equilibrium Pricing in Incomplete Markets under Translation Invariant Preferences 

PDF Abstract

10/18/12

Gordan Zitkovic 

On Facelifting in Mathematical Finance

PDF AbstractSlides

10/25/12

Jin Ma

Pathwise Stochastic Taylor Expansion and Forward Path-Dependent PDEs

PDF Abstract

11/1/12

Peter Tankov

Cancelled due to Sandy 

11/8/12

Umut Cetin

Asymmetric Information, Risk Sharing and Market Liquidity

PDF Abstract

11/15/12

Yacine Ait-Sahalia

5-6pm, 702 Hamilton

Portfolio Choice in Markets with Contagion

PDF Abstract, Slides

11/22/12

No Seminar

Happy Thanksgiving!

11/29/12

Maria Grith

An Axiomatic and Data Driven View on the EPK Paradox

PDF Abstract

12/6/15

Richard Sowers

Stochastic Latency

PDF Abstract

12/13/15

Sergey Nadtochiy

Optimal Investment for All Time Horizons and Evolution Equations with A Wrong Time Direction

PDF Abstract