Mathematical Finance Seminar – Fall 2013

probfinmathSchedule for Fall 2013

Seminars are on Thursdays
Time: 4:10pm – 5:25pm
Location: Columbia University, 903 SSW (1255 Amsterdam Ave, between 121st and 122nd Street)

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

Date

Description

9/12/2013

Bruno Dupire

Functional Ito Calculus and Financial Applications

PDF Abstract

9/19/2013

Jan Obloj

Two tales in tractable (robust) portfolio optimisation

PDF Abstract

9/26/2013

José Blanchet

On Strong Monte Carlo Couplings and Rough Differential Equations

PDF Abstract

10/3/2013

Tomoyuki Ichiba

Large deviations in an interbank lending system

PDF Abstract

10/10/2013

Mathieu Rosenbaum

Large tick assets: implicit spread and optimal tick size

PDF Abstract

10/17/2013

Konstantinos Spiliopoulos

Systemic risk in large financial networks

PDF Abstract

10/24/2013

Nizar Touzi

Martingale optimal transport and robust hedging

PDF Abstract

10/31/2013

Martin Keller-Ressel

Free Boundary SPDE models for the limit order book

PDF Abstract

11/7/2013

Matthew Lorig

Pricing varaince swaps on time-changed Markov processes

PDF Abstract

11/14/2013

Mathias Beiglböck

Model-Independent Finance, Optimal Transport and Skorokhod Embedding

PDF Abstract

11/21/2013

José Scheinkman

Speculation and bubbles: The case of finitely lived assets

PDF Abstract

11/28/2013 No Seminar (Thanksgiving)
12/25/2013

Francesca Biagini

Mathematical models for the formation of financial bubbles

PDF Abstract