Schedule 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 |
Functional Ito Calculus and Financial Applications |
9/19/2013 |
Two tales in tractable (robust) portfolio optimisation |
9/26/2013 |
On Strong Monte Carlo Couplings and Rough Differential Equations |
10/3/2013 |
Large deviations in an interbank lending system |
10/10/2013 |
Large tick assets: implicit spread and optimal tick size |
10/17/2013 |
Systemic risk in large financial networks |
10/24/2013 |
Martingale optimal transport and robust hedging |
10/31/2013 |
Free Boundary SPDE models for the limit order book |
11/7/2013 |
Pricing varaince swaps on time-changed Markov processes |
11/14/2013 |
Model-Independent Finance, Optimal Transport and Skorokhod Embedding |
11/21/2013 |
Speculation and bubbles: The case of finitely lived assets |
11/28/2013 | No Seminar (Thanksgiving) |
12/25/2013 |
Mathematical models for the formation of financial bubbles |