Mathematical Finance Seminar – Fall 2014

probfinmathSchedule for Fall 2014

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

9/18/2014

Chris Rogers

Combining a babel of models

PDF Abstract

9/25/2014

Ioannis Karatzas

Explosions and arbitrage

PDF Abstract

10/2/2014

Tim Leung

Implied Volatility of Leveraged ETF Options: Consistency and Scaling​

PDF Abstract

10/9/2014

Daniel Lacker

A general characterization of the mean field limit for stochastic differential games

PDF Abstract

10/16/2014

Matheus Grasselli

A stock-flow consistent macroeconomic model for asset price bubbles

PDF Abstract

10/23/2014

H. Mete Soner

(Talk starts at 5pm)

Martingale Optimal Transport

PDF Abstract

10/30/2014

Harvey Stein

Don’t overexpose yourself with risk neutral PFEs and EPEs

PDF Abstract

11/6/2014

Scott Robertson

Indifference pricing for Contingent Claims: Large Deviations Effects

PDF Abstract

11/13/2014 No seminar (SIAM Conference)
11/20/2014

Andreas Kyprianou

Censored stable processes

PDF Abstract

11/27/2014 No seminar (Thanksgiving)
12/4/2014

Mihai Sirbu

Asymptotic Perron’s method and simple Markov strategies in stochastic
games and control

PDF Abstract