Schedule 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 |
Combining a babel of models |
9/25/2014 |
Explosions and arbitrage |
10/2/2014 |
Implied Volatility of Leveraged ETF Options: Consistency and Scaling |
10/9/2014 |
A general characterization of the mean field limit for stochastic differential games |
10/16/2014 |
A stock-flow consistent macroeconomic model for asset price bubbles |
10/23/2014 |
(Talk starts at 5pm) Martingale Optimal Transport |
10/30/2014 |
Don’t overexpose yourself with risk neutral PFEs and EPEs |
11/6/2014 |
Indifference pricing for Contingent Claims: Large Deviations Effects |
11/13/2014 | No seminar (SIAM Conference) |
11/20/2014 |
Censored stable processes |
11/27/2014 | No seminar (Thanksgiving) |
12/4/2014 |
Asymptotic Perron’s method and simple Markov strategies in stochastic |