Mathematical Finance Seminar – Spring 2013

probfinmathSchedule for Spring 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

1/31/2013

Dmitry Kramkov

Integral representation of martingales motivated by the problem of
endogenous completeness in financial economics

PDF Abstract

2/7/2013

Bruno Bouchard

First time to exit of a continuous Ito process: general moment
estimates and L1-convergence rate for discrete-time approximations

PDF Abstract

2/14/2013

Robert Almgren

Option hedging with market Impact

PDF Abstract

2/21/2013

Dmitriy Boyarchenko

Fast simulation of Levy processes

PDF Abstract

2/28/2013

Ashkan Nikeghbali

Last passage times: old and new results

PDF Abstract

3/7/2013

Peter Tankov

Asymptotics for sums of log-normal random variables and applications to finance

PDF Abstract

3/14/2013 No Seminar 
3/21/2013 Spring Recess
3/28/2013

Vassilios Papathanakos

Simple equity markets models

PDF Abstract

 4/4/2013

Andrei Kirilenko

High frequency trading 

 4/11/2013

Constantinos Kardaras

Financial equilibrium with preference updating

PDF Abstract

4/18/2013

Paul Feehan

A classical Perron method for existence of solutions to European and American-style option pricing problems for degenerate diffusion processes

PDF Abstract

 4/25/2013

Andrew W. Lo

BigData, Financial Crises, and Systemic Risk Measurement

PDF Abstract