Schedule 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 |
Integral representation of martingales motivated by the problem of |
2/7/2013 |
First time to exit of a continuous Ito process: general moment |
2/14/2013 |
Option hedging with market Impact |
2/21/2013 |
Fast simulation of Levy processes |
2/28/2013 |
Last passage times: old and new results |
3/7/2013 |
Asymptotics for sums of log-normal random variables and applications to finance |
3/14/2013 | No Seminar |
3/21/2013 | Spring Recess |
3/28/2013 |
Simple equity markets models |
4/4/2013 |
High frequency trading |
4/11/2013 |
Financial equilibrium with preference updating |
4/18/2013 |
A classical Perron method for existence of solutions to European and American-style option pricing problems for degenerate diffusion processes |
4/25/2013 |
BigData, Financial Crises, and Systemic Risk Measurement |