Schedule for Spring 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 |
1/30/2014 |
Positive Alphas and a Generalized Multiple-Factor Asset |
2/6/2014 |
High-performance pricing of American options |
2/13/2014 |
Functional Kolmogorov equations |
2/20/2014 |
Is a discretely observed semimartingale Ito or not? |
2/27/2014 | No Seminar (Minerva Lectures) |
3/6/2014 |
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion |
3/13/2014 | No Seminar |
3/20/2014 | No Seminar |
3/27/2014 |
Optimal time-rebalancing |
4/3/2014 |
Energy, entropy, and arbitrage |
4/10/2014 |
Systemic risk |
4/17/2014 |
Nicolas Victoir Calibration of interest rate smile with a stochastic volatility model |
4/23/2014 |
Dynamic Portfolio Choice with Frictions |
5/1/2014 |
Chenxu Li Econometric Analysis of Continuous-time Models: a Closed-form Expansion approach |