Mathematical Finance Seminar – Spring 2014

probfinmathSchedule 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

Robert Jarrow

Positive Alphas and a Generalized Multiple-Factor Asset

PDF Abstract

2/6/2014

Leif Andersen

High-performance pricing of American options

PDF Abstract

2/13/2014

Rama Cont

Functional Kolmogorov equations

PDF Abstract

2/20/2014

Jean Jacod

Is a discretely observed semimartingale Ito or not?

PDF Abstract

2/27/2014 No Seminar (Minerva Lectures)
3/6/2014

Erhan Bayraktar

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion

PDF Abstract

3/13/2014 No Seminar
3/20/2014 No Seminar
3/27/2014

Emmanuel Gobet

Optimal time-rebalancing

PDF Abstract

4/3/2014

Soumik Pal

Energy, entropy, and arbitrage

PDF Abstract

4/10/2014

George Papanicolaou

Systemic risk

PDF Abstract

4/17/2014

Nicolas Victoir

Calibration of interest rate smile with a stochastic volatility model

PDF Abstract

4/23/2014

Lasse Pedersen

Dynamic Portfolio Choice with Frictions

PDF AbstractPaper link, Appendix

5/1/2014

Chenxu Li

Econometric Analysis of Continuous-time Models: a Closed-form Expansion approach

PDF Abstract