Event Archive

Asymmetrically colliding Brownian particles in stochastic portfolio theory and beyond by Dr. Mykhaylo Shkolnikov
  1. October 29, 2012 - 3:30pm to 5:00pm
Application and Implication of Cointegration in Asset Pricing by Dr. Hoi Ying Wong
  1. October 22, 2012 - 3:30pm to 5:00pm
Optimal Stopping for Spectrally Negative Levy Processes and Applications in Finance by Dr. Kazutoshi Yamazaki
  1. October 19, 2012 - 12:00am
Functional It Weights for Greeks by Yuri Saporito
  1. May 21, 2012 - 3:30pm to 5:00pm
Mean Field Equilibria in Large Scale Stochastic Games by Dr. Sachin Adlakha
  1. May 14, 2012 - 3:30pm to 5:00pm
Two applications of quasi-convex analysis by Dr. Marco Frittelli
  1. April 16, 2012 - 3:30pm to 5:00pm
A Feedback Model for the Financialization of Commodities Prices by Dr. Ronnie Sircar
  1. March 14, 2012 - 3:30pm to 5:00pm
Rough path theory: a quick overview and some applications by Dr. Joscha Diehl
  1. February 29, 2012 - 3:30pm to 5:00pm
A No-arbitrage Model of Liquidity in Financial Markets involving Brownian Sheets by Dr. Henry Schellhorn
  1. February 13, 2012 - 3:30pm to 5:00pm
Stochastic volatility models with long-memory in discrete and continuous time by Dr. Alexandra Chronopoulou
  1. January 23, 2012 - 3:30pm to 5:00pm
Optimal Investment in the Presence of High-water Mark Fees by Dr. Gerard Brunick
  1. January 20, 2012 - 3:30pm to 5:00pm
Numerical Schemes for Stochastic Volatility Models by Dr. Yan Dolinsky
  1. January 18, 2012 - 3:30pm to 5:00pm
MARKET-BASED APPROACH TO MODELING DERIVATIVES PRICES by Dr. Sergey Nadtochiy
  1. January 12, 2012 - 3:30pm to 5:00pm
Planar Diffusions with rank-based characteristics by Dr. Tomoyuki Ichiba
  1. January 11, 2012 - 3:30pm to 5:00pm
Recent results on systemic risk in large financial networks & more by Dr. Konstantinos Spiliopoulos
  1. January 9, 2012 - 3:30pm to 5:00pm
Pricing Credit Derivatives in a Markov Modulated Reduced Form Model by Dr. Srikanth Iyer
  1. November 21, 2011 - 3:30pm to 5:00pm
Portfolio optimization under convex incentive schemes: Duality theory and stochastic volatility by Dr. Stephan Sturm
  1. October 17, 2011 - 3:30pm to 5:00pm
Weak uniqueness for a class of degenerate diffusions with continuous covariance by Dr. Gerard Brunick
  1. October 10, 2011 - 3:30pm to 5:00pm
Parameter Estimation for Fractional SDEs by Dr. Alexandra Chronopoulou
  1. September 28, 2011 - 3:30pm to 5:00pm
An agent-based model for bank formation, bank runs and interbank networks by Prof Matheus Grasselli
  1. June 2, 2011 - 9:30pm to 10:45pm