The MF Colloquiums are held regularly on Mondays, 2:00 PM - 3:00 PM, at KAP 414 (unless otherwise noted)

Date Speaker Affiliation Title of Talk Comment
5/8/15 Xunyu Zhou Oxford University

Optimal exit time from casino gambling:
Why a lucky coin and a good memory matter

3:30 PM - 4:30 PM
5/4/15 Frederi Viens Purdue University A Pure-Jump Market-Making Model for High-
Frequency Trading using Constrained FBSDEs
4/27/15 Kasper Larsen Carnegie Mellon University Facelifting in Utility Maximization  
4/20/15 Huyen Pham University of Paris VII, Diderot Robust feedback switching control problem

(Click here for slides)

4/6/15 Xin Guo UC Berkeley

Dynamics of Order Positions in a
Limit Order Book (LOB)

(Click here for slides)

2/27/15 Joscha Diehl TU Berlin, Germany Singular stochastic PDEs on Lie groups 3:30 PM - 4:30 PM
2/23/15 Tomoyuki Ichiba UC Santa Barbara

Diffusions with rank-based characteristics
and values in the nonnegative quadrant

(Click here for slides)

2/9/15 Andrzej Swiech Georgia Tech

Bellman integro-PDE in Hilbert spaces and optimal
control of stochastic PDE driven by Levy type noise.

(Click here for slides)

1/30/15 Zhenjie Ren Ecole Polytechnique, France Viscosity solution of semi-linear path dependent PDE  
1/26/15 Daniel Lacker Princeton

A general characterization of the mean fi eld
limit for stochastic di fferential games

(Click here for slides)




FALL 2014

Date Speaker Affiliation Title of Talk Comment
12/1/14 Knut Solna UC Irvine Cancelled                                                                 
11/14/14 Carl Mueller University of Rochester

Do Stochastic PDE hit points or have
double points in the critical dimensions?

3:30 PM - 4:30 PM
11/13/14 2014 USC Quants Job Informational/Q&A Session  
11/10/14  Stanislav Minsker Duke University and Wells Fargo Securities Robust and scalable statistical estimation:
a tale of the geometric median
10/27/14 Rene Carmona
Trading Frictions in High Frequency Markets  

************DOUBLE HEADER*************

Morgan Stanley Presentation
12:00 PM- 3:00 PM
Lunch will be provided to those who RSVP to the link.
(****Examination will occur between 2 PM - 3 PM****)

Dr. Peter Carr, Managing Partner, Morgan Stanley
3:15- 4:30 PM
Derivatives, Diffusion, and Duality

(Click here for slides)

10/6/14 Matheus Grasselli McMaster University, Canada

Asset price dynamics in a stock-flow consistent macroeconomic model

(Click here for slides)

9/29/14 Elie Romuald Univeristy of Paris, Dauphine

Dealing with partial hedging or risk management constraints via BSDEs with weak reflections

(Click here for slides)

9/22/14 Soumik Pal University of Washington, Seattle

The Geometry of Relative Arbitrage

(Click here for slides)



Date Speaker Affiliation Title of Talk Comment
5/5/14 Frederi Viens Purdue University Robust optimization problems for quantitative finance and insurance models
under parameter ambiguity
5/2/14 Samy Tindel Universite de Lorraine, France Viscosity solutions to fully nonlinear stochastic PDEs and rough paths 3:30 PM - 4:30 PM
4/21/14 Alex Lipton Bank of America, Imperial College London Three-dimensional Brownian motion
and its applications to
CVA and trading

(Click here for slides)
3/31/14 Roger Lee University of Chicago

Pricing options on discrete variance

(Click here for slides)

3/24/14 Song Yao University of Pittsburg

“On the Robust Optimal Stopping Problem”

(Click here for slides)

3/14/14 Carl Mueller University of Rochester Do Stochastic PDE Hit Points in the Critical Dimension? 3:30 PM - 4:30 PM (CANCELLED due to weather in New York Area)

Francesca Biagini
Thilo Meyer-Brandis

University of Munich, Germany

*******DOUBLE HEADER*****

Risk-Minimization for Life Insurance Liabilities
Francesca Biagini
(Click here for slides)


Bismut-Elworthy-Li Formulas for
Diffusions with Irregular Drift Coefficients

Thilo Meyer-Brandis

Please note there are two speakers presenting.  They will speak for about 40 minutes each begining at 2 PM.
2/3/14 Marco Frittelli UCSB and Universiti a degli Studi di Milano Conditional evenly convex sets and the representation
of conditional quasi-convex risk measures



FALL 2013
Date Speaker Affiliation   Comment
12/18/13 Nizar Touzi Ecole Polytechnique Martingale optimal transport and martingale inequalities 3:30 PM - 4:30 PM

12/18/13 Zhenjie Ren Ecole Polytechnique

Viscosity solution to elliptic path dependent PDEs

2:15 PM - 3:15 PM
11/25/13 Marcel Nutz Columbia University On Model Uncertainty in Discrete Time  
11/11/13 Juan Li Shandong University (China)

Nonlinear stochastic differential games involving a major player and a large number of minor agents

11/4/13 Tao Pang North Carolina State University

A Stochastic Portfolio Optimization
Model with Bounded Memory

(Click here for slides)

(new date)
Frank Zhang Pacific Life

2013 USC Quants Job Informational/Q&A Session

(Click here for Slides)

2:00 - 3:30 PM (MSMF STUDENT ONLY)
10/14/13 Richard Sowers University of Illinois at Urbana-Champaign Effects of Latency  
10/9/13 Uwe Schmock Vienna University of Technology

Adapted dependence and applications to risk management

3:30 PM- 4:30 PM
10/8/13 Morgan Stanley Presentation (Click to view event details) 11:30 AM - 3:30 PM
10/7/13 Peter Carr New York University/Morgan Stanley

Risk, Return and Ross Recovery

(Click here for slides)

10/4/13 Steve Kou National University of Singapore (NUS)

First Passage Times of Two-Dimensional Brownian Motion

(Click here for slides)

Friday, 3:30 PM- 4:30 PM
9/27/13 Elton Hsu Northwestern University

Near-Expiry Asymptotics of the Implied Volatility in Local and Stochastic Volatility Models

(Click here for slides)

Friday, 3:30 PM- 4:30 PM
9/16/13 Matt Lorig Princeton University

Pricing Variance Swaps on Time-Changed
Markov Processes

(Click here for slides)



Date Speaker Affiliation  Title of Talk
5/6/13 Nizar Touzi Ecole Polytechnique,France Martingale optimal transport and model-free hedging  
5/3/13 Ashan Nikeghbali University of Zurich

From CLT to Local Limit Theorems and Applications to Randon Matrix Theory and Number Theory

Friday, 3:30 PM- 4:30 PM
4/29/13 Ali Lazrak University of British Columbia

Time inconsistency with a continuum of decision makers

(Click here for slides)

4/22/13 Delia Coculescu University of Zurich

 “Changes of the filtration and the default event risk premium”

(Click here for slides)

4/19/13 Qi Zhang Fudan University

Stationary Solutions and Random Periodic
Solutions of Stochastic Equations

(Click here for slides)

Friday, 3:30 PM- 4:30 PM
3/25/13 Qingshuo Song City University of Hong Kong

Is Quantile Hedgings always Equivalent to the Hypothesis Testing?

(Click here for slides)

3/15/13 Ioannis Karatzas Columbia University

Stable Diffusions with Rank-Based Interactions and
Models of Large Equity Markets

(Click here for slides)

Friday, 3:30 PM- 4:30 PM
3/11/13 Dmitry Kramkov Carnegie Mellon University

Integral Representation of Martingales and
Endogenous Completeness in Financial Economics

(Click here for slides)

2/25/13 Bruno Bouchard University of Paris IX, Dauphine

Target Games with Expected Loss

(Click here for slides)

2/15/13 Jiongmin Yong University of Central Florida

Stochastic Optimal Control with Time-Inconsistency

(Click here for slides)

Friday, 3:30 PM- 4:30 PM
2/4/13 Fernando Zapatero University of Southern California

Keeping Up with the Joneses Preferences:
Assest Pricing Considerations

(Click here for slides)
2/1/13 Tzu-Wei Yang Stanford University A Mean-field model of Systemic Risk  


FALL 2012
Date Speaker Affiliation Title of Talk Comment
11/26/12 Fernando Zapatero University of Southern California
11/19/12 Yilmaz Kocer University of Southern California

Endogenus Learning with Bounded Memory

Click here for Slides
11/5/12 Arash Fahim University of Michigan

Analysis of a Monte Carlo method for fully
nonlinear parabolic and elliptic PDEs

Click here for Slides
10/22/12 Kay Giesecke Stanford University Fluctuation Analysis for the Loss From Default  

Morgan Stanley Recruiting Event

10/8/12 Weidong Tian University of North Carolina

Contingent Capital with Endogenous Trigger

(Click here for slides)

9/17/12 Erhan Bayraktar University of Michigan

On the Multi-Dimensional Controller and Stopper Games
(Click here for slides)



Date Speaker Affiliation Title of Talk Comment


Yingying Fan

USC Marshall School of Business

Testing and Detecting Jumps Based on a Discretely Observed Process



Henry Schellhorn

Claremont Graduate University

A numerical scheme to solve smooth BSDEs: Applications to path-dependent American option pricing and beyond



Philip Protter

Columbia University

Can one detect a bubble in real time?

Friday, 3:30PM- 4:30PM


Kamal Hamdan


Modeling Capital Structure in Commodities Intensive Companies

2/6/12 Carol Bernard University of Waterloo, Canada

Optimal Portfolios under Worst Case Scenarios

1/27/12 Joscha Diehl TU Berlin

Rough Path Theory

Friday, 3:30PM- 4:30PM


FALL 2011

Date Speaker Affiliation Title of Talk Comment
11/28/11 Marcel Nutz Columbia University Duality and Superreplicaton under Model Uncertainty  
11/18/11 George Yin Wayne State University Friday, 3:30PM- 4:30PM
11/4/11 Richard Sowers University of Illinois, Urbana-Champaign Friday, 3:30PM- 4:30PM
10/17/11 Erhan Bayraktar University of Michigan  
10/7/11 Alain Bensoussan University of Texas, Dallas Friday, 3:30PM- 4:30PM
10/3/11 Monday 4:30- 6 PM
9/23/11 Dilip Madan University of Maryland Capital Minimization as a Hedging Criterion Friday, 3:30PM- 4:30PM
9/12/11 Yaozhong Hu University of Kansas Optimal time to invest with advanced information  




Date Speaker Affiliation Title of Talk Comment
4/22/11 Shige Peng Shandong University, China BSDE, PDE and Nonlinear Expectations Friday, 3:30PM- 4:30PM
4/18/11 Thorsten Hens University of Zurich and Swiss Banking Institute The Dark Side of the Moon:  Structured Products from the Customer's Perspective  
4/11/11 Igor Cialenco Illinois Institute of Technology New Dynamic Measures of Performance and Risks in Financial Markets  
4/1/11 Rama Cont Columbia Univ/CNRS France Functional Ito Calculas Friday, 3:30PM- 4:30PM
3/28/11 Min Dai National University of Singapore Optimal Consumption and Investment with Differential Long-term and Short-term Tax Rates  
3/11/11 Qing Zhang University of Georgia Friday, 3:30PM- 4:30PM
2/28/11 Zhaunzin Ding Analytic Investors, Los Angeles The Fundamental Law of Active Portfolio Management  
2/7/11 Kay Giesecke Stanford University

Exploring The Sources of Default Clustering



FALL 2010

Date Speaker Affilation Title of Talk Comment
12/6/10 Shaolin Ji Shandong University, China and Boston University Ambiguous Volatility, Possibility and Utility in Continuous Time  
11/16/10 Tuesday,
11/15/10 Olaf Menkens Dublin City University, Ireland Optimising Proportional Reinsurance Using a Worst Case Scenario Approach  
11/8/10 Marco Fritelli University of Milano, UCSB On Quasiconvex Dynamic Risk Measures  
10/29/10 Steven Kou Columbia University Pricing Asian Options under a General Jump Diffusion Model Friday,
10/22/10 Michael Magill USC Reforming Capitalism Friday,
10/11/10 Mihai Sirbu UT Austin Optimal investment with high-watermark performance fee  
20th Anniversary Celebration of CAMS
9/13/10 Zhen Wu Shandong University, China BSDEs with Markov Chains and Application to Homogenization of PDEs System  
9/3/10 T. I. Lai Stanford University Sequential Monte Carlo methods for rare event simulation Friday, 3:30PM- 4:30PM
  • University of Southern California
  • Dana and David College of Letters, Arts & Sciences
  • Department of Mathematics
  • 3620 S. Vermont Ave, KAP 108
  • Los Angeles, CA 90089-2532