The MF Colloquiums are held regularly on Mondays, 2:15-3:15, at KAP 414 (unless otherwise noted)
| SPRING 2013 | ||||
| Date | Speaker | Affiliation | Title of Talk |
Comment |
| 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 | ||
| 4/22/13 | Delia Coculescu | University of Zurich |
“Changes of the filtration and the default event risk premium” |
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| 4/19/13 | Qi Zhang | Fudan University |
Stationary Solutions and Random Periodic |
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? |
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| 3/15/13 | Ioannis Karatzas | Columbia University |
Stable Diffusions with Rank-Based Interactions and |
Friday, 3:30 PM- 4:30 PM |
| 3/11/13 | Dmitry Kramkov | Carnegie Mellon University |
Integral Representation of Martingales and |
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| 2/25/13 | Bruno Bouchard | University of Paris IX, Dauphine | ||
| 2/15/13 | Jiongmin Yong | University of Central Florida | Friday, 3:30 PM- 4:30 PM | |
| 2/4/13 | Fernando Zapatero | University of Southern California |
Keeping Up with the Joneses Preferences: |
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| 2/1/13 | Tzu-Wei Yang | Stanford University | A Mean-field model of Systemic Risk | |
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FALL 2012
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| Date | Speaker | Affiliation | Title of Talk | Comment |
| 11/26/12 | Fernando Zapatero | University of Southern California (CANCELLED) |
(CANCELLED) |
(CANCELLED) |
| 11/19/12 | Yilmaz Kocer | University of Southern California |
Endogenus Learning with Bounded Memory Click here for Slides |
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| 11/5/12 | Arash Fahim | University of Michigan |
Analysis of a Monte Carlo method for fully |
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| 10/22/12 | Kay Giesecke | Stanford University | Fluctuation Analysis for the Loss From Default | |
| 10/9/12 | ||||
| 10/8/12 | Weidong Tian | University of North Carolina | ||
| 9/17/12 | Erhan Bayraktar | University of Michigan |
On the Multi-Dimensional Controller and Stopper Games |
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SPRING 2012
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| Date | Speaker | Affiliation | Title of Talk | Comment |
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4/16/12 |
Yingying Fan |
USC Marshall School of Business |
Testing and Detecting Jumps Based on a Discretely Observed Process |
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3/26/12 |
Henry Schellhorn |
Claremont Graduate University |
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2/17/12 |
Philip Protter |
Columbia University |
Friday, 3:30PM- 4:30PM | |
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2/13/12 |
Kamal Hamdan |
Goldman |
Modeling Capital Structure in Commodities Intensive Companies |
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| 2/6/12 | Carol Bernard | University of Waterloo, Canada | ||
| 1/27/12 | Joscha Diehl | TU Berlin | Friday, 3:30PM- 4:30PM | |
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FALL 2011 |
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| 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 | |
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SPRING 2011 |
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| 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 (Cancelled) |
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FALL 2010 |
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| 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, 12:00-4:30 |
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| 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, 3:30-4:30 |
| 10/22/10 | Michael Magill | USC | Reforming Capitalism | Friday, 3:30-4:30 |
| 10/11/10 | Mihai Sirbu | UT Austin | Optimal investment with high-watermark performance fee | |
| 9/24/10 |
20th Anniversary Celebration of CAMS
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Friday, 3:30-4:30 |
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| 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
- Phone: (213) 740 - 2400
- Email: mathinfo@college.usc.edu