Past Colloquia - Mathematical Finance Program

Fall 2024-Spring 2025

9/9/2024 Ziyu Zheng – Discounting Game
9/23/2024 Xin Zhang (New York University) – Asymptotics in prediction problems
10/14/2024 Scott Robertson (Boston University)- Rational Expectations Equilibrium with Optimal Information Acquisition
10/21/2024 Igor Cialenco (IIT) – Risk Filtering and Risk-Averse Control of Systems with Model Uncertainty
10/28/2024 Mehdi Talbi (University Paris-Cite) – Control of Volterra-type Dynamics and Applications to Contract Theory
11/8/2024(Friday, 3:30pm) Johannes Wiesel (CMU) – Bounding adapted Wasserstein metrics
11/18/2024 Xihao He (University of Michigan) – A singular mean field optimal stopping problem
2/3/2025 Leonard Wong (University of Toronto) – Adapted optimal transport between Gaussian processes
2/10/2025 Nizar Touzi (New York University) – Martingale Distributionally Robust Sensitivity and model risk hedging
2/24/2025 Ahmet Kocagil (Western Asset Management) – Quantitative Challenges in Asset Allocation & Risk Management
2/28/2025 Nils Detering (Heinrich-Heine University) – A class of point-wise operating SPDE coefficients for HJM models
3/3/2025 Ludovic Tangpi (Princeton University) – Mean Field Games with Common Noise via Malliavin Calculus
3/10/2025 Chandrasekhar Karnam – Navigating the Quant Finance Industry: Careers and Skills
3/21-3/22/2025 12th WCMF conference – https://sites.google.com/g.ucla.edu/12thwcmf/home?authuser=0
3/31/2025 Haoyang Cao (Johns Hopkins University) – Risk of transfer learning and its applications in finance
4/14/2025 Zach Feinstein (Stevens Institute of Technology) – Can Nash inform capital requirements? Allocating systemic risk measures
4/28/2025 Yoav Kolumbus (Cornell University) – Contracting with a Learning Agent
5/5/2025 Thibaut Mastrolia (UC Berkeley) – Optimal Rebate Design: Incentives, Competition and Efficiency in Auction Markets

Spring 2024

1/29/24 Kovacova Gabriela (UCLA) – The set-valued Bellman’s principle: A look at the mean-risk problem and model uncertainty
2/12/24 Andrew Lyasoff (Boston University) – Self-Aware Transport of Economic Agents
2/26/24 Kasper Larsen (Rutgers University) – Existence of an equilibrium with limited stock market participation and power utilities
3/4/24 Qingshuo Song (Worcester Polytechnic Institute) – From the cell problem to the turnpike property in LQG
3/25/24 Jinniao Qiu (University of Calgary) – Stochastic Black-Scholes equation and approximations for option pricing under a non-Markovian framework
4/15/24 Tomoyuki Ichiba (UCSB) – Smoothness of Directed Chain Stochastic Differential Equations and Its Applications
4/22/24 Umut Cetin (London School of Economics) – Insider trading with penalties, entropy and quadratic BSDEs

Fall 2023

9/11/23 Bingyan Han (University of Michigan) – Fitted value iteration methods for bicausal optimal transport
9/25/23 Valentin Tissot-Daguette (Princeton University/USC) – Stopping Spot Local Times: A Random Occupation
10/20/23 (Friday 3:30-4:30 joint with Prob/Stat seminar) Cagin Ararat (Bilkent University, Turkey) – Path-regularity and martingale properties of set-valued stochastic integrals
10/23/23 Joseph Jackson (University of Chicago) – The convergence problem in mean field control
11/6/23 Mete Soner (Princeton University) – Eikonal Equations on Wasserstein Spaces
11/20/23 Yumin Zhang (Auburn University) – Convergence of Policy Iteration for Deterministic Control

Spring 2023

1/9/23 Weixuan Xia (Boston University) (Virtual Talk) – Optimal consumption-investment problems under time-varying incomplete preferences Slides
1/13/23 (Friday 3:30-4:30pm) Zachary Bezemek (Boston University) (Virtual Talk) – Large Deviations and Importance Sampling for Weakly Interacting Diffusions
1/23/23 Ali Lazrak (University of British Columbia, Canada) – Voting with Decentralized Policy Contingent Promisess
2/6/23 Zachary Feinstein (Stevens Institute of Technology) – Endogenous Network Valuation Adjustment and the Systemic Yield Curve in a Dynamic Interbank Model
3/6/23 Lingjiong Zhu (Florida State University) – The Heavy–Tail Phenomenon in SGD
3/27/23 Yu-Jui Huang (University of Colorado Boulder) – Convergence of Policy Improvement for Entropy-Regularized Stochastic Control Problems
4/7/23 (Friday 3:30-4:30pm) Jiongmin Yong (University of Central Florida) – Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
4/17/23 Qi Feng (University of Michigan) – Exponential Entropy dissipation for weakly self-consistent Vlasov-Fokker-Planck equations

Fall 2022

9/12/22 Jiacheng Zhang (UC Berkeley) – Topics on Stackelberg Mean Field Game
9/26/22 Cagin Ararat (Bilkent University, Turkey) – Computation of Systemic Risk Measures
10/17/22 Beatrice Acciaio (ETH, Zurich, Switzerland) – Quantifying Arbitrage
10/31/22 Jodi Dianetti (University of Bielefeld, Germany) – Strong solutions to submodular mean field games with common noise and related McKean-Vlasov FBSDEs
11/7/22 Sergey Nadtochiy (Illinois Institute of Technology IIT) – Consistency of MLE for partially observed diffusions, with application in market microstructure modeling
11/14/22 Stephane Villeneuve (Toulouse School of Economics, France) – Gaussian Agency Problems with Memory and Linear Contracts
11/28/22 Lukas Wessels (TU Berlin/Georgia Tech) – Necessary and Sufficient Conditions for Optimal Control of Semilinear Stochastic Partial Differential Equations

Spring 2022

Date	Speaker	Affiliation	Title of Talk
1/24/22	Renyuan Xu	ISE USC	Learning in Linear-quadratic Framework: From Single-agent to Multi-agent, and to Mean-field
2/11/22	Thibaut Mastrolia	UC Berkeley	Market Making and incentives design in the presence of a dark pool
2/28/22	Wenpin Tang	Columbia University	Some stories about Brownian interacting systems with absorption
3/7/22	Zuoquan Xu	The Hong Kong Polytechnique University	State-dependent temperature contorl for Langevin
3/21/22	Ionut Florescu	Stevens Institute of Tech	SHIFT a Market Replica for risk assessment & regulatory compliance
4/4/22	Max Reppen	Boston University	Discrete dividend payments in continuous time
4/18/22	Zhenjie Ren	Université Paris-Dauphine, France	Mean-field Optimization regularized by Fisher Information
4/25/22	Dmitrii Ostrovskii	USC	Volumetric-Barrier Based Approach to Online Portfolio Selection

Fall 2021

Date	Speaker	Affiliation	Title of Talk
09/13/21	Cagin Ararat	Bilkent University, Turkey	Dynamic mean-variance problem: recovering time-consistency
09/27/21	Umut Cetin	London School of Economics, UK	Equilibrium in financial markets with asymmetric information
10/04/21	Gechun Liang	University of Warwick, UK	On the convergence rate of limit theorems under sublinear expectation
10/11/21	Mykhaylo Shkolnikov	Princeton University	Probabilistic approach to free boundary problems and applications
10/25/21	Konstantinos Spiliopoulos	Boston University	Mean field analysis and scaling limits for neural networks: typical events & fluctuations
11/01/21	Jiaxuan Ye	Worcester Polytechnic Institute	Regime Switching Mean Field Games with Quadratic Costs
11/08/21	Yongsheng Song	AMSS, China	Properties of Processes under Sublinear Expectations
11/22/21	Chao Zhou	National University of Singapore	Portfolio diversification and model uncertainty
11/30/21	Xunyu Zhou	Columbia University (Joint event with ISE, USC)	Policy Evaluation, Policy Gradient, and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms

Spring 2021

Date	Speaker	Affiliation	Title of Talk
01/25/21	Ibrahim Ekren	Florida State University	Information Asymmetry and Optimal Transport
02/01/21	Mingyu Xu	Fudan University, Shanghai, China	Hedging distributions via BSDEs
02/08/21	Xuedong He	Chinese U. of Hong Kong (SE/EM)	Portfolio selection under median and quantile maximization
02/22/21	Xiaolu Tan	Chinese U. of Hong Kong (Math)	Mean Field Games with branching
03/08/21	Martin Larsson	Carnegie Mellon University	Finance and Statistics: Trading Analogies for Sequential Learning
03/22/21	Song Yao	University of Pittsburgh	Optimal Stopping with Expectation Constraints
04/05/21	Mathieu Laurière	Princeton University	Stochastic Graphon Games
04/19/21	Camilo Hernández	Columbia University	Moral hazard for time-inconsistent agents and BSVIEs
05/03/21	Jianjun Zhou	Northwest A&F University	Viscosity Solutions to Path-Dependent Hamilton-Jacobi-Bellman

Fall 2020

Date	Speaker	Affiliation	Title of Talk
08/31/20	Kihun Nam	Monash University (Australia)	Novel Global Well-posedness for Non-Markovian Multidimensional Superquadratic BSDE SLIDES
09/21/20	José E. Figueroa-López	Washington University in St. Louis	Market Making with Random Linear Demand And Overnight Inventory Costs (slides)
10/05/20	Asaf Cohen	University of Michigan	Analysis of a Finite State Many Player Game Using its Master Equation (slides)
10/12/20	Agostino Capponi	Columbia University	Personalized Robo-Advising: Enhancing Investment through Client Interactions (slides)
10/26/20	Tao Chen	University of Michigan	Nonparametric Adaptive Bayesian Optimal Control (slides)
11/02/20	Song Yao	University of Pittsburgh	Optimal Stopping with Expectation Constraint

Spring 2020

Date	Speaker	Affiliation	Title of Talk
1/27/20	Wei Yan	University of Central Florida	Mean-field Stochastic Optimal Contral with Recursive Cost Function
2/03/20	Zhaoyu Zhang	Columbia University	PDGM: A Neural Network Approach To Solve Path-Dependent Partial (slides)
2/07/20	Aditi Dandapani	Ecole Polytechnique/Columbia University	From Quadratic Hawkes to Rough Volatility and Zumbach Effect (slides)
2/10/20	Haimei Shao	Wells Fargo	Formulate the Control Problem of U.S. Monetary Policy (slides)
2/14/20	Moritz Voss	University of California, Santa Barbara	A Two-Player Price Impact Game (slides)
3/9/20	Bin Zou	University of Connecticut	A Set-Valued Markov Chain Approach to Credit Default (slides)

Fall 2019

Date	Speaker	Affiliation	Title of Talk
09/09/2019	Leonard Wong	University of Toronto	Capital Distribution of Equity Market and its Statistical Modeling (slides)
09/23/2019	Andrew Lyasoff	Boston University	Incomplete-Market Equilibria with a Large Number of Heterogeneous Agents and BSDEs (slides)
09/30/2019	Ruoting Gong	Illinois Institute of Technology, Chicago	Wiener-Hopf Factorization for Time-Inhomogeneous Markov Chains (slides)
10/14/2019	Fabrice Baudoin	University of Connecticut	Modelling Anticipations on Financial Markets (slides)
10/28/2019	Dilip Madan	University of Maryland/Morgan Stanley	Dynamic Nonlinear Valuation and Hedging (slides)
11/04/2019	Michalis Anthropelos	University of Piraeus, Greece/Boston University	Optimal Investment, Derivative Demand & Arbitrage (slides)
11/11/2019	Dylan Possamai	Columbia University	A General Approach to Non-Markovian Time-Inconsistent Stochastic Control for Sophisticated Players (slides)
12/02/2019	Ludovic Tangpi	Princeton University	On Backward Propagation of Chaos (slides)

Spring 2019

Date	Speaker	Affiliation	Title of Talk
1/14/19	Cagin Ararat	Bilkent University (Turkey)	Quasiconvex Set-Valued Risk Measures: Compositions and Duality Theory (slides)
1/28/19	Zhaoyu Zhang	University of California, Santa Barbara	Mean Field Game with Delay: A Toy Model (slides)
3/4/19	Steven Kou	Boston University	A Theory of Peer-to-Peer Equity Financing: Preference-Free and Menuless Screening Contracts (slides)
3/8/19	Daniel Lacker	Columbia University	Beyond mean field limits: Local dynamics for large sparse networks of interacting processes (slides)
4/15/19	Lingjiong Zhu	Florida State University	Approximate Variational Estimation for a Model of Network Formation (slides)
4/22/19	Stephan Sturm	Worcester Polytechnic Institute	Sensitivity analysis of the long-term expected utility of optimal portfolios (slides)
4/29/19	Marcel Nutz	Columbia University	Convergency to the Mean Field Game Limit: A Case Study (slides)

Fall 2018

Date	Speaker	Affiliation	Title of Talk
8/31/18	Johannes Muhle-Karbe	Carnegie-Mellon University	Equilibrium Asset Pricing with Transaction Costs (slides)
9/10/18	Renyuan Xu	University of California, Berkeley	A Stochastic Game and Moving Free Boundary Problem (slides)
9/28/18	Zachary Feinstein	Washington University, St. Louis	Moving Scalarizations for Time Consistency in Dynamic Multivariate Problems in Finance
10/15/18	Huyen Pham	Paris VII-Diderot, France	Deep Learning Algorithms for Stochastic Control on Finite Horizon (slides)
10/22/18	Hong Liu	Washington University, St. Louis	Circuit Breakers and Contagion (slides)
10/29/18	Ruoyu Wu	University of Michigan	Weakly Interacting Particle Systems on Graphs: From Dense to Sparse (slides)
11/5/18	Jaeyoung Sung	Ajou University, Korea/USC	Optimal Contracting under Mean-Volatility Ambiguity Uncertainties (slides)
11/16/18	9th Western Conference on Mathematical Finance

Spring 2018

Date	Speaker	Affiliation	Title of Talk
1/22/18	Mihai Sirbu	University of Texas, Austin	Sensitivity Analysis of the Utility Maximization Problem with Respect to Model Perturbations (slides)
1/29/18	Ruimeng Hu	University of California, Santa Barbara	Portfolio Optimization Under Fractional Stochastic Environments (slides)
2/15/18	Hao Xing	London School of Economics	Capital Allocation Under Fundamental Review of Trading Book (slides)
2/26/18	Jaksa Cvitanic	CalTech	Optimal Fund Menus (slides)
3/5/18	Francesca Biagini/Thilo Meyer-Brandis	University of Munich (Germany)/University of California, Santa Barbara	DOUBLE HEADER (slides 1) (slides 2)
3/26/18	Minyi Huang	Carleton University (Canada)	Mean Field Games: Basic Theory and Generalization (slides)
4/2/18	Boualem Djehiche	The Royal Institute of Technology (KTH)	On a Mean-Field Stochastic Target Problem (slides)
4/16/18	Amarjit Budhiraja	University of North Carolina	Large Deviations from the Hydrodynamic Limit for a System with Nearest Neighbor Interactions (slides)
4/23/18	Qi Feng	University of Connecticut	Integration by Parts and Quasi-Invariance of Horizontal Wiener Measure on Foliated Manifolds (slides)

Fall 2017

Fall 2017
Date	Speaker	Affiliation	Title of Talk
8/25/17	Christian Keller	University of Michigan
9/11/17	Chenchen Mou	University of California, Los Angeles	Stochastic Representations for Solutions to Nonlocal Bellman Equations (slides)
9/18/17	Yi Lu	Simon Fraser University, Canada	Optimal Investment Strategies and Intergenerational Risk Sharing for Target Benefit Pension Plans (slides)
10/2/17	Ting-Kam Leonard Wong	University of Southern California	Portfolios Generated by Optimal Transport (slides)
10/9/17	Kasper Larsen	Rutgers University	Conditional Davis Pricing
10/23/17	Tao Chen	University of California, Santa Barbara	Adaptive Robust Hedging Under Model Uncertainty (slides)
11/3/17	David Li	Shanghai Advanced Institute of Finance (SAIF) & Shanghai Jiaotong University (SJTU)	Theoretical Problems in Credit Portfolio Modeling (slides)
11/13/17	Igor Cialenco	Illinois Institute of Technology	Time Consistency of Risk and Performance Measures (slides)
11/27/17	Frederi Viens	Michigan State University	The Karhunen-Loeve Expansion for Gaussian Processes as Applied to Implied Volatility Asymptotics

Spring 2017

Date	Speaker	Affiliation	Title of Talk
1/13/17	Søren Asmussen	Aarhus University, Denmark	Lévy Processes, Phase-Type Distributions, and Martingales
1/23/17	Yuhua Yu	CTIA, Chicago	A Tale of Two Crashes
2/6/17	Dylan Possamaï	Université Paris Dauphine, France	An Introduction and Recent Progresses on Principal-Agent Problems
2/27/17	Pierre-Olivier Goffard	University of California, Santa Barbara	Boundary Crossing Problems with Applications to Risk Management
3/6/17	Sabastian Jaimungal	University of Toronto, Canada	Trading Algorithms with Learning in Latent Alpha Models
4/7/17	Xunyu Zhou	Columbia University	Discounting, Diversity, & Investment
4/17/17	Nils Detering	University of California, Santa Barbara	Managing Default Contagion in Financial Networks
4/24/17	Matheus Grasselli	McMaster University, Canada	Macroeconomic Modeling with Heterogeneous Agents: The Master Equation Approach

Fall 2016

Date	Speaker	Affiliation	Title of Talk
8/29/16	Christian Keller	University of Michigan	Rough Paths and Applications to Stochastic Analysis
9/12/16	Daniel Bauer	Georgia State University	Longevity Risk: Methods, Models, and Management (slides)
9/26/16	Yu-Jui Huang	Univeristy of Colorado, Boulder	Time-Inconsistent Stopping Problems (slides)
10/10/16	Kiseop Lee	Purdue University	Inisiders’ Hedging in a Stochastic Volatility Model with Informed Traders of Multiple Levels (slides)
10/17/16	Bob Fernholz	INTECH	Volatility and Arbitrage (slides)
10/24/16	Beatrice Acciaio	London School of Econimcs/UCSB	Causal Optimal Transport and its Links to Enlargement of Filtrations and Stochastic Optimization Problems (slides)
11/14/16	Theodorou Evangelos	Georgia Tech	Real Time Stochastic Control and Decision Making: From Theory to Algorithms and Applications (slides)
11/21/16	Ibrahim Ekren	ETH	Hormander Condition for Delayed Diffusions (slides)
12/9/16	Soumik Pal	University of Washington, Seattle

Spring 2016

Date	Speaker	Affiliation	Title of Talk
1/25/16	Hu Sang	National University of Sinagpore	Casino Gambling Problem Under Probability Weighting (slides)
2/5/16	Jie Zhong	University of California, Berkely	Parametrix Method for Skew Diffusions
2/8/16	Marcel Nutz	Columbia University	Martingale Optimal Transport & Beyond (slides)
2/19/16	Zhenjie Ren	Ecole Polytechnique, France	Comparison Result for Viscosity Solutions to the Fully Nonlinear Path-Dependent PDE’s
2/22/16	Tyrone Duncan	University of Kansas	Solvable Stochastic Control and Stochastic Differential Games (slides)
2/24/16	Nizar Touzi	Ecole Polytechnique, France	Branching Diffusion Representation of Semi-Linear PDE’s and Monte Carlo Approximation (slides)
3/7/16	Zachary Feinstein	Washington University, St. Louis	Set-Valued Risk Measures and Bellman’s Principle (slides)
3/21/16	Sergey Nodtochiy	University of Michigan	Endogenous Formation of Limit Order Books (slides)
3/28/16	Yuri Saporito	Fundacao Getulio Vargas, Brazil	Recent Developments on Functional Itô Calculus – Lie Bracket and Tanaka Formula (slides)
4/4/16	Christoph Frei	University of Alberta, Canada	Systemic Influences on Optimal Investment in Stocks and Credit Default Swaps (slides)
4/25/16	Romauld Elie	Universite Paris-Est Marne-la-Vallee & UCSB	Design of Optimal Incentives for a System of Competitive Agents in Interaction (slides)

Fall 2015

Date	Speaker	Affiliation	Title of Talk
9/18/15	Frederi Viens	Purdue University	Parameter Estimation for Gaussian Sequences: Long-Memory Motivations in Finance, Sharp Asymptotic Normality and Non-Normality (slides)
9/21/15	Michael Ludkovski	University of California, Santa Barbara	Kriging Metamodels for Bermudan Option Pricing (slides)
9/28/15	Andrey Sarantsev	University of California, Santa Barbara	Market Models with Splits and Mergers (slides)
10/7/15	Sara Tomeo & Peter Carr	Morgan Stanley	Morgan Stanley Presentation + Exam
10/16/15	Nikolai Krylov	University of Minnesota	On the Independence of the Value Function for Stochastic Differential Games of the Probability Space
10/26/15	Knut Solna	University of California, irvine	Correction to Black-Scholes Formula Due to Fractional Stochastic Volatility (slides)
11/09/15	Rong Li	Nankai University	Supply Chain Finance: The Operational Benefits (slides)
11/13/15	Thaleia Zariphopoulou	University of Texas, Austin	CANCELLED
11/30/15	Ting Kam Leonard Wong	University of Washington, Seattle	Geometry and Optimization of Relative Arbitrage (slides)

Spring 2015

Date	Speaker	Affiliation	Title of Talk
1/26/15	Daniel Lacker	Princeton	A general characterization of the mean field limit for stochastic differential games (slides)
1/30/15	Zhenjie Ren	Ecole Polytechnique, France	Viscosity solution of semi-linear path dependent PDE
2/9/15	Andrzej Swiech	Georgia Tech	Bellman integro-PDE in Hilbert spaces and optimal control of stochastic PDE driven by Levy type noise. (slides)
2/23/15	Tomoyuki Ichiba	UC Santa Barbara	Diffusions with rank-based characteristics and values in the nonnegative quadrant (slides)
2/27/15	Joscha Diehl	TU Berlin, Germany	Singular stochastic PDEs on Lie groups
4/6/15	Xin Guo	UC Berkeley	Dynamics of Order Positions in a Limit Order Book (LOB) (slides)
4/20/15	Huyen Pham	University of Paris VII, Diderot	Robust feedback switching control problem (slides)
4/27/15	Kasper Larsen	Carnegie Mellon University	Facelifting in Utility Maximization
5/4/15	Frederi Viens	Purdue University	A Pure-Jump Market-Making Model for High-Frequency Trading using Constrained FBSDEs
5/8/15	Xunyu Zhou	Oxford University	Optimal exit time from casino gambling: Why a lucky coin and a good memory matter

Fall 2014

Date	Speaker	Affiliation	Title of Talk
9/22/14	Soumik Pal	University of Washington, Seattle	The Geometry of Relative Arbitrage (slides)
9/29/14	Elie Romuald	Univeristy of Paris, Dauphine	Dealing with partial hedging or risk management constraints via BSDEs with weak reflections (slides)
10/6/14	Matheus Grasselli	McMaster University, Canada	Asset price dynamics in a stock-flow consistent macroeconomic model (slides)
10/7/14	Dr. Peter Carr, Managing Partner	Morgan Stanley	Derivatives, Diffusion, and Duality (slides)
10/27/14	Rene Carmona	Princeton	Trading Frictions in High Frequency Markets
11/10/14	Stanislav Minsker	Duke University and Wells Fargo Securities	Robust and scalable statistical estimation: a tale of the geometric median
11/13/14	2014 USC Quants Job Informational Q&A Session
11/14/14	Carl Mueller	University of Rochester	Do Stochastic PDE hit points or have double points in the critical dimensions?
12/1/14	Knut Solna	UC Irvine	Cancelled

Spring 2014

Date	Speaker	Affiliation	Title of Talk
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
2/24/14	Francesca Biagini	University of Munich, Germany	Risk-Minimization for Life Insurance Liabilities (Francesca Biagini) (slides)
2/24/14	Thilo Meyer-Brandis	University of Munich, Germany	Bismut-Elworthy-Li Formulas for Diffusions with Irregular Drift Coefficients
3/14/14	Carl Mueller	University of Rochester	Cancelled
3/24/14	Song Yao	University of Pittsburg	“On the Robust Optimal Stopping Problem” (slides)
3/31/14	Roger Lee	University of Chicago	Pricing options on discrete variance (slides)
4/21/14	Alex Lipton	Bank of America, Imperial College London	Three-dimensional Brownian motion and its applications to CVA and trading (slides)
5/2/14	Samy Tindel	Universite de Lorraine, France	Viscosity solutions to fully nonlinear stochastic PDEs and rough paths
5/5/14	Frederi Viens	Purdue University	Robust optimization problems for quantitative finance and insurance models under parameter ambiguity

Fall 2013

Date	Speaker	Affiliation	Title of Talk
9/16/13	Matt Lorig	Princeton University	Pricing Variance Swaps on Time-Changed Markov Processes (slides)
9/27/13	Elton Hsu	Northwestern University	Near-Expiry Asymptotics of the Implied Volatility in Local and Stochastic Volatility Models (slides)
10/4/13	Steve Kou	National University of Singapore (NUS)	First Passage Times of Two-Dimensional Brownian Motion (slides)
10/7/13	Peter Carr	New York University/Morgan Stanley	Risk, Return and Ross Recovery (slides)

10/9/13	Uwe Schmock	Vienna University of Technology	Adapted dependence and applications to risk management
10/14/13	Richard Sowers	University of Illinois at Urbana-Champaign	Effects of Latency
10/31/13	Frank Zhang	Pacific Life	>2013 USC Quants Job Informational/Q&A Session (slides)
11/4/13	Tao Pang	North Carolina State University	A Stochastic Portfolio Optimization Model with Bounded Memory (slides)
11/11/13	Juan Li	Shandong University (China)	Nonlinear stochastic differential games involving a major player and a large number of minor agents
11/25/13	Marcel Nutz	Columbia University	On Model Uncertainty in Discrete Time
12/18/13	Zhenjie Ren	Ecole Polytechnique	Viscosity solution to elliptic path dependent PDEs
12/18/13	Nizar Touzi	Ecole Polytechnique	Martingale optimal transport and martingale inequalities

Spring 2013

Date	Speaker	Affiliation	Title of Talk
2/1/13	Tzu-Wei Yang	Stanford University	A Mean-field model of Systemic Risk
2/4/13	Fernando Zapatero	University of Southern California	Keeping Up with the Joneses Preferences: Assest Pricing Considerations (slides)
2/15/13	Jiongmin Yong	University of Central Florida	Stochastic Optimal Control with Time-Inconsistency (slides)
2/25/13	Bruno Bouchard	University of Paris IX, Dauphine	Target Games with Expected Loss (slides)
3/11/13	Dmitry Kramkov	Carnegie Mellon University	Integral Representation of Martingales and Endogenous Completeness in Financial Economics (slides)
3/15/13	Ioannis Karatzas	Columbia University	Stable Diffusions with Rank-Based Interactions and Models of Large Equity Markets (slides)
3/25/13	Qingshuo Song	City University of Hong Kong	Is Quantile Hedgings always Equivalent to the Hypothesis Testing? (slides)
4/19/13	Qi Zhang	Fudan University	Stationary Solutions and Random Periodic Solutions of Stochastic Equations (slides)
4/22/13	Delia Coculescu	University of Zurich	“Changes of the filtration and the default event risk premium” (slides)
4/29/13	Ali Lazrak	University of British Columbia	Time inconsistency with a continuum of decision makers (slides)
5/3/13	Ashan Nikeghbali	University of Zurich	From CLT to Local Limit Theorems and Applications to Randon Matrix Theory and Number Theory
5/6/13	Nizar Touzi	Ecole Polytechnique,France	Martingale optimal transport and model-free hedging

Fall 2012

Date	Speaker	Affiliation	Title of Talk
9/17/12	Erhan Bayraktar	University of Michigan	On the Multi-Dimensional Controller and Stopper Games (slides)
10/8/12	Weidong Tian	University of North Carolina	Contingent Capital with Endogenous Trigger (slides)
10/9/12	Morgan Stanley Recruiting Event
10/22/12	Kay Giesecke	Stanford University	Fluctuation Analysis for the Loss From Default
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
11/19/12	Yilmaz Kocer	University of Southern California	Endogenus Learning with Bounded Memory (slides
11/26/12	Fernando Zapatero	University of Southern California	CANCELLED

Spring 2012

Date	Speaker	Affiliation	Title of Talk
1/27/12	Joscha Diehl	TU Berlin	Rough Path Theory
2/6/12	Carol Bernard	University of Waterloo, Canada	Optimal Portfolios under Worst Case Scenarios
2/13/12	Kamal Hamdan	Goldman	Modeling Capital Structure in Commodities Intensive Companies
2/17/12	Philip Protter	Columbia University	Can one detect a bubble in real time?
3/26/12	Henry Schellhorn	>Claremont Graduate University	A numerical scheme to solve smooth BSDEs: Applications to path-dependent American option pricing and beyond
4/16/12	Yingying Fan	USC Marshall School of Business	Testing and Detecting Jumps Based on a Discretely Observed Process

Fall 2011

Date	Speaker	Affiliation	Title of Talk
9/12/11	Yaozhong Hu	University of Kansas	Optimal time to invest with advanced information
9/23/11	Dilip Madan	University of Maryland	Capital Minimization as a Hedging Criterion
10/3/11	Morgan Stanley Recruiting Event
10/7/11	Alain Bensoussan	University of Texas, Dallas	Comparison between Martingale Methods and Dynamic Programming
10/17/11	Erhan Bayraktar	University of Michigan	Liquidation in Limit Order Books with Controlled Intensity
11/4/11	Richard Sowers	University of Illinois, Urbana-Champaign	The Most Likely Path to Systemic Failure
11/18/11	George Yin	Wayne State University	Switching Stochastic Systems
11/28/11	Marcel Nutz	Columbia University	Duality and Superreplicaton under Model Uncertainty

Spring 2011

Date	Speaker	Affiliation	Title of Talk
2/7/11	Kay Giesecke	Stanford University	Cancelled
2/28/11	Zhaunzin Ding	Analytic Investors, Los Angeles	The Fundamental Law of Active Portfolio Management
3/11/11	Qing Zhang	University of Georgia	The Mathematics of Momentum Trading
3/28/11	Min Dai	National University of Singapore	Optimal Consumption and Investment with Differential Long-term and Short-term Tax Rates
4/1/11	Rama Cont	Columbia Univ/CNRS France	Functional Ito Calculas
4/11/11	Igor Cialenco	Illinois Institute of Technology	New Dynamic Measures of Performance and Risks in Financial Markets
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
4/22/11	Shige Peng	Shandong University, China	BSDE, PDE and Nonlinear Expectations

Fall 2010

Date	Speaker	Affilation	Title of Talk
9/3/10	T. I. Lai	Stanford University	Sequential Monte Carlo methods for rare event simulation
9/13/10	Zhen Wu	Shandong University, China	BSDEs with Markov Chains and Application to Homogenization of PDEs System
9/24/10	20th Anniversary Celebration of CAMS
10/11/10	Mihai Sirbu	UT Austin	Optimal investment with high-watermark performance fee
10/22/10	Michael Magill	USC	Reforming Capitalism
10/29/10	Steven Kou	Columbia University	Pricing Asian Options under a General Jump Diffusion Model
11/8/10	Marco Fritelli	University of Milano, UCSB	On Quasiconvex Dynamic Risk Measures
11/15/10	Olaf Menkens	Dublin City University, Ireland	Optimising Proportional Reinsurance Using a Worst Case Scenario Approach
11/16/10	Morgan Stanley Recruiting Event
12/6/10	Shaolin Ji	Shandong University, China and Boston University	Ambiguous Volatility, Possibility and Utility in Continuous Time