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
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) |
9/3/20 | Bin Zou | University of Connecticut | A Set-Valued Markov Chain Approach to Credit Default (slides) |
Fall 2019
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
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 | |
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
Fall 2015
Spring 2015
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
Fall 2013
Spring 2013
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 |