Spring 2023

 

Fall 2022

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)
9/3/20 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