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)

Zhaoyu Zhang

University of California, Santa Barbara Mean Field Game with Delay: A Toy Model (slides)

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)

Marcel Nutz

Columbia University Convergency to the Mean Field Game Limit: A Case Stud(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)

Renyuan Xu

University of California, Berkeley A Stochastic Game and Moving Free Boundary Problem (slides)

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)

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)

Ruimeng Hu

University of California, Santa Barbara Portfolio Optimization Under Fractional Stochastic Environments (slides)

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)

Boualem Djehiche

The Royal Institute of Technology (KTH) On a Mean-Field Stochastic Target Problem (slides)

Amarjit Budhiraja

University of North Carolina

Large Deviations from the Hydrodynamic Limit for a System with Nearest Neighbor Interactions (slides)


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

Chenchen Mou

University of California, Los Angeles Stochastic Representations for Solutions to Nonlocal Bellman Equations (slides)

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)

David Li

Shanghai Advanced Institute of Finance (SAIF) & Shanghai Jiaotong University (SJTU) Theoretical Problems in Credit Portfolio Modeling (slides)

Igor Cialenco

Illinois Institute of Technology

Time Consistency of Risk and Performance Measure(slides)


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

Yuhua Yu

CTIA, Chicago A Tale of Two Crashes

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

Nils Detering

University of California, Santa Barbara Managing Default Contagion in Financial Networks

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

Daniel Bauer

Georgia State University Longevity Risk: Methods, Models, and Management (slides)

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)

Theodorou Evangelos

Georgia Tech Real Time Stochastic Control and Decision Making: From Theory to Algorithms and Applications (slides)

Ibrahim Ekren

ETH Hormander Condition for Delayed Diffusions (slides)

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)

Jie Zhong

University of California, Berkely Parametrix Method for Skew Diffusions

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)

Zachary Feinstein

Washington University, St. Louis
Set-Valued Risk Measures and Bellman’s Principle (slides)

Sergey Nodtochiy

University of Michigan Endogenous Formation of Limit Order Books (slides)

Yuri Saporito

Fundacao Getulio Vargas, Brazil Recent Developments on Functional Itô Calculus – Lie Bracket and Tanaka Formula (slides)

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

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
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