Financial/Actuarial Mathematics Seminar

University of Pittsburgh

This weekly seminar is held on Mondays/Tuesdays from 10:30am to 11:30am in Room 703, Thackeray Hall.
It is organized by Gunduz Caginalp (, John Chadam (, Xinfu Chen (, Xiong Sheng ( and Song Yao ( If you have any question about the seminar, please contact any of the organizers.

Spring 2013

Date Speaker Title
Friday, January 18 David Saunders, University of Waterloo Portfolio Selection and Regime-Switching Models

Monday, February 11
10-11am, Room 703, Thackeray Hall
Erhan Bayraktar, University of Michigan Stochastic Perron's method for Hamilton-Jacobi-Bellman equations

Tuesday, February 19 Sergio Pulido, Carnegie Mellon University Quadratic BSDEs arising from a price impact model with exponential utility

Tuesday, February 26 Tim Siu-Tang Leung, Columbia University Implied Volatility of Leveraged ETF Options

Tuesday, March 5 Christopher Almost, Carnegie Mellon University Diffusion scaling of a limit order book model

Tuesday, March 26 Birgit Rudloff, Princeton University Superhedging and risk measure under transaction costs

Tuesday, April 2
2-3pm, Room 703, Thackeray Hall
Scott Robertson, Carnegie Mellon University Static Fund Separation of Long Term Investments

Wednesday, April 3
2-3pm, Room 703, Thackeray Hall
Arash Fahim, University of Michigan Monte Carlo methods for nonlinear parabolic and elliptic PDEs with application to finance

Tuesday, April 9 Daniel Schwarz, Carnegie Mellon University Price Modelling in Carbon Emission and Electricity Markets

Monday, April 15
10-11am, Room 703, Thackeray Hall
Xin Guo, University of California, Berkeley Martingale Problems under Non-linear Expectations

Tuesday, April 23 Samuel Cohen, University of Oxford Uniformly Uniformly-Ergodic Markov Chains and applications