| 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
|