VIGRE Financial Mathematics Seminar Series
The seminar presents weekly lectures in Financial Mathematics by leading
academic researchers and practitioners.
Time: Fridays, 10:30am-12:00noon in RLM 11.176 (the exact
time and location is subject to changes)
Contact: The organizers are Thaleia Zariphopoulou and Gordan Zitkovic.
For further information or to be included in the seminar email list, please
contact us at
gordanz@math.utexas.edu . Click on the title of talk for
more information (abstract, preprints, etc).
| Date | Speaker | Title | Time | Place |
|---|---|---|---|---|
| 09/18/2006 | Jianfeng Zhang (University of Southern California) |
A probabilistic numerical algorithm for high dimensional FBSDEs and quasilinear PDEs | 1:30pm | RLM 9.166 |
| 09/22/2006 | Mihai Sirbu (Columbia University) |
Asymptotic analysis of utility-based hedging strategies for small number of contingent claims | 10:30am | RLM 11.176 |
| 10/13/2006 | Claudio Albanese (Imperial College London) |
A modeling framework for synthetic CDOs and other long-dated structured products | 10:30am | CBA 4.304 |
| 10/31/2006 | Monique Jeanblanc (Université d'Evry Val d'Essonne) |
Hedging Defaultable Claims | 1:00pm | RLM 12.176 |
| 11/03/2006 | Monique Jeanblanc (Université d'Evry Val d'Essonne) |
Arbitrage Pricing of Defaultable Game Options With Applications to Convertible Bonds | 10:30pm | RLM 11.176 |
| 11/21/2006 | Jin Feng (Kansas University) |
Large deviations, variational problems and Hamilton-Jacobi equations | 1:00pm | RLM 12.176 |
Spring 2006
Fall 2005
Spring 2005
Fall 2004
Spring 2004
Fall 2003
Spring 2003
Fall 2002