VIGRE Financial Mathematics Seminar Series
The seminar presents weekly lectures in Financial Mathematics by leading
academic researchers and practitioners.
Time: Fridays, 12:30pm-1:30pm in RLM 12.176 (Note the change!)
(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
Talks for Spring 2006
|
Date |
Speaker |
Title |
Place |
Time |
|
Jan |
Bernt Oksendal (University of Oslo, Norway) |
RLM 12.166 |
1:30pm |
|
|
Jan |
Xin Guo (Cornell University) |
Generalized Lando's formula: a filtration expansion perspective |
RLM 12.166 |
1:30pm |
| Feb 3 |
Patrick Cheridito (Princeton University) |
Time-consistency of indifference prices and monetary utility functions ... (preprint) |
RLM 12.166 | 12:30pm |
| Feb 10 |
Traian Pirvu (University of British Columbia) | Maximizing Portfolio Growth Rate under Risk Constraints |
RLM 12.166 | 12:30pm |
| Feb 17 |
Herve Roche (Instituto Tecnologico Autonomo de Mexico) | Optimal Consumption and Investment under a Drawdown Constraint ... (preprint) | RLM 12.166 | 12:30pm |
| Feb 24 |
Kasper Larsen (Carnegie Mellon University) | Are Option-pricing and Utility-maximization Problems Well-posed? ... (extended abstract) |
RLM 12.166 | 12:30pm |
| Mar 10 |
Mingxin Xu (University of North Carolina at Charlotte) | Risk measure pricing and hedging in incomplete markets ... (preprint) | RLM 12.166 | 12.30pm |
| Apr 28 |
Andrew Lim (University of California at Berkeley) | A relative performance approach to robust portfolio selection when there is model ambiguity |
RLM 12.166 | 12:30pm |
| May 5 |
Sasha Stoikov (NYU) | More than indifferent ... (preprint) | TBA | 1:30pm |
Talks from past semesters
Spring 2005
Fall 2004
Spring 2004
Fall 2003
Spring 2003
Fall 2002