Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Agoston
Pisztora and Kavita Ramanan (Probability),
Dmitry
Kramkov and Kasper Larsen (Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Spring 2007,
Fall 2006,
Spring 2006,
Fall 2005,
Spring 2005,
Fall 2004,
Spring 2004,
Fall 2003,
Spring 2003
Schedule for Fall 2007
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- August 27
-
Marek Rutkowski, University of New South Wales, Sydney,
Australia
Implied Volatility: Basic Properties and Behavior Close to Expiry
- August 31, Friday at 5 P.M. in Wean Hall 6423
-
Marek Rutkowski, University of New South Wales, Sydney,
Australia
Pricing and Hedging of Convertible Bonds with Credit Risk
- September 10
-
Gennady Shaikhet, Carnegie Mellon University.
Control of many-servers queueing systems in heavy traffic. (Abstract)
- October 1
-
Arka Ghosh , Iowa State University
Optimal buffer size and dynamic rate control for a queueing network with
reneging in heavy traffic
Abstract
- October 22
-
Dmitry Kramkov, Carnegie Mellon University.
A model for a large investor trading at market
indifference prices
- October 29
-
Gerard Brunick, Carnegie Mellon University
Mixing Stochastic Volatility Models
- November 5
-
David German, Carnegie Mellon University
Equilibrium based model for a large trader
- November 19
-
Olekskii Mostovyi, Carnegie Mellon University.
On the Least Squares Monte Carlo Method.
- November 26
-
Jose Blanchett, Columbia University
Rare-event Analysis and Simulation of Heavy-tailed Systems via Changes-of-measure
- December 3
-
Weining Kang, Carnegie Mellon University.
Semimartingale property of a class of reflected Brownian motions
via an extended Skorokhod problem
- December 10
-
Martin Day, Virginia Tech
Boundary Conditions and Singularities for Hamilton-Jacobi Equations Arising in Queueing Games
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