Broad Perspectives and New Directions in Financial Mathematics

March 9 - June 12, 2015

Seminar Series

All times in this Schedule are Pacific Time (PT)

Thursday, March 19, 2015
3:30 - 4:30

Monday, March 30, 2015
3:30 - 4:30

Tuesday, March 31, 2015
3:30 - 4:30

Thursday, April 2, 2015
3:30 - 4:30
Reinhard Fellmann (London School of Economics and Political Science)

Modelling Stability of Sovereign Credit Markets and Systems


Tuesday, April 7, 2015
3:30 - 4:30

Monday, April 20, 2015
2:00 - 3:00
3:30 - 4:30
Stephan Sturm (Worcester Polytechnic Institute)

Delegated Portfolio Optimization with Convex Incentive Schemes


Tuesday, April 21, 2015
3:30 - 4:30
Thaleia Zariphopoulou (University of Texas at Austin)

Optimal portfolio construction under forward performance criteria: Part 1


Wednesday, April 22, 2015
3:30 - 4:30
Thaleia Zariphopoulou (University of Texas at Austin)

Optimal portfolio construction under forward performance criteria: Part 2


Thursday, April 23, 2015
3:30 - 4:30

To Be Announced

Tuesday, April 28, 2015
2:00 - 3:00
Jaksa Cvitanic (California Institute of Technology)

Introduction to contract theory in continuous-time models

3:30 - 4:30
Jaksa Cvitanic (California Institute of Technology)

Moral hazard problems with CARA utilities on finite horizon


Wednesday, April 29, 2015
2:00 - 3:00

Thursday, April 30, 2015
3:30 - 4:30
Xuwei Yang (University of California, Santa Barbara (UCSB))

Mean Field Game Approach to Production and Exploration of Exhaustible Commodities


Monday, May 11, 2015

Morning Session
11:30 - 12:30
2:00 - 3:00
3:30 - 4:30
Svetlana Borovkova (Vrije Universiteit)

The role of news in commodity markets


Tuesday, May 12, 2015

Morning Session
10:30 - 11:30
3:30 - 4:30
Pierre Garreau (Frankfurt Institute for Advanced Studies (FIAS) Goethe University)

Default Risk, Dependence and Levy Processes


Wednesday, May 13, 2015
3:30 - 4:30
Anna Kruglova (Massachusetts Institute of Technology)

Speculative Oil


Thursday, May 14, 2015
Inaugural National Meeting of Women in Financial Mathematics

Friday, May 15, 2015

Morning Session
9:00 - 9:45
10:00 - 10:15 Break
10:15 - 11:00
11:15 - 11:30 Break
11:30 - 12:15
12:30 - 2:00 Lunch (on your own)

Afternoon Session
2:00 - 2:45
3:00 - 3:15 Break
3:15 - 4:00
Terry Lyons (University of Oxford)

New directions in machine learning - Part I

 
4:15 - 4:30 Break
4:30 - 5:15
Terry Lyons (University of Oxford)

New directions in machine learning - Part II

 

Tuesday, May 26, 2015
2:00 - 3:00
Eric Schaanning (Imperial College)

Fire sales: Price mediated contagion and systemic risk

3:30 - 4:30
Igor Cialenco (Illinois Institute of Technology)

Dynamic Acceptability Indices as a market-making tool - Part I


Thursday, May 28, 2015
3:30 - 4:30
Igor Cialenco (Illinois Institute of Technology)

Dynamic Acceptability Indices as a market-making tool - Part II


Tuesday, June 2, 2015
3:30 - 4:30
Richard Sowers (University of Illinois at Urbana-Champaign)

Stochastic Latency


Thursday, June 4, 2015
3:30 - 4:30