Columbia Mathematical Finance Seminar

Columbia University, 903 SSW (1255 Amsterdam Ave, between 121st and 122nd Street)

Time: 4:10-5:25pm

Organizers: Ioannis Karatzas, Philip Protter, Marcel Nutz, Hongzhong Zhang

Spring 2014

Date Speaker Title
Jan 30
Robert Jarrow
Positive Alphas and a Generalized Multiple-Factor Asset
Feb 06
Leif Andersen
High-performance pricing of American options
Feb 13
Rama Cont
Functional Kolmogorov equations
Feb 20
Jean Jacod
Is a discretely observed semimartingale Ito or not?
Feb 27
No Seminar (Minerva Lectures)

Mar 06
Erhan Bayraktar
Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
Mar 13
No Seminar

Mar 20
No Seminar

Mar 27
Emmanuel Gobet
Optimal time-rebalancing
Apr 03
Soumik Pal
Energy, entropy, and arbitrage
Apr 10
George Papanicolaou
Systemic risk
Apr 17
Nicolas Victoir
Calibration of interest rate smile with a stochastic volatility model
Apr 23
Lasse Pedersen
Dynamic Portfolio Choice with Frictions (Paper link, Appendix)
May 01
Chenxu Li
Econometric Analysis of Continuous-time Models: a Closed-form Expansion approach