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

Fall 2014

Date Speaker Title
Sep 18
Chris Rogers
Combining a babel of models
Sep 25
Ioannis Karatzas
Explosions and arbitrage
Oct 02
Tim Leung
Implied Volatility of Leveraged ETF Options: Consistency and Scaling​
Oct 09
Daniel Lacker
A general characterization of the mean field limit for stochastic differential games
Oct 16
Matheus Grasselli
A stock-flow consistent macroeconomic model for asset price bubbles
Oct 23
H. Mete Soner    (Talk starts at 5pm)
Martingale Optimal Transport
Oct 30
Harvey Stein
Don't overexpose yourself with risk neutral PFEs and EPEs
Nov 06
Scott Robertson
Indifference pricing for Contingent Claims: Large Deviations Effects
Nov 13
No seminar (SIAM Conference)

Nov 20
Andreas Kyprianou
Censored stable processes
Nov 27
No seminar (Thanksgiving)

Dec 04
Mihai Sirbu
Asymptotic Perron's method and simple Markov strategies in stochastic
games and control