Columbia Mathematical Finance Seminar

Location:
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 2013

Date	Speaker	Title
Jan 31	Dmitry Kramkov	Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
Feb 07	Bruno Bouchard	First time to exit of a continuous Ito process: general moment estimates and L1-convergence rate for discrete-time approximations
Feb 14	Robert Almgren	Option hedging with market Impact
Feb 21	Dmitriy Boyarchenko	Fast simulation of Levy processes
Feb 28	Ashkan Nikeghbali	Last passage times: old and new results
Mar 07	Peter Tankov	Asymptotics for sums of log-normal random variables and applications to finance
Mar 14	No seminar
Mar 21	Spring recess
Mar 28	Vassilios Papathanakos	Simple equity markets models
Apr 04	Andrei Kirilenko	High frequency trading
Apr 11	Constantinos Kardaras	Financial equilibrium with preference updating
Apr 18	Paul Feehan	A classical Perron method for existence of solutions to European and American-style option pricing problems for degenerate diffusion processes
Apr 25	Andrew W. Lo	BigData, Financial Crises, and Systemic Risk Measurement