Mathematical Finance Seminar – Past Talks
All talks in or after Spring 2019 are accessible through the UConn Events Calendar.
The table below is of talks prior to Spring 2019.
The table below is of talks prior to Spring 2019.
3/29/17
Mathematical Finance Seminar
Optimal Investment in Incomplete Markets
Oleksii Mostovyi (UConn)
Optimal Investment in Incomplete Markets
Oleksii Mostovyi (UConn)
4/12/17
Mathematical Finance Seminar
Convex Duality Approach for the Expected Utility Maximization Problem
Oleksii Mostovyi (UConn)
Convex Duality Approach for the Expected Utility Maximization Problem
Oleksii Mostovyi (UConn)
4/19/17
Mathematical Finance Seminar
Second-Order Asymptotic Analysis in the Context of the Expected Utility Maximization Problem
Oleksii Mostovyi (UConn)
Second-Order Asymptotic Analysis in the Context of the Expected Utility Maximization Problem
Oleksii Mostovyi (UConn)
10/11/17
Mathematical Finance Seminar
Optimal multiple stopping problems under mean-reverting dynamics
Tim Leung (University of Washington)
Optimal multiple stopping problems under mean-reverting dynamics
Tim Leung (University of Washington)
2/23/18
Mathematical Finance Seminar
Mean Reversion in VSTOXX & VIX Futures
Andrew Papanicolaou (NYU)
Mean Reversion in VSTOXX & VIX Futures
Andrew Papanicolaou (NYU)
2/28/18
Mathematical Finance Seminar
Large tournament games
Yuchong Zhang (Columbia University)
Large tournament games
Yuchong Zhang (Columbia University)
3/28/18
Mathematical Finance Seminar
High-Water Mark Fees with Stochastic Benchmark
Gu Wang (WPI)
High-Water Mark Fees with Stochastic Benchmark
Gu Wang (WPI)
4/4/18
Mathematical Finance Seminar
Cost Efficiency in Incomplete Markets
Stephan Sturm (Worcester Polytechnic Institute)
Cost Efficiency in Incomplete Markets
Stephan Sturm (Worcester Polytechnic Institute)
4/11/18
Mathematical Finance Seminar
Optimal Equilibria for Time-inconsistency — the Stopping Case
Yu-Jui Huang (University of Colorado Boulder)
Optimal Equilibria for Time-inconsistency — the Stopping Case
Yu-Jui Huang (University of Colorado Boulder)
4/18/18
Mathematical Finance Seminar
A Dynamic Network Model of Interbank Lending
Agostino Capponi (Columbia University)
A Dynamic Network Model of Interbank Lending
Agostino Capponi (Columbia University)
4/25/18
Mathematical Finance Seminar
The pricing of contingent claims and optimal positions in asymptotically complete markets
Konstantinos Spiliopoulos (Boston University)
The pricing of contingent claims and optimal positions in asymptotically complete markets
Konstantinos Spiliopoulos (Boston University)
9/26/18
Mathematical Finance Seminar
Incomplete Equilibrium with a Stochastic Annuity
Kim Weston (Rutgers University)
Incomplete Equilibrium with a Stochastic Annuity
Kim Weston (Rutgers University)
10/10/18
Mathematical Finance Seminar
Pathwise functional portfolio generation and optimal transport
Michael Monoyios (University of Oxford)
Pathwise functional portfolio generation and optimal transport
Michael Monoyios (University of Oxford)