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