Actuarial and Financial Mathematics Archives
Date  Speakers  

Thursday, April 5, 2018  15:00 to 16:00

Approximate Variational Estimation for a Model of Network Formation 
Lingjiong Zhu
Florida State University

Thursday, March 15, 2018  15:00 to 16:00

Substitute Hedging with (Cross) Price Impact 
Ryan Donnelly
University of Washington

Tuesday, February 27, 2018  15:00 to 16:00

Can Swing Pricing Prevent Mutual Fund Runs and Failures? 
Agostino Capponi
Columbia University

Thursday, January 25, 2018  15:00 to 16:00

Portfolio Choice with Small Temporary and Transient Price Impact 
Johannes MuhleKarbe
Carnegie Mellon University

Tuesday, April 28, 2015  10:00 to 11:00

Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games 
University of Pittsburgh

Wednesday, April 15, 2015  14:00 to 15:00

Endogenous Current Coupons 
Scott Robertson
Carnegie Mellon University

Wednesday, April 8, 2015  10:30 to 11:30

Taylor approximation of incomplete Radner equilibrium models 
Jin Hyuk Choi
Carnegie Mellon University

Wednesday, April 8, 2015  10:30 to 11:30

Taylor approximation of incomplete Radner equilibrium models 
Jin Hyuk Choi
Carnegie Mellon University

Wednesday, April 1, 2015  14:00 to 15:00

Robust hedging with tradable options under price impact 
Arash Fahim
Florida State University

Wednesday, March 25, 2015  14:00 to 15:00

Nonlinear price dynamics of ETFs and support for the Constant Rebalanced Portfolio strategy 
Mark DeSantis
Chapman University

Wednesday, March 18, 2015  14:00 to 15:00

Density analysis of backward stochastic differential equations 
Solesne Bourguin
Carnegie Mellon University

Wednesday, March 4, 2015  14:00 to 15:00

Probabilistic and Stochastic perspectives on instantaneously rebalanced portfolio strategies 
Jonathan Hanke

Wednesday, February 25, 2015  14:00 to 15:00

Stability of Utility Maximization in Nonequivalent Markets 
Kimberly Weston
Carnegie Mellon University

Wednesday, February 18, 2015  14:00 to 15:00

FirstLoss Fee Structures for Hedge Funds 
David Saunders
University of Waterloo

Wednesday, February 4, 2015  14:00 to 15:00

Pathwise Ito Calculus for Rough Paths 
Christian Keller
University of Southern California

Wednesday, April 9, 2014  14:00

Rationalizing Investors' Choice 
Carole Bernard

Wednesday, April 2, 2014  11:00

A new approach for studying stochastic ordering of risks 
Liang Hong
Robert Morris University
