Spring 2021
- Feb 18th, 2-3pm, Zhenyu Cui from Stevens Institute of Technology.
- Title: Optimal investment problem under behavioral setting: A Lagrange duality perspective(abstract)
Fall 2020
- Dec 10th, 2-3pm, Hussein Nasralah from WPI.
- Title: Pricing American Options Using Convex Risk Measures(abstract)
- Nov 19th, 2-3pm, Gu Wang from WPI.
- Title: Sharing Profits in the Sharing Economy(abstract)
- Nov 5th, 2-3pm,Xiaoli Wei from UC Berkeley
- Title: Itô’s formula for flow of measures on semimartingales(abstract)
- Oct 22th, 2-3pm, Bin Zou from University of Connecticut.
- Title: Margin Constraints, Default Aversion, and Optimal Hedging in Bitcoin Futures Markets(abstract)
- Oct 8th, 9-10am, Lingfei Li from Chinese University of Hong Kong
- Title: A General Method for Valuation of Drawdown Risk under Markov Models(abstract)
- Sep 10th, 9-10am, Xiaolu Tan from Chinese University of Hong Kong
- Title: A C^{0,1}-functional Ito formula and its applications in finance (abstract)
Spring 2020
- Feb 24th, 4-5pm, SH306, Scott Robertson from Boston University
- Title: Dynamic Noisy Rational Expectations Equilibrium with Heterogeneous Information (abstract)
- Mar 6th, 11am-12, SH203, Peter Caines from McGill University
- Title: Graphon Mean Field Games: A Dynamical Equilibrium Theory for a Networked World (abstract)
- Mar 10th, 4-5pm, Term Break
- Mar 20th, 11am-12, SH203, George Yin from Wayne State University
- Apr 6th, SH306, Mauricio Enrique Elizalde Mejía from Universidad Autónoma de Madrid
- Title: Optimal Investments with Anticipative Information (abstract)
Fall 2019
- Sep 10th, 4-5pm, Hao Xing from BU
- Title: Rational inattention and dynamic discrete choice (abstract)
- Oct 8th, 4-5pm, Alex Hening from Tufts
- Title: The Inverse First Passage Time Problem for killed Brownian motion (abstract)
- Oct 15th, Term Break
- Oct 29th, 4-5pm, Ju-yi Yen from University of Cincinnati
- Title: Limit Theorems and Regenerative Processes (abstract)
- Nov 5th, 4-5pm, Lingjiong Zhu from FSU
- Title: Stochastic Gradient Hamiltonian Monte Carlo for Non-Convex Stochastic Optimization (abstract)