VIGRE Financial Mathematics Seminar Series


The seminar presents weekly lectures in Financial Mathematics by leading academic researchers and practitioners.
Time: Fridays, 12:30pm-1:30pm in RLM 11.176 (the exact time and location is subject to changes)
Contact: The organizers are Thaleia Zariphopoulou and Gordan Zitkovic. For further information or to be included in the seminar email list, please contact us at gordanz@math.utexas.edu

Talks for Fall 2005

Date

Speaker

Title

Place

Time

Sep. 9

Vadim Linetsky (Northwestern University)

Unified Valuation of Corporate Liabilities, Equity Derivatives and Credit Derivatives (see also)

RLM 11.176

12:30pm

Sep. 16

Valdo Durrleman (Stanford University)

From Implied to Spot Volatilities

RLM 11.176

12:30pm

Sep. 23

Jaksa Cvitanic (Caltech and USC)

Principal-Agent problems in continuous time (see also)

RLM 11.176

12:30pm

Sep. 30

Juyoung Lim (UT Austin)

A numerical algorithm for indifference pricing inincomplete markets

RLM 11.176

12:30pm

Oct. 7

Dilip Madan (University of Maryland)

Self Decomposability and Option Pricing (see also)

RLM 11.176

12:30pm

Oct 19

Constantinos Kardaras

THE NUMERAIRE PORTFOLIO AND ARBITRAGE IN SEMIMARTINGALE MODELS OF FINANCIAL MARKETS

RLM 12.166

2:00pm

Oct 21

Mihai Sirbu (Columbia University)

ON THE TWO-TIMES DIFFERENTIABILITY OF THE VALUE FUNCTIONS IN THE PROBLEM OF OPTIMAL INVESTMENT IN INCOMPLETE MARKETS

RLM 11.176

12:30pm

Oct 28

Aytac Ilhan (Oxford University) †

Optimal Static-Dynamic Hedges for Employee Stock Options

GSB 2.120

10:00am

Oct 28

Frederi Viens (Purdue University)

Selection of an Optimal Portfolio with Stochastic volatility and Discrete Observations

RLM 11.176

12:30pm

Nov 4

Mark Owen (Heriot-Watt University)

1. Cone duality and utility-based super-replication prices
2. Optimal investment in markets when wealth may become negative

RLM 11.176

12:30pm

Nov 11

Roger Lee (University of Chicago)

General Put-Call Symmetry and Semi-Static Hedging

RLM 11.176

12:30pm

 

† Joint with IROM

Talks from past semesters

Spring 2005
Fall 2004
Spring 2004
Fall 2003
Spring 2003
Fall 2002