Schedule for Fall 2013

Seminars are on Thursdays
Time: 4:10pm – 5:25pm
Location: Columbia University, 903 SSW (1255 Amsterdam Ave, between 121st and 122nd Street)

Organizers: Ioannis Karatzas, Philip Protter, Marcel Nutz, Hongzhong Zhang

Date	Description
9/12/2013	Bruno Dupire Functional Ito Calculus and Financial Applications PDF Abstract
9/19/2013	Jan Obloj Two tales in tractable (robust) portfolio optimisation PDF Abstract
9/26/2013	José Blanchet On Strong Monte Carlo Couplings and Rough Differential Equations PDF Abstract
10/3/2013	Tomoyuki Ichiba Large deviations in an interbank lending system PDF Abstract
10/10/2013	Mathieu Rosenbaum Large tick assets: implicit spread and optimal tick size PDF Abstract
10/17/2013	Konstantinos Spiliopoulos Systemic risk in large financial networks PDF Abstract
10/24/2013	Nizar Touzi Martingale optimal transport and robust hedging PDF Abstract
10/31/2013	Martin Keller-Ressel Free Boundary SPDE models for the limit order book PDF Abstract
11/7/2013	Matthew Lorig Pricing varaince swaps on time-changed Markov processes PDF Abstract
11/14/2013	Mathias Beiglböck Model-Independent Finance, Optimal Transport and Skorokhod Embedding PDF Abstract
11/21/2013	José Scheinkman Speculation and bubbles: The case of finitely lived assets PDF Abstract
11/28/2013	No Seminar (Thanksgiving)
12/25/2013	Francesca Biagini Mathematical models for the formation of financial bubbles PDF Abstract

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