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Short-Time Asymptotics for Options on Leveraged ETFs under Exponential Lévy Models with Local Volatility

Host Department of Applied Mathematics Speaker Ruoting Gong Department of Applied Mathematics, Ï㽶´«Ã½ Institute of Technology Description In this talk, the speaker considers the small-time...

Time Consistency in Decision Making

HostDepartment of Applied Mathematics SpeakerIgor CialencoDepartment of Applied Mathematics, Ï㽶´«Ã½ Institute of Technologyhttp://www.math.iit.edu/~igor/index.html Description The speaker will...

Risk Sensitive Asset Management and Cascading Defaults

HostDepartment of Applied Mathematics SpeakerJohn Birge, Jerry W. and Carol L. Levin Distinguished Service Professor of Operations ManagementGraduate School of Business, The University of Chicagohttps...

Risk-Averse Control of Markov Systems

HostDepartment of Applied Mathematics SpeakerAndrzej Ruszczynski, Distinguished ProfessorDepartment of Management Science and Information Systems, Rutgers Universityhttp://www.rusz.rutgers.edu/...

Designing Computer Experiments – What Matters?

HostDepartment of Applied Mathematics SpeakerJerome Sacks, Director Emeritus, Professor Emeritus of Statistical ScienceNational Institute of Statistical Sciences;Institute of Statistics and Decision...

Solution of Geomorphic Stefan Problems

HostDepartment of Applied Mathematics SpeakerVaughan R. Voller, ProfessorDepartment of Civil Engineering, University of Minnesotahttp://personal.ce.umn.edu/~voller/ Description Although, in a strict...

Graduate Colloquium

Special Engagement Colloquium: Ergodic Theory of Singular Stochastic PDEs

HostCollege of Science & Department of Applied Mathematics SpeakerMartin Hairer, 2014 Fields Medalist and Regius Professor of MathematicsDepartment of Mathematics, The University of Warwickhttp://www...

Mathematical Modeling of Lipid Bilayer Membranes in Biological Fluid-Structure Interactions

Host Department of Applied Mathematics Speaker Yuan N. Young, Associate Professor Department of Mathematical Sciences, New Jersey Institute of Technology https://web.njit.edu/~yyoung/ Description...

Conservative Discretizations and Long-Term Stability

HostDepartment of Applied Mathematics SpeakerAndy Wan, Postdoctoral FellowDepartment of Mathematics and Statistics, McGill Universityhttp://www.math.mcgill.ca/awan/ Description Conservative...