Seminars for 2019-2020

Seminars will be posted as speakers confirm their visits.

Unless specified, seminars are held on Thursdays, from 11am to noon, Stevanovich Center Library, 5727 S. University Ave.


Thursday, October 10, 2019 – 11am-noon – Stevanovich Center Library

Shige Peng

Professor of Mathematics, Shandong University, China, and academician of the Chinese Academy of Sciences

Problem of Utility Maximization in a Framework of G-Brownian Motion
G-Brownian motion is defined as a continuous stochastic process with stable and independent increments under a framework of sublinear expectation, called G-expectation. It is a natural and robust generalization of the classical framework of Brownian motion under probability distribution uncertainty, known as ambiguity or Knightian uncertainty. A crucially important advantage of the stochastic calculus in this new framework is that many risky quantities dangerously neglected by probability measures P can be safely ‘detected’ and robustly quantified. In this talk the problem of utility maximization problem under a framework of G-Brownian motion is investigated.  We also discuss the corresponding dynamic programming principle and numerical realizations.  

Thursday, October 17, 2019 – 11am-noon – Stevanovich Center Library

Anne Lundgaard Hansen

Ph.D. Candidate, Department of Economics at the University of Copenhagen and Danmarks Nationalbank

Yield Curve Volatility and Macroeconomic Risks

tba


Thursday, November 7, 2019 – 11am-noon – Stevanovich Center Library

Tarun Ramadorai

Professor of Financial Economics at Imperial College London

TBA

Thursday, February 20, 2020 – 11am-noon – Stevanovich Center Library

Danqi Chen

Associate Professor in the Department of Computer Science, Princeton University


Thursday, April 2, 2020 – 11am-noon – Stevanovich Center Library

Christian Brownlees

Associate Professor in the Department of Economics and Business at the Universitat Pompeu Fabra, Barcelona, Spain

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