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September 2014

Stochastic Analysis Common-Pietro Siorpaes (University of Oxford)-Optimal Investment and Price Dependence in a Semi-static Market
Monday, 9/8/2014 4:00 PM-5:00 PM
Stratton Hall, 308
ABSTRACT: We study the problem of maximizing expected utility from terminal wealth in a semi-static market composed of derivative securities, which we assume can be traded only at time zero, and of stocks, which can be traded continuously in time and are modeled as locallybounded semi-martingales. Using a general utility function defined on the positive real line, we first study existence and uniqueness of the solution, and then we consider the dependence of the outputs of the utility maximization problem on the price of the derivatives, investigating not only stability but also differentiability, monotonicity, convexity and limiting properties.
For more information, e-mail ma-chair@wpi.edu.

Martin Bazant (MIT)-Title TBA
Friday, 9/12/2014 11:00 AM-12:00 PM
Stratton Hall, 203
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

Statistics Seminar-Ming-Hui Chen (UConn)-Title TBA
Monday, 9/15/2014 11:00 AM-12:00 PM
Stratton Hall, 304
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

Stochastic Analysis Common-Xingjie Li (Brown University)-Title TBA
Monday, 9/22/2014 4:00 PM-5:00 PM
Stratton Hall, 308
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

CIMS Colloquium-Vanessa Lopez (IBM)-Title TBA
Friday, 9/26/2014 11:00 AM-12:00 PM
Stratton Hall, 203
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

November 2014

Colloquium-Gwen Spencer (Smith College)-Title TBA
Friday, 11/7/2014 11:00 AM-12:00 PM
Stratton Hall, 203
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

December 2014

Colloquium-Jeremy Tyson (UIUC)-Title TBA
Friday, 12/5/2014 11:00 AM-12:00 PM
Stratton Hall, 203
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

February 2015

Colloquium-Thaleia Zariphopoulou (UT Austin)-Title TBA
Friday, 2/20/2015 11:00 AM-12:00 PM
Stratton Hall, 203
ABSTRACT: TBA
For more information, e-mail ma-chair@wpi.edu.

 
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