Colloquia Past Events

• Adaptive Information
• Robert Nowak, University of Wisconsin-Madison
• Tue May 1 2012 4:30 PM
• Sherrerd 101

• Algebraic Statistics for Social Network Models: Recent Results and Challenges
• Stephen E. Fienberg, Carnegie Mellon University
• Tue Apr 24 2012 4:30 PM
• Sherrerd Hall 101

• Risk-Averse Control of Undiscounted Transient Markov Models
• Andrzej Ruszczynski, Rutgers University Business School
• Tue Apr 10 2012 4:30 PM
• Sherrerd Hall 101

• Large Flexible Service Systems: Scaling Properties of Stationary Distributions
• Alexander Stolyar, Bell Laboratories
• Tue Apr 3 2012 4:30 PM
• Sherrerd Hall 101

• Linear Vector Optimization: Duality, Algorithms and Applications in Finance
• Andreas Loehne, Martin-Luther University Halle-Wittenberg
• Tue Mar 27 2012 4:30 PM
• Sherrerd Hall 101

• *** CANCELLED *** Rescheduled to April 10th
• Alexander Shapiro, Georgia Institute of Technology
• Tue Mar 13 2012 4:30 PM
• Sherrerd Hall 101

• Market Breakdown and Indeterminacy under Model Uncertainty
• Frank Riedel, University of Bielefeld
• Tue Mar 6 2012 4:30 PM
• Sherrerd Hall 101

• Can One Detect a Bubble in Real Time?
• Philip Protter, Columbia University
• Tue Feb 28 2012 4:30 PM
• Sherrerd Hall 101

• On Duality in Multiple Objective Linear Programming
• Dinh The Luc, Université d'Avignon
• Tue Feb 21 2012 4:30 PM
• Sherrerd Hall 101

• Nonparametric Graph Estimation
• Han Liu, Johns Hopkins University
• Thu Feb 16 2012 4:30 PM
• 101 Sherrerd Hall

• Convex Regularization Algorithms for Learning LargeIncomplete Matrices
• Rahul Mazumder, Stanford University
• Tue Feb 14 2012 4:30 PM
• 101 Sherrerd Hall

• Singular Value Decomposition forHigh-Dimensional Data
• Dan (Daniela) Yang, Wharton School Univ of Pennsylvania
• Fri Feb 10 2012 4:30 PM
• 101 Sherrerd Hall

• Statistical Inference for Non-parametric Models in High Dimensions:Statistical and Computational Aspects
• Garvesh Raskutti, UC Berkeley
• Wed Feb 8 2012 4:30 PM
• 101 Sherrerd Hall

• Sparse Hierarchical Interactions
• Jacob Bien, Stanford University
• Mon Feb 6 2012 4:30 PM
• 101 Sherrerd Hall

• Application of High-dimensional Regression to Communication
• Antony Joseph - Yale University
• Thu Jan 26 2012 4:30 PM
• 101 Sherrerd Hall

• Some Applications of Shape-restricted Estimation and Bootstrap Techniques to Semiparametric and Nonparametric Regression Models
• Emilio Seijo, Columbia University
• Tue Jan 24 2012 4:30 PM
• 101 Sherrerd Hall

• Estimation and Detection of High-variable Functions: The Curse of Dimensionality and How To Fight It
• Yuri Ingster, St. Petersburg Electrotechnical University (LETI), Russia
• Mon Jan 23 2012 4:30 PM
• Sherrerd Hall 101

• Mathematical Models in Finance and Economics
• Larry Shepp, The Wharton School, University of Pennsylvania
• Tue Dec 13 2011 4:30 PM
• Sherrerd Hall 101

• Directional Derivatives of Reflection Maps and their Applications
• Kavita Ramanan, Brown University
• Tue Dec 6 2011 4:30 PM
• Sherrerd Hall 101

• Stochastic Solutions of Some Optimization Problems Arising in Finance
• Alexander Schied, University of Mannheim
• Tue Nov 29 2011 4:30 PM
• Sherrerd Hall 101

• Adaptive Estimation of Large Covariance Matrices
• Tony Cai, University of Pennsylvania
• Tue Nov 22 2011 4:30 PM
• Sherrerd Hall 101

• Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints
• Lionel Martellini, EDHEC Risk Institute
• Tue Nov 15 2011 4:30 PM
• Sherrerd Hall 101

• Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
• Olivier Scaillet, GFRI, Université de Genève
• Tue Nov 8 2011 4:30 PM
• Sherrerd Hall 101

• Potential (and Kinetic) Energy in Statistics
• Gabor Szekely, Program Director NSF
• Tue Oct 25 2011 4:30 PM
• Sherrerd Hall 101

• Sampling-based Methods for Identifying the Initial Transient
• Peter Glynn, Stanford University
• Tue Oct 18 2011 4:30 PM
• Sherrerd Hall 101

• The Effect of Estimation in High-dimensional Portfolios
• Axel Gandy, Imperial College London
• Tue Oct 11 2011 4:30 PM
• Sherrerd Hall 101

• Using Interior-Point Methods within Mixed-Integer Nonlinear Programming
• Hande Benson, Drexel University
• Tue Oct 4 2011 4:30 PM
• Sherrerd Hall 101

• Equilibrium for Discontinuous Games and Optimal Regulation in Electricity Markets
• Alejandro Jofre, University of Chile
• Mon Sep 26 2011 4:00 PM
• Sherrerd Hall 125

• American and Bermudan Options in Currency Markets under Proportional Transaction Costs
• Alet Roux, University of York
• Tue Sep 20 2011 4:30 PM
• Sherrerd Hall 101

• Filtering of Affine Processes
• Josef Teichmann, ETH, Zurich, Switzerland
• Tue Apr 26 2011 1:30 PM
• Sherrerd Hall 101

• Mixture of Consistent Stochastic Utilities and A priori Randomness
• Nicole El Karoui, Ecole Polytechnique, Paris
• Thu Apr 21 2011 1:30 PM
• Sherrerd Hall 101

• Strategic Supply Function Competition with Private Information
• Xavier Vives, IESE Business School, University of Navarra, Spain
• Tue Apr 19 2011 1:30 PM
• Sherrerd Hall 101

• BSDE, PDE and Nonlinear Expectation
• Shige Peng, Shandong University, China
• Tue Apr 12 2011 1:30 PM
• Sherrerd Hall 101

• A Multi-class Mean-field Model for Connections Implementing TCP-like Congestion Control
• Carl Graham, CMAP, Ecole Polytechnique
• Thu Apr 7 2011 1:30 PM
• Sherrerd Hall 125

• Recent Developments on Non-Markovian Forward-Backward SDEs
• Jin Ma, University of Southern California
• Tue Apr 5 2011 1:30 PM
• Sherrerd Hall 101

• *** CANCELLED ***
• Cancelled ~ Kavita Ramanan, Brown University
• Tue Mar 29 2011 1:30 PM
• Sherrerd Hall 101

• The Dynamics of Power (in wholesale electricity markets)Based on recent papers:~A Control Theorist's Perspective on Dynamic Competitive Equilibria in Electricity Markets~The Value of Volatile Resources in Electricity Markets
• Sean Meyn, Univeristy of Illinois, Urbana-Champaign
• Tue Mar 22 2011 1:30 PM
• Sherrerd Hall 101

• Topological Expansion for Random Matrices
• Alice Guionnet, ENS, Lyon, France
• Thu Mar 10 2011 12:00 PM
• Sherrerd Hall 125

• Ergodic BSDEs and Applications
• Ying Hu, IRMAR, Universite de Rennes1, France
• Tue Mar 8 2011 1:30 PM
• Sherrerd Hall 101

• Performance Bounds and Suboptimal Policies for Stochastic Control
• Yang Wang, Stanford University
• Fri Mar 4 2011 11:30 AM
• Sherrerd Hall 125

• Computational Optimization of Multiscale Stochastic Processes in Energy Systems
• Panos Parpas, MIT
• Wed Mar 2 2011 4:30 PM
• Sherrerd Hall 125

• Convex Stochastic Target Problems
• Michael Kupper, Humboldt University, Berlin
• Tue Mar 1 2011 1:30 PM
• ORFE 101

• The Solution Path of the Generalized Lasso
• Ryan Tibshirani, Stanford University
• Thu Feb 24 2011 4:30 PM
• Sherrerd Hall 125

• *** CANCELLED ***
• Thaleia Zariphopoulou, University of Texas at Austin
• Tue Feb 22 2011 1:30 PM
• ORFE 101

• Bandits Games and Combinatorial Problems in Statistics
• Sebastien Bubeck, Centre de Recerca Matemàtica
• Mon Feb 21 2011 4:30 PM
• Sherrerd Hall 125

• Large-Scale Optimization with Applications in Compressed Sensing
• Fatma Kilinc-Karzan, Georgia Tech
• Thu Feb 17 2011 4:30 PM
• Sherrerd Hall 125

• Price of Correlations in Stochastic Optimization
• Shipra Agrawal, Stanford University
• Mon Feb 14 2011 11:40 AM
• Room 125

• Risk management, Modeling Volatile Markets and Forecasting Market Crashes
• Svetlozar Rachev, Stony Brook University
• Tue Feb 8 2011 1:30 PM
• Sherrerd%2C 101

• Coupling Optional Polya Trees---a Bayesian Nonparametric Approach to Case-control Studies
• Li Ma, Stanford University
• Mon Feb 7 2011 4:30 PM
• Room 101

• Shrinkage Estimation in Heteroscedastic Hierarchical Models
• Xianchao Xie, Harvard University
• Thu Feb 3 2011 4:30 PM
• Room 101

• An Investment Model Via Regime-Switching Economic Indicators
• Yonggan Zhao, Dalhousie University
• Tue Feb 1 2011 1:30 PM
• Sherrerd%2C 101

• Clark-Ocone Formula and It's Applications
• David Nualart, University of Kansas
• Tue Dec 14 2010 4:30 PM
• Sherrerd 101

• Stochastic Analysis for a Simple Neuron Model Driven by a Periodic Signal and a Random Noise
• Francois Delarue, Universite de Nice
• Tue Dec 7 2010 4:30 PM
• ORFE 101

• Asymptotics for Local and Stochastic Volatility Models
• Peter Laurence, New York University
• Tue Nov 23 2010 4:30 PM
• ORFE 101

• POSTPONED - Yonggan Zhao, Dalhousie University
• Tue Nov 16 2010 4:30 PM
• ORFE 101

• Asymptotic Error Rates in QuantumHypothesis Testing
• Michael Nussbaum, Cornell University
• Tue Nov 9 2010 4:30 PM
• ORFE 101

• Two Approaches for Carbon Pricing in the European Carbon Market Context
• Mireille Bossy, INRIA(France)
• Tue Oct 26 2010 4:30 PM
• ORFE 101

• A New Approach to Risk Modeling Under Uncertainty
• Mitja Stadje
• Tue Oct 19 2010 4:30 PM
• Sherrerd 101

• An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation
• Nicola Secomandi, Carnegie Mellon University
• Tue Oct 12 2010 4:30 PM
• ORFE 101

• Scalable Stochastic Programming for Energy Applications via Interior-Point Methods
• Mihai Anitescu, Argonne National Laboratory
• Tue Oct 5 2010 4:30 PM
• ORFE 101

• Von Neumann Entropy Penalization in Low Rank Matrix Regression
• Vladimir Koltchinskii, Georgia Tech
• Tue Sep 28 2010 4:30 PM
• ORFE 101

• Portfolio Turnpikes in Incomplete Markets
• Paolo Guasoni, Boston University
• Wed Sep 22 2010 4:30 PM
• ORFE 101

• Competition with Varying Toughness and Innovation
• Claude d'Aspremont, CORE, Universite Catholique de Louvain
• Tue May 25 2010 4:30 PM
• Sherrerd Hall%2C rm. 125

• Bi-Parametric Convex Quadratic OptimizationAbstractFull Research Paper
• Tamás Terlaky, Lehigh University
• Tue Apr 27 2010 4:30 PM
• Sherrerd Hall%2C 101

• Exact Solutions in Linear and Integer Programming
• William Cook, Georgia Tech
• Tue Apr 20 2010 4:30 PM
• Sherrerd Hall 101

• Non-Normal Random Matrices and Convergence To a Ring
• Ofer Zeitouni, Weizmann Institute
• Tue Apr 13 2010 4:30 PM
• Sherrerd Hall 101

• Stochastic Decomposition as a Data Driven Process
• Suvrajeet Sen, University of Arizona
• Tue Apr 6 2010 4:30 PM
• Sherrerd Hall 101

• A Stochastic Competitive R&D Race Where ``Winner Takes All: Explicit Computation of a Unique Nash Equilibrium
• Uriel Rothblum, Technion - Israel Institute of Technology
• Thu Apr 1 2010 4:30 PM
• %2A%2A Sherrerd Hall 125 %2A%2A

• Risk Hull Method for Inverse Problems
• Laurent Cavalier, Université Aix-Marseille
• Tue Mar 30 2010 4:30 PM
• Sherrerd Hall 101

• From Distribution-Freeness To Semiparametric Efficiency: Sixty-Five Years of Rank-Based Inference
• Marc Hallin, Université Libre de Bruxelles
• Tue Mar 23 2010 4:30 PM
• Sherrerd Hall 101

• Systemic Risk Components as Deposit Insurance Premia
• Jeremy Staum, Northwestern University
• Tue Mar 9 2010 5:30 PM
• Sherrerd Hall 101

• The Joy of PCA
• Santosh Vempala, Georgia Tech
• Tue Mar 2 2010 4:30 PM
• Sherrerd Hall 101

• Quadratic and Superquadratic Backward Stochastic Differential Equationsand Related Partial Differential Equations
• Ying Hu, Université de Rennes 1
• Tue Feb 23 2010 4:30 PM
• Sherrerd Hall 101

• Fundamentals of Convergence Theories for Convex RelaxationHierarchies
• Levent Tuncel, University of Waterloo
• Tue Feb 9 2010 4:30 PM
• Sherrerd Hall 101

• Rare Events and Nonlinearities in Large Pools of Credit Assets
• Richard Sowers, University of Illinois
• Tue Feb 2 2010 4:30 PM
• Sherrerd Hall 101

• The Mathematics of Adaptive Execution
• Robert Almgren, Courant Institute of Mathematical Sciences at New York University
• Tue Dec 15 2009 4:30 PM
• Sherrerd Hall 101

• Arbitrage in Large Equity Markets
• Ioannis Karatzas, Columbia University
• Tue Dec 8 2009 4:30 PM
• Sherrerd Hall 101

• From Technical Analysis to Viscosity Solutions of Optimal Portfolio Allocation Problems in Models with Random Time Changes and Transaction Costs
• Denis Talay, INRIA Sophia Antipolis Méditerranée
• Tue Dec 1 2009 4:30 PM
• Sherrerd Hall 101

• Model Selection for Gaussian Mixture Models and Mixture of Factor Models
• Tao Huang, University of Virginia
• Tue Nov 24 2009 4:30 PM
• Sherrerd Hall 101

• Efficient Monte Carlo Barrier Option Pricing and Dynamic Scheduling of a Parallel Server Queueing System with Reneging
• Samim Ghamami, Center for Risk and Economic Analysis of Terrorism Events, USC
• Thu Nov 19 2009 4:30 PM
• Sherrerd Hall 101

• A General Approach to Small-time Large Deviations for Sample Paths of Infinite-Dimensional Symmetric Dirichlet Processes with Applications to the Wasserstein Diffusion
• Stephan Sturm, TU Berlin
• Tue Nov 17 2009 4:30 PM
• Sherrerd Hall 101

• Dynamic Control of a Service Center with Abandonments
• Mark E. Lewis, School of Operations Research and Information Engineering, Cornell University
• Thu Nov 12 2009 4:30 PM
• Sherrerd Hall 101

• Analysis of Fourier Transform Valuation Formulas and Applications
• Ernst Eberlein, University of Freiburg
• Tue Nov 10 2009 4:30 PM
• Sherrerd Hall 101

• Dynamic Pricing under Model Uncertainty
• Assaf Zeevi, Columbia GSB
• Tue Oct 27 2009 4:30 PM
• Sherrerd Hall 101

• A General Framework for Observation Driven Time-Varying Parameter Models
• Siem Jan Koopman, Vrije Universiteit Amsterdam
• Mon Oct 19 2009 3:30 PM
• Sherrerd Hall 101

• Ergodicity of Markov Processes: A marriage of topology and measure theory
• Martin Hairer, Courant Institute
• Tue Oct 13 2009 4:30 PM
• Sherrerd Hall 101

• Superhedging in illiquid markets
• Teemu Pennanen, Helsinki University of Technology
• Tue Oct 6 2009 4:30 PM
• Sherrerd Hall 101

• NSA Summer Program Opportunity
• Kevin Drummey, NSA
• Tue Sep 29 2009 4:30 PM
• Sherrerd Hall 101

• Risk-Averse Dynamic Programming For Markov Decision Processes
• Andrzej Ruszczynski, Rutgers University
• Wed Sep 23 2009 4:30 PM
• Sherrerd Hall 101

• Fenchel conjugates, directional derivatives and subdifferentials for set-valued convex functions
• Carola Schrage, Martin Luther University of Halle Wittenberg
• Tue Sep 8 2009 4:30 PM
• Sherrerd Hall 101

• Least Squares Estimation and Variable Selection under Minimax Concave Penalty
• Cun-Hui Zhang
• Tue Apr 21 2009 4:30 PM
• Sherrerd Hall 101

• New BSDE Results and Techniques For Utility Indifference Valuation
• Martin Schweizer, ETH Zurich
• Mon Apr 20 2009 4:30 PM
• Sherrerd Hall 101

• Ideal Money and Asymptotically Ideal Money
• John F. Nash, Princeton Math
• Tue Apr 14 2009 4:30 PM
• Sherrerd Hall 101

• Heuristics for Dynamic Resource Allocation based on Fair Charges
• Kevin Glazebrook, U. Lancaster
• Tue Apr 7 2009 4:30 PM
• Sherrerd Hall 101

• Recent Advances in Model-based Derivative Free Optimization
• Katya Scheinberg, Columbia University
• Tue Mar 31 2009 4:30 PM
• Sherrerd Hall 101

• A Long Time Asymptotic Theory for Nonlinear Filtering
• Ramon van Handel, Princeton University
• Tue Mar 24 2009 4:30 PM
• 101 Sherrerd Hall

• Management of Missing Data in Behavioral Finance Studies
• Karen Gold, Harvard University
• Thu Mar 12 2009 4:30 PM
• Friend Center 004

• Modeling the Forward Surface of Mortality
• Ruediger Kiesel, Ulm University
• Tue Mar 10 2009 4:30 PM
• Sherrerd Hall 101

• Default and Information: A No Arbitrage Perspective
• Delia Coculescu, ETH Zurich
• Tue Mar 3 2009 4:30 PM
• Sherrerd Hall 101

• Random Times that Look into the Future and Applications
• Ashkan Nikeghbali, Universitat Zurich
• Mon Mar 2 2009 4:30 PM
• Sherrerd Hall 101

• Engineering Design in the Presence of Errors
• Omid Nohadani, MIT
• Wed Feb 25 2009 4:30 PM
• Sherrerd Hall 101

• Time Changed Markov Processes in Unified Credit-Equity Modeling
• Rafael Mendoza, Northwestern University
• Mon Feb 23 2009 4:30 PM
• Sherrerd Hall 101

• Some Random Matrix Problems in High-Dimensional Statistics
• Noureddine El Karoui, UC Berkeley
• Thu Feb 19 2009 4:30 PM
• Friend Center 004

• Robust and Accelerated Stochastic Approximation Approaches for Stochastic Optimization
• Guanghui (George) Lan, Georgia Tech
• Mon Feb 16 2009 4:30 PM
• Sherrerd Hall 101

• Title TBA
• Ivar Ekeland
• Tue Feb 10 2009 4:30 PM
• Sherrerd Hall 101

• Inference in Gaussian Covariance Graph Models
• Kshitji Khare, Stanford University
• Mon Feb 9 2009 4:30 PM
• Sherrerd Hall 101

• Counterparty credit risk (potential exposure) models and other topics
• Greg Hopper
• Tue Feb 3 2009 4:30 PM
• Sherrerd Hall 101

• Economic Analysis of Simulation Selection Options
• Steve Chick, INSEAD (France)
• Thu Dec 11 2008 4:30 PM
• Sherrerd Hall 101

• The Extremogram: A Correlogram for Extreme Events
• Richard Davis, Columbia University
• Tue Dec 2 2008 4:30 PM
• Sherrerd Hall 101

• Use of Asymmetric Loss Function and the Concept of Sequential Sampling in a Multiple Linear Regression Setup
• Raghu Sengupta, IIT Kanpur
• Tue Nov 25 2008 4:30 PM
• Sherrerd Hall 101

• Noureddine El Karoui, UC Berkeley
• Tue Nov 18 2008 4:30 PM
• Sherrerd Hall 101

• On Mean Field Games
• Pierre-Louis Lions, Université Paris IX - Dauphine
• Tue Nov 11 2008 4:30 PM
• Sherrerd Hall 101

• Mean Field Games Theory: Introduction and Applications
• Jean Michel Lasry, Université Paris IX - Dauphine
• Tue Nov 4 2008 4:30 PM
• Sherrerd Hall 101

• Inference in High Dimensions: Trade-offs between Computational and Statistical Efficiency
• Martin Wainwright, UC Berkeley
• Tue Oct 21 2008 4:30 PM
• Sherrerd Hall 101

• Title TBA
• Speaker TBA
• Tue Oct 7 2008 4:30 PM
• ORFE Building Room 101

• Singular Control with State Constraints
• Amarjit Budhiraja, University of North Carolina, Chapel Hill
• Tue Sep 30 2008 4:30 PM
• ORFE Building Room 101

• Efficient Curve Detection using the Gauss-Newton Method
• Paulo Silva, University of Sao Paulo
• Thu May 15 2008 4:30 PM
• E-219 E-Quad

• Competition, Human Capital and Growth: a MFG Stylized Model
• Jean Michel Lasry, University Paris Dauphine
• Thu May 8 2008 4:30 PM
• E-219 E-Quad

• From an analogue of Ewens' measure on the unitary group to the circular Jacobi ensemble
• Ashkan Nikeghbali, ETH Zurich
• Tue May 6 2008 4:30 PM
• E-219 E-Quad

• Game Options, Risk and Their Binomial Approximations
• Yuri Kifer, Institute of Mathematics - Hebrew University
• Mon May 5 2008 4:30 PM
• Friend Bowl 004

• Behavioral Portfolio Choice in Continuous Time
• Xunyu Zhou, University of Oxford
• Wed Apr 30 2008 4:30 PM
• E-219 E-Quad

• Efficient Pricing of American Options in Models with Stochastic Volatility and Jumps
• Farid AitSahlia, University of Florida
• Tue Apr 29 2008 4:30 PM
• E-219 E-Quad

• Stochastic Programming, Progressive Hedging, and Projective Splitting Methods
• Jonathan Eckstein, Rutgers University
• Tue Apr 22 2008 4:30 PM
• E-219 E-Quad

• BeyondValue at Risk, Related Articles: Article 1, Article 2
• Lisa Goldberg
• Tue Apr 15 2008 4:30 PM
• E-219 E-Quad

• Pricing American Contingent Claims by Stochastic Linear Programming
• Mustafa Pinar, Bilkent University
• Tue Apr 8 2008 3:30 PM
• E-219 E-Quad

• Modelling High Dimensional Daily Volatilities Based on High-Frequency Data
• Qiwei Yao, London School of Economics
• Tue Apr 1 2008 4:30 PM
• E-219 E-Quad

• Properties of a Diversified World Stock Index
• Eckhard Platen, University of Technology, Sydney
• Thu Mar 27 2008 4:30 PM
• E-219 E-Quad

• On Dimensionality of Mean Structure from a Single Data Matrix
• Xuming He, University of Illinois at Urbana-Champaign
• Tue Mar 25 2008 4:30 PM
• E-219 E-Quad

• Stochastic Convex Optimization Using Mirror Averaging Algorithms
• Philippe Rigollet, Georgia Institute of Technology
• Thu Feb 28 2008 4:30 PM
• E-219 E-Quad

• Metric and Kernel Learning
• Inderjit Dhillon, University of Texas
• Tue Feb 26 2008 4:30 PM
• E-219 E-Quad

• Rounding Errors and Volatility Estimation
• Yingying Li, University of Chicago
• Mon Feb 25 2008 4:30 PM
• Friend Center 004

• Nonparametric Nonstationary Regression
• Melanie Schienle, University of Mannheim
• Fri Feb 22 2008 4:30 PM
• E-219 E-Quad

• High Dimensional Volatility Models
• David Matteson, University of Chicago
• Wed Feb 20 2008 4:30 PM
• E-219 E-Quad

• Prediction of Health Care Costs via Data-Mining and Algorithmic Discovery of Medical Knowledge
• Dimitris Bertsimas, MIT
• Tue Feb 12 2008 4:30 PM
• E-219 E-Quad

• Hidden Markov Models, Markov Chains in Random Environments, and Systems Theory
• Ramon van Handel, Cal Tech
• Wed Feb 6 2008 11:00 AM
• E-219 E-Quad

• A Weak Existence Result with Application to Model Calibration
• Gerard Brunick, Carnegie Mellon University
• Tue Jan 22 2008 11:00 AM
• E-219 E-Quad

• Optimality in Large-Scale Multiple Testing
• Tony Cai, The Wharton School, University of Pennsylvania
• Mon Dec 10 2007 4:30 PM
• Friend Center Room 008

• Optimal Portfolio Choice with Limited Downside Risk
• Stefan Weber, Cornell University
• Tue Dec 4 2007 4:30 PM
• E-219 E-Quad

• Are Volatility Estimators Robust with Respect to Modeling Assumptions?
• Yingying Li, University of Chicago
• Tue Nov 27 2007 4:30 PM
• E-219 E-Quad

• Violation of the Magnification Theorem in Gravitational Lensing
• Arlie Petters, Duke University
• Mon Nov 19 2007 4:30 PM
• E-219 E-Quad

• Reliable Methods for Rare Event Estimation
• Valdo Durrleman, Ecole Polytechnique, Paris
• Thu Nov 8 2007 4:30 PM
• E-219 E-Quad

• Asset Selection and Under- Diversification with Financial Constraints and Income: Implications for Household Portfolio Studies
• Stathis Tompaidis, University of Texas at Austin
• Tue Oct 23 2007 4:30 PM
• E-219 E-Quad

• Asymptotic Pricing of Stochastic Volatility Models for Commodities from Spot to Forward Models
• Sebastian Jaimungal, University of Toronto
• Tue Oct 16 2007 4:30 PM
• E-219 E-Quad

• Sparse Graphical Models and the US Senate
• Laurent El Ghaoui, U.C. Berkeley
• Thu Oct 11 2007 4:30 PM
• E-219 E-Quad

• Optimal Investment Strategies Under Partial Information and Bounded Shortfall Risk, Slides
• Ralf Wunderlich, Zwickau University of Applied Sciences
• Tue Oct 2 2007 4:30 PM
• E-219 E-Quad

• Asymptotic Optimality in Sequential Quickest Change-Point Detection for General Stochastic Models
• Alexander Tartakovsky, University of Southern California
• Tue Sep 25 2007 4:30 PM
• E-219 E-Quad

• Portfolio Theory with Convex Risk Measures
• Frank Heyde, MLU Halle-Wittenberg
• Tue May 8 2007 4:30 PM
• E-219 E-Quad

• Hedging Variance Options on Continuous Semimartingales
• Roger Lee, Dept. of Mathematics, Univ. of Chicago
• Tue May 1 2007 4:30 PM
• E-219 E-Quad

• Nurse-to-Patient Ratios Staffing Legislation: A Queueing Critique
• Otis B. Jennings, The Fuqua School of Business
• Thu Apr 26 2007 4:30 PM
• E-219 E-Quad

• A Duality Theory for Set-Valued Convex Functions
• Andreas Hamel, University Halle-Wittenberg
• Tue Apr 24 2007 4:30 PM
• E-219 E-Quad

• Busy
• Tue Apr 10 2007 4:30 PM

• Reliable Methods for Rare Event Estimation
• Paul Dupuis, Brown University
• Tue Apr 10 2007 4:30 PM
• E-219 E-Quad

• Functional Linear Regression That's Interpretable
• Gareth James, University of Southern California
• Thu Apr 5 2007 4:30 PM
• E-219 E-Quad

• Inverse Problems in Option Pricing and Random Mixtures of Martingales
• Rama Cont, Columbia University
• Wed Apr 4 2007 4:30 PM
• E-219 E-Quad

• Pathwise Stochastic Optimal Control
• Chris Rogers, Cambridge University
• Tue Apr 3 2007 4:30 PM
• E-219 E-Quad

• Equi-Energy Sampler: From Statistical Inference to Protein Folding
• Samuel Kou, Harvard University
• Tue Mar 13 2007 4:30 PM
• E-219 E-Quad

• A Filtering Approach to Tracking Volatility from Prices Observed at Random Times
• Boris Rozovsky, Brown University
• Tue Mar 6 2007 4:30 PM
• E-219 E-Quad

• Coherent Risk Measures and Coherent Acceptability Indices
• Alexander Cherny, Moscow State University
• Tue Feb 27 2007 4:30 PM
• E-219 E-Quad

• Modern Large-Scale Significance Testing
• John Storey, University of Washington
• Tue Feb 20 2007 4:30 PM
• E-219 E-Quad

• Data Based Probability for Parameter Values, Slides
• D.A.S. Fraser, University of Toronto
• Tue Feb 13 2007 4:30 PM
• E-219 E-Quad

• Stability of Utility-Maximization in Incomplete Markets, Slides
• Gordan Zitkovic, University of Texas
• Tue Dec 5 2006 3:30 PM
• E-219 E-Quad

• Dynamic Asset Allocation: A Portfolio Decomposition Formula and Applications, Slides
• Marcel Rindisbacher, University of Toronto
• Tue Nov 28 2006 4:30 PM
• E-219 E-Quad

• Roughing it up: Disentangling Continuous and Jump Components in Measuring, Modeling and Forecasting Asset Return Volatility, Slides
• Francis X. Diebold, University of Pennsylvania
• Tue Nov 14 2006 4:30 PM
• E-219 E-Quad

• Inferences on the Proportion of Non-Null Effects in Large-Scale Multiple Comparisons
• Jia-shun Jin, Purdue University
• Thu Nov 9 2006 4:30 PM
• E-219 E-Quad

• Sato Processes and the Valuation of Structured Products, Paper, Slides
• Dilip Madan, University of Maryland
• Tue Nov 7 2006 4:30 PM
• E-219 E-Quad

• A Fictitious Play Approach to Complex Systems Optimization
• Robert L. Smith, University of Michigan
• Tue Oct 24 2006 4:30 PM
• E-219 E-Quad

• Two Optimization Problems Arising from Polling and Nonhomogeneous Poisson Processes
• Jonathan Eckstein, Rutgers University
• Wed Oct 18 2006 4:30 PM
• E-219 E-Quad

• Tikhonov Regularisation for Functional Minimum Distance Estimators, Paper, Slides
• Olivier Scaillet, University of Geneva
• Tue Oct 10 2006 4:30 PM
• E-219 E-Quad

• Generalized Deviations Are Counterparts to Risk Measures, Slides
• Stanislav Uryasev, University of Florida
• Tue Sep 26 2006 4:30 PM
• E-219 E-Quad

• Maximum Drawdown, Directional Trading and Market Crashes
• Jan Vecer, Columbia University
• Tue Sep 19 2006 4:30 PM
• E-219 E-Quad

• Title TBA
• Wolfgang Härdle, Humboldt-Universität zu Berlin
• Tue Mar 14 2006 4:30 PM

• Title TBA
• Andrew Lim, UC Berkeley
• Tue Feb 21 2006 4:30 PM