Here's another one...
This one is being given in the Engineering building (Mudd Hall; NW corner of Columbia quad) while the other one is being given at Mathematics hall (close to Subway on Broadway)
Risk Seminar, Tomorrow Friday 3-4pm, 470 Mudd
Note the Time for Prof. Erhan's talk is from 3-4pm
Tomorrow Friday Prof. Erhan Bayraktar from University of Michigan will give a lecture at the Topics in Risk seminar.
The title of his talk is "Strict Local Martingale Deflators and Pricing American Call-Type Options".
About the speaker: Erhan Bayraktar is an Associate Professor of Mathematics and Susan M. Smith Professor at the University of Michigan. His primary research interests are in mathematical finance, stochastic analysis, applied probability, and stochastic control. His research is funded by the National Science Foundation and he received an NSF CAREER grant in Applied Mathematics in 2010. He has published articles in several mainstream journals, including Stochastic Processes and Their Applications, SIAM Journal on Control and Optimization, SIAM Journal on Mathematical Analysis, Mathematical Finance, Finance and Stochastics, Mathematics of Operations Research, Annals of Applied Probability, Proceedings of the American Mathematical Society, and Illinois Journal of Mathematics.
Professor Bayraktar earned his Ph.D. in Electrical Engineering from Princeton University in 2004. He graduated from Middle East Technical University in Ankara, Turkey in 2000 with two B.S. degrees: one in Electrical Engineering and the other in Mathematics.
Day: Friday, November 5th
Time: 3-4pm
Room: 470 Mudd
Prof. Erhan Bayraktar,
University of Michigan
Title: Strict Local Martingale Deflators and Pricing American Call-Type Options
Abstract: We solve the problem of pricing and optimal exercise of American call- type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
Available at ARXIV. To appear in Finance and Stochastics.
