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Event Archive

Nov 7, 2017 (All day)
College of Science - Other - Illinois Tech
#TECHYEAH!  Illinois Tech's Giving Day is here! This year's Giving Day promises to be the best one yet—with your help, of course! We hope you'll join us this year by spreading the word on social media, sharing with fellow alumni, even being part of the fun on campus, and make a gift! Visit... read more
Monique Jeanblanc - Département de Mathématiques, Université d'Evry Val d'Essonne
Nov 6, 2017 - 1:50pm to 2:55pm
Department of Applied Mathematics - Colloquia - Rettaliata Engineering Center, Room 104
We study, in a discrete time setting, the enlargement of filtration problem. We consider martingales in some filtration \(\mathbb{F}\), and we introduce a larger filtration \(\mathbb{G}\). We show that the martingale property in the \(\mathbb{G}\) filtration is, in general, lost, and we study the... read more
Igor Cialenco - Department of Applied Mathematics, Illinois Institute of Technology
Oct 31, 2017 - 12:40pm to 1:35pm
Department of Applied Mathematics - Seminar - Rettaliata Engineering Center, Room 032
We proposed a nonlinear arbitrage-free pricing theory, which arises in a natural way when accounting for salient features of real-world trades such as: trading constraints, differential funding costs, collateralization, counterparty credit risk and capital requirements. We introduce the notion of... read more