Department of

Mathematics


Seminar Calendar
for events the day of Friday, January 19, 2018.

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Questions regarding events or the calendar should be directed to Tori Corkery.
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Friday, January 19, 2018

12:00 pm in 443 Altgeld Hall,Friday, January 19, 2018

Organizational meeting

Anna Lysts (UIUC Math)

Abstract: We will find a regular seminar time for the semester and people will volunteer for dates to give talks. Cookies will be provided of course.

4:00 pm in 241 Altgeld Hall,Friday, January 19, 2018

Organizational Meeting

Abstract: We'll get the schedule of talks for the semester worked out. There will be cookies.

4:00 pm in 245 Altgeld Hall,Friday, January 19, 2018

Investment, Consumption, and Pricing: A Forward-Thinking Approach

Wing Fung Chong (University of Illinois at Urbana-Champaign)

Abstract: Under the expected utility paradigm, the optimal investment and consumption problem was solved by Merton in 1969. His pioneering work adopting the expected utility framework inspired numerous optimality problems in various topics of actuarial and financial mathematics. The theory of indifference pricing is one of the representative instances. However, these elegant theories were built upon, first, fixing an investment and consumption horizon and, second, a priori assuming future utilities. In this talk, a recently developed notion called forward investment performance process by Musiela and Zariphopoulou will be introduced. With the element of consumption, SPDE and BSDE representations of forward investment and consumption performance processes will be presented. Properties and the large maturity behavior of forward entropic risk measures will be explored via BSDE representations.