About the Department Undergrad Studies Graduate Studies Research Seminars New books Faculty & Staff News & Events Alumni & Friends Course Information Statistical Consulting Mathematics Learning Center	Research Financial Mathematics Seminar · Henrik Shahgholian, Professor of Mathematics at the Royal Institute of Technology, Stockholm,Sweden, will speak on A Free Boundary Approach to American-type Problems on Wednesday, March 5, 2008, 4:30 – 5:30 pm Room 325 Braunstein Hall on UC’s Main Campus Abstract: In this lecture we present two different problems. The first problem is concerned with American-type options, with several underliers. We give some description of the exercise region close to maturity for the standard American option, as well as the max option. The second problem is that of optimal switching, which is presented as a variational system. Here we show optimal regularity of the solution functions by reducing the problem to the standard obstacle problem. Web page: www.math.kth.se/~henriksh Financial Mathematics Seminar – Past Events: · Robert Kimmel, Series Solutions to Asset Pricing Problems, January 16, 2008 · Srdjan Stojanovic: Equity Valuation and Market Share Dynamics, October 31^st 2007 · Hui Gou: Idiosyncratic Stock Volatility and Foreign Exchange Rates, October 17th 2007 · Srdjan Stojanovic: FX Rates, FX Derivatives, and Why the Japanese Yen Falls When Investors Ignore Risks, October 3rd 2007.

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