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Fall 2003 Seminars
Probability and Computational Finance Seminars
If you have questions or suggestions about the
seminar, please contact the
organizers: Agoston
Pisztora
/ Kavita
Ramanan (Probability), Kasper Larsen /
Dmitry
Kramkov
/ Steven Shreve
(Mathematical Finance).
Further details for outside speakers or visitors.
Schedule for Fall 2003
Unless otherwise stated, the talks take place on Tuesdays at 4:155:45 P.M. in PPB 300.
 September 30
 Dmitry Kramkov, Carnegie Mellon University
On uniqueness of utility based prices in incomplete
markets
 October 7
 Gordan Zitkovic, Carnegie Mellon University Utility maximization with a stochastic clock
 October 14, 5:30 p.m.
 Konstantinos Kardaras, Columbia University
Diversity and relative arbitrage
in equity markets
 October 21
 Kenneth Kortanek, University of Iowa
Extracting zero curves under a law of motion by
geometric programming
 October 28
 Philip Protter, Cornell University
The approximate Euler method for Levy driven stochastic
differential equations
 November 18
 Steven Shreve, Carnegie Mellon University
Satisfying Conex Risk
Limits by Trading
 November 25
 Alan Brace, BNP Paribas, New York
Some aspects of modelling Treasury Bond Futures
 December 2
 Mihai Sirbu, Carnegie Mellon University
Risktolerance wealth processes and sensitivity analysis of utility
based prices.
 December 9
 David Hobson, University of Bath (currently visiting Princeton
University)
A comparison of option prices in a stochastic volatility model.
