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Fall 2005 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 2005

Unless otherwise stated, the talks take place on Mondays at 5 P.M. in Wean Hall, 6423.

September 1, Thursday, at 5:00 P.M. in DH 4303
Steven D'Silva, Lehman Brothers.
Time Consistent and Currency Invariant Convex Risk Measures (Abstract).
September 14, Wednesday, at 4:30 P.M. in McConomy Auditorium, University Center
Nash Distinguished Lecture Series in Quantitative Finance:
Harry M. Markowitz
Portfolio Theory: Past, Present and Future .
September 26
Peter Bank, Columbia University.
On Gittins' Index Theorem in Continuous Time.
October 3
Anatoli Karolik, Carnegie Mellon University.
A Model of Correlated Credit Migrations (Abstract).
October 24
Kasper Larsen, Carnegie Mellon University.
The semimartingale property via bounded logarithmic utility (Paper).
October 31
Dmitry Ostrovsky, Lehigh University.
Option Pricing in Random Time.
November 7
Alexander Cherny, Moscow State University.
Pricing, optimality and equilibrium based on coherent risk measures. (Abstract, related papers: [1] and [2]).
November 28
Albert Cohen, Carnegie Mellon University.
Cashing out: stopping diffusion as close as possible to its max.
December 5
Sean Hilden, Carnegie Mellon University.
Allocation of Risk Capital via Intra-firm Trading (Abstract).