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Fall 2007 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 2007

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

August 27
Marek Rutkowski, University of New South Wales, Sydney, Australia
Implied Volatility: Basic Properties and Behavior Close to Expiry

August 31, Friday at 5 P.M. in Wean Hall 6423
Marek Rutkowski, University of New South Wales, Sydney, Australia
Pricing and Hedging of Convertible Bonds with Credit Risk

September 10
Gennady Shaikhet, Carnegie Mellon University.
Control of many-servers queueing systems in heavy traffic. (Abstract)

October 1
Arka Ghosh , Iowa State University
Optimal buffer size and dynamic rate control for a queueing network with reneging in heavy traffic

October 22
Dmitry Kramkov, Carnegie Mellon University.
A model for a large investor trading at market indifference prices

October 29
Gerard Brunick, Carnegie Mellon University
Mixing Stochastic Volatility Models

November 5
David German, Carnegie Mellon University
Equilibrium based model for a large trader

November 19
Olekskii Mostovyi, Carnegie Mellon University.
On the Least Squares Monte Carlo Method.

November 26
Jose Blanchett, Columbia University
Rare-event Analysis and Simulation of Heavy-tailed Systems via Changes-of-measure

December 3
Weining Kang, Carnegie Mellon University.
Semimartingale property of a class of reflected Brownian motions via an extended Skorokhod problem

December 10
Martin Day, Virginia Tech
Boundary Conditions and Singularities for Hamilton-Jacobi Equations Arising in Queueing Games