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Spring 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 Spring 2003

Unless otherwise stated, the talks take place on Tuesdays at 3:30 P.M. in Baker Hall 154R.

January 28
Kasper Larsen, Carnegie Mellon University,
Inside Trading in Kyle-models
February 4
Adam Speight, Carnegie Mellon University,
General Equilibrium Models in Continuous Finance
February 11
Alexander Schied, The University of British Columbia,
Optimal payoff profiles for law-invariant risk measures
February 25
Sean Hilden, Carnegie Mellon University,
Convex measures of risk and trading constraints.
March 11
Mihai Sirbu, Carnegie Mellon University,
Convertible bonds
March 18
Nash Lecture by Steven Ross, MIT
4:30, McConomy Auditorium, University Center.
Behavioral Finance
March 25
Luis Seco, University of Toronto
Entropy methods for calibration of return distributions.
April 1
Karel Janecek, Carnegie Mellon University,
Asymptotic Analysis for Optimal Investment and Consumption with Transaction Costs
April 8
Mingxin Xu, Carnegie Mellon University,
The No-Arbitrage Property Under A Change of Numeraire
April 15
Traian Pirvu, Carnegie Mellon University,
The Liquidity Risk and Arbitrage Pricing
April 29
Valeri Zakamouline, Norwegian School of Economics and Business Administration,
American Option Pricing with Transaction Costs