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Spring 2004 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 2004

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

January 26
Peter Bank, Humboldt University of Berlin.
Hedging and Portfolio Optimization in Financial Markets with a Large Trader
February 2
Mihai Sirbu, Carnegie Mellon University.
A two-person game for pricing convertible bonds
February 9
Mingxin Xu, Carnegie Mellon University.
Minimizing Shortfall Risk Using Duality Approach - An Application to Partial Hedging in Incomplete Markets
February 23,
Jean-Pierre Fouque, North Carolina State University.
Stochastic Volatility: Time Scales and Perturbations
March 1
Isaac Sonin, University of North Carolina at Charlotte.
A (Gittins) Index Theorem for Randomly Evolving Graphs.
March 15
Wolfgang Haerdle, Humboldt University of Berlin.
Voles, Volas, Values
March 24, 4:30-5:30 Baker Hall (Adamson Wing)
Per Mykland, University of Chicago.
A tale of two time scales: Determining integrated volatility with noisy high frequency data.
March 29
David Heath, Carnegie Mellon University.
On Learning through Gambling
April 12
Steven Kou, Columbia University.
A Tale of Two Growths: Modeling Stochastic Endogenous Growth and Growth Stocks
April 19
Antje Berndt, Cornell University.
Measuring Default Risk Premia from Default Swap Rates and EDFs
April 26
Michael Steele, Wharton School, University of Pennsylvania.
The Apparent Curse of Non-Stationarity in Financial Time Series.