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Spring 2008 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 2008

Unless otherwise stated, the talks take place on Mondays at 5 P.M. in Wean Hall, 6423.
February 18
Elizabeth Meckes, Cornell University
Stein's method: the discrete case (Abstract)

February 19
Elizabeth Meckes, Cornell University
Stein's method: the discrete case (Abstract)
1:30 P.M., PPB 300

March 17
Michael Harrison, Stanford University
Recurrence Classification of Semimartingale Reflecting Brownian Motions (Abstract)

March 18, 4:30 P.M., DH 1212
Michael Harrison, Stanford University
Staffing and Routing in Large Call Centers:
A Method Based on Stochastic Fluid Models

March 24
Frank Riedel, Bielefeld University
On Equilibrium Prices in Continuous Time (Paper)

March 31
Thorsten Schmidt, Universitat Leipzig
Pricing and hedging of credit derivatives via nonlinear filtering (Abstract)

April 7
Kasper Larsen, Carnegie Mellon University
Numerical solution of the problem on optimal investment

April 14
Anja Sturm, University of Delaware
Survival and coexistence in some cancellative spin systems (Abstract)

April 21
Uwe Wystup, Math Finance AG and Frankfurt School of Finance & Management
On the Cost of Poor Volatility Modeling - The Case of Cliquets, (Abstract)