Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Kavita Ramanan (Probability)
and Dmitry
Kramkov (Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Fall 2003,
Spring 2003
Current Schedule (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.
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