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Fall 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 Fall 2003

Unless otherwise stated, the talks take place on Tuesdays at 4:15-5:45 P.M. in PPB 300.

September 30
Dmitry Kramkov, Carnegie Mellon University
On uniqueness of utility based prices in incomplete markets
October 7
Gordan Zitkovic, Carnegie Mellon University Utility maximization with a stochastic clock
October 14, 5:30 p.m.
Konstantinos Kardaras, Columbia University
Diversity and relative arbitrage in equity markets
October 21
Kenneth Kortanek, University of Iowa
Extracting zero curves under a law of motion by geometric programming
October 28
Philip Protter, Cornell University
The approximate Euler method for Levy driven stochastic differential equations
November 18
Steven Shreve, Carnegie Mellon University
Satisfying Conex Risk Limits by Trading
November 25
Alan Brace, BNP Paribas, New York
Some aspects of modelling Treasury Bond Futures
December 2
Mihai Sirbu, Carnegie Mellon University
Risk-tolerance wealth processes and sensitivity analysis of utility based prices.
December 9
David Hobson, University of Bath (currently visiting Princeton University)
A comparison of option prices in a stochastic volatility model.