CMU Campus
 Faculty in  Mathematical  Finance            
Math Finance Home Conferences Seminars People Open Positions Contact

Fall 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 Fall 2004

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

October 11
Gordan Zitkovic, Carnegie Mellon University.
Financial equilibria in complete semimartingale markets
October 18
Dmitry Kramkov, Carnegie Mellon University.
Sensitivity analysis of utility based prices and risk-tolerance wealth processes
October 25
Muzaffer Akat, Carnegie Mellon University.
A Unified Credit Risk Model: A Structural Model with Stochastic Volatility and A Reduced Form Model with Stochastic Intensity
November 1
Robert Almgren, University of Toronto.
Optimal Portfolios from Ordering Information
November 8
Ronnie Sircar, Princeton University.
Optimal Investment with Derivative Securities
November 15
Adam Speight, Carnegie Mellon University.
A Multigrid strategy for calibrating financial models
December 6
Louis Scott, Morgan Stanley.
Evaluation of credit derivatives.