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Fall 2006 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 2006

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

September 11
Dmitry Kramkov, Carnegie Mellon University,
Asymptotic analysis of utility based hedging strategies for small quantities of derivatives (Paper)
October 23
Silviu N. Predoiu Carnegie Mellon University,
An introduction to Malliavin Calculus with applications to finance, Part 1
October 30
Silviu N. Predoiu Carnegie Mellon University,
An introduction to Malliavin Calculus with applications to finance, Part 2
November 6
Tom Hurd McMaster University
Affine Markov chain model of multifirm credit migration (Abstract)
November 7, Tuesday, 4:30-5:30 PM, Wean Hall 7500.
Kasper Larsen, Carnegie Mellon University
Stability of utility-maximization (Abstract)
November 13
Weining Kang, Carnegie Mellon University
Diffusion Approximation for an NxN Input Queued Crossbar Switch Operating under a Maximum Weight matching Algorithm (Abstract)
November 20
Erhan Bayraktar, University of Michigan
The adaptive Poisson disorder problem (Abstractj)
December 4
This talk will be in Doherty 1212.
Mark Broadie, Columbia University
Dynamic portfolio allocation with taxes
Joint work with Zhidong Wang