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Fall 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 Fall 2008

Unless otherwise stated, the talks take place on Mondays at 5 P.M. in Wean Hall, 6423.
September 8
Christian Gromoll, University of Virginia
Fluid limits for shortest remaining processing time queues

WEDNESDAY, September 17
NASH LECTURE TECHNICAL TALK
Darrell Duffie, Dean Witter Distinguished Professor of Finance, The Graduate School of Business, Stanford University.
Capital Mobility and Asset Pricing
Time: 4:30 P.M.
Location: Wean Hall 7500
Refreshments at 4:00 outside the lecture room.

THURSDAY, September 18
NASH LECTURE
Darrell Duffie, Dean Witter, Distinguished Professor of Finance, The Graduate School of Business, Stanford University.
Dark Markets
Time: 4:30 P.M.
Location: McConomy Auditorium
Reception will follow in the Tepper Grand Room.

September 22
Albina Danilova, Carnegie Mellon University
Understanding Stochastic Volatility

September 29
Dmitry Kramkov, Carnegie Mellon University
Risk-tolerance wealth processes and corrections to Black and Scholes formula due to market imperfections

October 6
Archil Gulisashvili, Ohio University
Distribution Densities in Stochastic Volatility Models

THURSDAY, October 16
Luciano Campi, University of Dauphine
Multivariate utility maximization under proportional transaction costs (joint work with M. Owen)
Location: Wean Hall 5310

October 20
Luciano Campi, University of Dauphine
Risk neutral dynamics for spot and forward electricity prices (joint work with J.M. Marin and N. Touzi)

October 27
Kostas Karadas, Boston University
Topics in markets with limited agent information: viability and the numeraire

November 3
Kavita Ramanan, Carnegie Mellon University
Asymptotic approximations of many-server queues (based on joint works with Weining Kang and Haya Kaspi.)

November 10
Uwe Wystup, Frankfurt School of Finance and Management, Frankfurt, Germany
Pricing of First Generation Exotics with the Vanna-Volga Method, pros and cons

November 17
Wenbo Li, University of Delaware
Spectral Analysis of Brownian Motion with Jump Boundary

November 24
Maxim Bichuch, Carnegie Mellon University
An Optimal Portfolio of Correlated Futures with Small Transaction Cost

December 1
Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische Universitat Munchen
On asymptotic power-utility based pricing and hedging

December 5
Johannes Muhle-Karbe, HVB-Institut fur Finanzmathematik, Technische Universitat Munchen
On asymptotic utility-based pricing and hedging in affine stochastic volatility model

December 8
Scott Robertson, Boston University
Portfolios and Risk Premia for the Long
DOHERTY HALL 4303