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

Spring 2005 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 Spring 2005

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

January 24
Traian Pirvu, Carnegie Mellon University.
Maximizing Growth Rate under Risk Constraints (Abstract).
January 31
Dmitry Kramkov, Carnegie Mellon University.
Asymptotic Arbitrage for Large Financial Markets (Paper).
March 14
Jaksa Cvitanic, University of Southern California
Principal-Agent problems and optimal compensation in continuous-time models (Abstract).
March 21
Raphael Douady, Director of research, Riskdata
Hedge Fund Risk Profiling: A non-linear approach to assess the risk and optimize Funds of Hedge Funds allocation.
March 28
Gerard Brunick, Carnegie Mellon University.
Cheap Pricing of Call Options in Stochastic Volatility Models (Abstract).
April 4
Anatoli Karolik, Carnegie Mellon University.
A model of correlated credit migrations (Abstract).
April 11
Yann Coatanlem, Managing Director, Head of Multi-Asset Quantitative Research, Citigroup.
Generic Term Structure Models for Hybrid Products.
April 18
Patrick Cheridito, Princeton University
Dynamic Monetary Risk Measures (Paper).