Seminars in the past: Spring
2003,
Fall 2003,
Spring 2004,
Fall
2004,
Spring
2005,
Fall 2005.
Seminars for Spring 2006.
Unless otherwise noted, talks will be between 5 and 6 p.m. on
Mondays in Wean Hall 6423.
- January 23
- Valdo Durrleman, Stanford University.
Coupling Smiles.
- January 30
- Applied Probability Seminar: Emre
Erdogan, Columbia University
Ambiguous Chance Constrained Program:
Algorithms and Applications
- February 6
- Marek Rutkowski, University of New South Wales,
Sydney, Australia.
Hedging of credit derivatives
in models with totally unexpected
default (Paper in .pdf,
(Slides in .pdf).
- February 20
- Jan Kallsen, Technical University of
Munich.
On quadratic hedging in affine
stochastic volatility models.
- February 27
- Jan Kallsen, Technical University of
Munich.
On the structure of general mean-variance hedging strategies.
- March 20
- Walter Schachermayer, Technical University of
Vienna.
Superhedging strategies in the presence of transaction costs
- April 3
- Marco Frittelli, University of Florence.
A Unified Framework for
Utility Maximization Problems: An Orlicz Space Approach
- April 10
- Marco Frittelli, University of Florence.
Utility Maximization with
Unbounded Semimartingales: on the Supermartingale Property and on
the Indifference Price
- April 17
- Olympia Hadjiliadis, Princeton University.
Detecting a regime change &
connections to mathematical finance
