Seminars for Fall 2003.
Unless otherwise noted, talks will be on Tuesdays, 4:15-5:45 p.m. in PPB 300.
- September 30
-
Dmitry Kramkov, Carnegie Mellon University
On uniqueness of utility based prices in incomplete
markets
- October 7
- Gordan Zitkovic, Carnegie Mellon University
Utility maximization with a stochastic clock
- October 14, 5:30 p.m.
- Konstantinos Kardaras, Columbia University
Diversity and relative arbitrage
in equity markets
- October 21
- Kenneth Kortanek, University of Iowa
Extracting zero curves under a law of motion by
geometric programming
- October 28
- Philip Protter, Cornell University
The approximate Euler method for Levy driven stochastic
differential equations
- November 18
- Steven Shreve, Carnegie Mellon University
Satisfying Conex Risk
Limits by Trading
- November 25
- Alan Brace, BNP Paribas, New York
Some aspects of modelling Treasury Bond Futures
- December 2
- Mihai Sirbu, Carnegie Mellon University
Risk-tolerance wealth processes and sensitivity analysis of utility
based prices.
- December 9
- David Hobson, University of Bath (currently visiting Princeton
University)
A comparison of option prices in a stochastic volatility model.
