Seminars in the past: Spring
2003,
Fall 2003,
Spring 2004.
Seminars for Fall 2004.
Unless otherwise noted, talks will be between 5 and 6 p.m. on
Mondays in Porter Hall, A 20.
- October 11
- Gordan Zitkovic, Carnegie Mellon University.
Financial equilibria in complete
semimartingale markets
- October 18
- Dmitry Kramkov, Carnegie Mellon
University.
Sensitivity
analysis of utility based prices and risk-tolerance
wealth processes
- October 25
- Muzaffer Akat, Carnegie Mellon
University.
A Unified Credit
Risk Model: A Structural Model with Stochastic Volatility and
A Reduced Form Model with Stochastic Intensity
- November 1
- Robert Almgren, University of Toronto.
Optimal Portfolios from
Ordering Information
- November 8
- Ronnie Sircar, Princeton University.
Optimal Investment with
Derivative Securities
- November 15
- Adam Speight, Carnegie Mellon
University.
A Multigrid strategy for
calibrating financial models
- December 6
- Louis Scott, Morgan Stanley.
Evaluation of credit derivatives.
