Seminars in the past: Spring
2003,
Fall 2003,
Spring 2004,
Fall
2004,
Spring 2005.
Seminars for Spring 2005.
Unless otherwise noted, talks will be between 5 and 6 p.m. on
Mondays in Wean Hall 6325.
- January 24
- Traian Pirvu, Carnegie Mellon University.
Maximizing Growth Rate under Risk Constraints
- January 31
- Dmitry Kramkov, Carnegie Mellon University.
Asymptotic Arbitrage for Large
Financial Markets
- March 14
- Jaksa Cvitanic, University of Southern California
Principal-Agent problems and optimal
compensation in continuous-time models
- 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
- April 4
- Anatoli Karolik, Carnegie Mellon University.
A model of correlated credit migrations
- April 11
- Yann Coatanlem, 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
