Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Kavita Ramanan (Probability)
and Dmitry
Kramkov (Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Spring 2005,
Fall 2004,
Spring 2004,
Fall 2003,
Spring 2003
Current Schedule (Fall 2005)
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- September 1, Thursday, at 5:00 P.M. in DH 4303
- Steven
D'Silva, Lehman Brothers.
Time Consistent and Currency Invariant Convex Risk Measures
(Abstract).
- September 14, Wednesday, at 4:30 P.M. in McConomy Auditorium, University
Center
- Nash Distinguished Lecture Series in Quantitative
Finance:
Harry M. Markowitz
Portfolio Theory: Past, Present and Future .
- September 26
- Peter Bank, Columbia University.
On Gittins' Index Theorem in Continuous Time.
- October 3
- Anatoli Karolik, Carnegie Mellon University.
A Model of Correlated Credit Migrations (Abstract).
- October 24
- Kasper Larsen, Carnegie Mellon
University.
The semimartingale property
via bounded logarithmic utility (Paper).
- October 31
- Dmitry Ostrovsky, Lehigh University.
Option Pricing in Random Time.
- November 7
- Alexander Cherny, Moscow State University.
Pricing, optimality and
equilibrium based on coherent risk measures.
(Abstract, related papers: [1] and [2]).
- November 28
- Albert Cohen, Carnegie Mellon University.
Cashing out: stopping diffusion as close as possible to its max.
- December 5
- Sean Hilden, Carnegie Mellon University.
Allocation of Risk Capital via Intra-firm Trading (Abstract).
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