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
Fall 2004, Spring 2004, Fall
2003, Spring 2003
Current Schedule (Spring 2005)
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Wean Hall, 6423.
- January 24
- Traian Pirvu, Carnegie Mellon University.
Maximizing Growth Rate under Risk Constraints (Abstract).
- January 31
- Dmitry Kramkov, Carnegie Mellon University.
Asymptotic Arbitrage for Large Financial Markets (Paper).
- March 14
- Jaksa Cvitanic, University of Southern
California
Principal-Agent problems and optimal compensation in
continuous-time models (Abstract).
- 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 (Abstract).
April 4 - Anatoli Karolik, Carnegie Mellon University.
A model of correlated credit migrations (Abstract).
April 11
- Yann Coatanlem, Managing 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 (Paper).
|
