Computational Finance Seminar Fall 2000-Spring 2001

October 16, 2000 Krannert G16
Jean-Pierre Fouque, North Carolina State University
Stochastic Volatility Corrections to Black-Scholes


Dec 5, 2000 Krannert G16
A. Bagchi, Faculty of Mathematical Sciences University of Twente, Enschede, The Netherlands
Estimation of Stochastic Volatility in the Hull-White Model with Application to Option Pricing


Jan 17, 2001 Krannert G16
F. Viens, Purdue University
Stochastic Volatility in Mathematical Finance


Jan 24, 2001 Krannert G16
C.D. Aliprantis, Purdue University
Minimum Cost Portfolio Insurance


Jan 31, 2001 Krannert G16
W. Polasek, University of Basel
Portfolio Construction with Multivariate Time Series Forecasts


Feb 7, 2001 Krannert G16
Gabriele Camera, Purdue University
Currency Substitution and the Law of One Price


Feb 8, 2001 Krannert G16
Lan Zhang, University of Chicago
From Martingales to ANOVA: Implied and Realized Volatility


Feb 14, 2001 Krannert G16
Jin Ma, Purdue University
Backward Stochastic Differential Equations -- A New Tool in Finance


Feb 19, 2001 REC 123
Seongjoo Song, University of Chicago
Options and Discontinuity: An Asymptotic Decomposition for Trading Algorithms


Feb 21, 2001 Krannert G16
Vladimir Pozdnyakov, University of Pennsylvania
A Bound on LIBOR Futures Prices for HJM Yield Curve Models


Feb 22, 2001 Krannert G13
Philip Protter, Purdue University, visiting Cornell University
Complete Markets with Large Trader Induced Arbitrage


Mar 1, 2001 Room 4S, CME, 30 S. Wacker Dr., Chicago, IL
James McNulty, Pres & CEO, Chicago Mercantile Exchange
Derivatives Use in Corporate Finance


Mar 22, 2001 Krannert G16
C. O'Cinneide, Purdue and Deutsche Bank Asset Management
A Bayesian Approach to a Portfolio Selection Problem


Mar 23, 2001 Krannert G16
Dilip Madan, University of Maryland
Pricing and Hedging in Incomplete Markets


Mar 28, 2001 Krannert G16
David Heath, Carnegie-Mellon University
Risk Management with Coherent Measures of Risk


Apr 4, 2001 Krannert G16
Randy Wright, Western Reserve Life Assurance Co. of Ohio
Communications between Computational Finance and Actuarial Science


Apr 13, 2001 Krannert Center 108
Peter Carr, Bank of America Securities
On the Nature of Options


Apr 20, 2001 Krannert G12
Steve Kou, Columbia University
Option Pricing Under a Double Exponential Jump Diffusion Model