Computational Finance Seminar Spring 2003
- January 17, 2003
- No Seminar
- January 24, 2003 2:30 p.m. in KRAN G20
- Professor Maria Cristina Mariani, Universidad de
Buenos Aires, Department of Mathematics, Visiting Purdue University
-
Extreme Events in Financial Markets
- January 31, 2003 2:30 p.m. in KRAN G20
- Professor Takaki Hayashi, Department of Statistics, Columbia University
-
Evaluating Hedging Errors: An Asymptotic Approach
- February 7, 2003 2:30 p.m. in KRAN B20
- Professor Oana Mocioalca, Department of Mathematics, Purdue University
-
Jump Diffusion Option with Transaction Costs
- February 14, 2003
- NO SEMINAR THIS WEEK
- February 21, 2003 2:30 p.m. in KRAN Auditorium
- Professor Yaozhong Hu, Department of Mathematics, University of Kansas
-
Long Memory Stochastic Volatility
- February 25, 2003 4:30 p.m. in KRAN G005
- Professor Jeffrey Russell, University of Chicago, Graduate School of
Business
-
Analysis of High-Frequency Data
- February 28, 2003 2:30 p.m. in KRAN G018
- Professor Srdjan Stojanovic, Department of Mathematics, University of
Cincinnati
- Interested people may preprint the full
paper.
-
Optimal Momentum Hedging via Hypoelliptic Reduced Monge-Ampère PDEs and
A New Paradigm for Pricing Options
- March 6, 2003 4:30 p.m. in KRAN G005
- Professor Kiseop Lee, Department of Mathematics, University of Louisville
-
Hedging Claims with Feedback Jumps in the Price Process
- March 14, 2003 2:30 p.m. KRAN G018
- Professor Per Mykland, Department of Statistics, University of Chicago
-
Statistical Trading of Options
- March 21, 2003
- No Seminar
- March 28, 2003
- No Seminar
- April 3, 2003 2:00-2:50 p.m. in GRIS 276
- Professor Jaksa Cvitanic, Department of Mathematics and Department of
Economics, University of Southern California
-
Revisiting Treynor and Black (1973): an Intertemporal
Model of Active Portfolio Management
- April 3, 2003 3:00-3:50 p.m. in GRIS 276
- Professor Rene Carmona, Operations Research and Financial Engineering,
Princeton University
-
Multiple Optimal Stopping and Options with Multiple American Exercises
- April 3, 2003 4:30-5:00 p.m. in GRIS 276
- Professor Jianfeng Zhang, School of Mathematics, University of Minnesota
-
On the Sharp Rate of Numerical Methodfs for Degenerate ODEs
- April 3, 2003 5:00-5:30 p.m. in GRIS 276
- Professor Oana Mocioalca, Department of Mathematics, Purdue University
-
Option Pricing in Imperfect Markets with Discontinuous Returns
- April 3, 2003 5:30-6:20 p.m. in GRIS 276
- Professor Philip Protter, Operations Research and Industrial
Engineering, Cornell University
-
Modeling Credit Risk with Partial Information
- April 18, 2003 2:30 p.m. in BRNG 1232
- Professor Ziyu Zheng, Department of Mathematics, University of
Wisconsin, Milwaukee
-
Noncooperative Differential Games
