Computational Finance Seminar Spring 2004

February 6, 2004 2:30 p.m. in BRNG B222

Dr. Shikhar Ranjan, Credit Derivative Analytical Research Group at Morgan Stanley, New York

Math For Credit

February 13, 2004 2:30 p.m. in BRNG B222

Yu Qin Ph.D. Student, Department of Statistics, Purdue University, West Lafayette, Indiana

The Limiting Behavior of the Estimated Parameters in a Possibly "Misspecified Random" Field Regression Model

March 5, 2004 2:30 p.m. in BRNG B222

Professor Kumar Muthuraman, School of Industrial Engineering, Purdue University

Multi-Dimensional Portfolio Selection with Transaction Costs

Friday, March 12, 2004 2:30 p.m. in BRNG B222

Professor Gabriele Camera, Department of Economics, Krannert Graduate School of Management, Purdue University

The Distribution of Balances and the Non-Neutrality of Money

Friday, March 26, 2004 2:30 p.m. in BRNG B222

Professor Vassilis Polimenis, Department of Finance, A. Gary Anderson Graduate School of Mangement, University of California Riverside

A Simple Model of Market Liquidity and Depth

Friday, April 9, 2004 2:30 p.m. in BRNG B222

Professor Jonathan R. Stroud, Department of Statistics, Wharton School, University of Pennsylvania

Optimal Filtering of Jump-Diffusions: Extracting Latent States From Asset Prices

Friday, April 23, 2004 1:30 p.m. in BRNG 1245

Mr. Ionut Florescu, Ph.D. Student, Department of Statistics, Purdue University

A Binomial Tree Approach to Stochastic Volatility Driven Model of the Stock Price

Friday, April 23, 2004 2:30 p.m. in BRNG B222

Mr. Yalcin Sarol and Mr. Tao Zhang, Ph.D. Students, Department of Mathematics, Purdue University

Explicit Optimal Portfolio with Consumption in a Fractional Black-Scholes Market Using Logarithmic Utility

Friday, April 30, 2004 2:30 p.m. in BRNG B222

Professor Ravi R. Mazumdar, School of Electrical and Computer Engineering, Purdue University

Boundary Behavior and Stationary Solutions for Multidimensional Reflected Diffusions with Jumps in the Positive Orthant