Spring Speaker 2007

The Purdue Statistics Graduate Student Organization (GSO) is pleased to have Professor Rene Carmona as this year's spring speaker. Professor Carmona will speak on Thursday, February 8, 2007 at 4:30pm in MATH 175. The title of his talk will be "Convertible Bonds as Dynkin Games: A Monte Carlo Approach." Refreshments will be served in HAAS 101 at 4:00pm.

Professor Carmona is the Paul Wythes '55 Professor of Engineering and Finance, Princeton, New Jersey. He is also the Director of Graduate Studies for the Bendheim Center for Finance, Princeton Unversity; Director of the Committee on Statistical Studies, which oversees the teaching of statistics at Princeton; a member of the Program in Applied and Computational Mathematics; and an associate member of the Department of Mathematics. Dr. Carmona's publications include over eighty articles and seven books in probability and statistics. In 1984 he was elected Fellow of the Institute of Mathematical Statistics. Professor Carmona is on the editorial board of several peer reviewed journals and book series, and is the scientific advisor for several companies.

In collaboration with colleagues and students, Dr. Carmona developed several computer programs, including the S-PLUS libraries "Swave" for research in signal analysis, and more recently "EVANESCE" for the analysis of heavy tail distributions and copulas. The latter was included in the Finmetrics toolbox of S-PLUS.

Dr. Carmona has a long history of statistical consulting for energy companies and financial institutions. His most recent research is concerned with the energy markets and credit derivatives.

Refreshments will be in the HAAS 101 at 4:00 PM

Thursday, February 8, 2007
4:30PM in MATH 175

Professor Rene Carmona

Paul Wythes, '55 Professor of Engineering and Finance Director of Graduate Studies of the Bendheim Center of Finance Department of Operations Research & Financial Engineering
Princeton University

Joint with Research Colloquium

Convertible bonds as Dynkin Games: A Monte Carlo Approach

Abstract
Convertible bonds are hybrid securities with a fixed income component as well as an equity component. After a short literature review and a thorough discussion of the numerical methods currently in use, we recast these instruments in the framework of Dynkin games, and we describe a new valuation method based on Monte Carlo calculations.

The emphasis of the talk is on numerical valuation, so the models are presented and discussed in discrete time, and implementation issues are addressed.