Computational Finance, Spring 2012
Schedule
Thursday, January 12, 2012,
No Computational Finance Seminar
Thursday, January 19, 2012, 03:00 PM in REC 114
José Figueroa-López, Department of Statistics, Purdue University
Recent advances on the short-time behavior of option prices in the presence of jumps
Thursday, January 26, 2012, 03:00 PM in WTHR 160
Hedibert Freitas Lopes, University of Chicago
Thursday, January 26, 2012, 03:00 PM in WTHR 160
Frederi Viens, Department of Mathematics and Department of Statistics, Purdue University
Stochastic volatility with
Wednesday, February 1, 2012, 02:00 PM in FORNY 1043
Axel Vischer, Eurex
Joint with CNSIP
Thursday, February 9, 2012, 03:00 PM in REC 114
Agostino Capponi, Purdue University
Dynamic Portfolio Optimization with a Defaultable Security and Regime Switching
Thursday, February 16, 2012, 03:00 PM in REC 114
Frederi Viens, Department of Mathematics and Department of Statistics, Purdue University
Stochastic volatility with long-memory in discrete and continuous time — Part 2
Thursday, February 23, 2012, 03:00 PM in REC 114
Andrew Vizcarra, Director of Research at D5 Advisors LLC
Seasonality, Myths, and Market Timing
Thursday, March 1, 2012, 03:00 PM in REC 114
Rong Chen, Department of Statistics, Rutgers University
Dynamic modeling and prediction of risk neutral densities
Thursday, March 8, 2012, 03:00 PM in REC 114
Frederi Viens, Department of Mathematics and Department of Statistics, Purdue University
Stochastic volatility with long-memory in discrete and continuous time - Part 2
Thursday, March 15, 2012,
No Computational Finance Seminar
Thursday, March 22, 2012,
No Computational Finance Seminar
Thursday, March 29, 2012,
No Computational Finance Seminar
Thursday, April 5, 2012, 03:00 PM in REC 114
Michael Levine, Associate Professor of Statistics, Purdue University
Unconditional time-dependent variance as the source of financial volatility
Thursday, April 12, 2012, 03:00 PM in REC 114
Jeff Nisen, Department of Statistics, Purdue University
Optimal Thresholding For Levy Jump Diffusions Models
Thursday, April 19, 2012, 03:00 PM in REC 114
Yuhua Yu, DRW Trading Group
Centrally Cleared Interest Rate Swaps
Thursday, April 26, 2012,
No Computational Finance Seminar
Thursday, May 3, 2012,
No Computational Finance Seminar
