Computational Finance Seminar Fall 2001-Spring 2002
September 21, 2001 4:30 p.m. in Krannert G013
Stephen Mildenhall, Vice President-Pricing,
Kemper Insurance
Using FFTs to Compute Aggregate Loss Distributions −
Applications from Actuarial Practice
October 3, 2001 4:30 p.m. Krannert G013
Joel Gibbons, Logistic Research & Trading Co.,
Elmhurst, IL
Options and Option Values Under Incomplete Information
January 23, 2002 4:30 p.m. Krannert G013
Mr. Kiseop Lee,
Department of Statistics,
Purdue University
Joint with Research
Colloquium
An overview of hedging and pricing in incomplete markets
January 28, 2002 4:30 p.m. Krannert G013
Mr. Zhengjun Zhang,
University of North Carolina,
Chapel Hill
Multivariate Extremes, Max-Stable Process Estimation
and Dynamic Financial Modeling
February 20, 2002 4:30 p.m. in Krannert G007
Professor Luis Seco,
Department of Mathematics, University of Toronto,
and Director, University of Toronto Risk Lab
The Mathematics of Financial Risk Management
February 25, 2002 1:30 p.m. in Krannert G023
Professor Siddhartha Chib,
Olin School of Business,
Washington University in St. Louis
Analysis of High Dimensional Multivariate Stochastic
Volatility Models
March 6, 2002 4:30 p.m. in Krannert G013
Professor Frederi Viens,
Department of Statistics,
Purdue University
Joint with Research
Colloquium
Branching and Interacting Particle Systems for
Stochastic PDEs, and a Connection to Stochastic Portfolio Optimization?
March 30, 2002 2:30 p.m. in MATH 531
Dr. Thierry Kauffmann ,
Research Associate,
TradeLink, Chicago, Illinois
Tales from the Trade Research in a Trading Firm
April 10, 2002 2:30 p.m. in KRAN G007
Professor William C. (Curt) Hunter ,
Senior Vice President and Director of Research,
Federal Reserve Bank of Chicago
Contemporary Issues in Risk Management: Measurement,
Management, and Macroeconomic Implications
April 15, 2002 3:30 p.m. in REC 113
Professor Philip Protter Operations Research and Industrial Engineering,
Cornell University
Department of Statistics and Department of Mathematics and Probability Seminars
Joint with Research
Colloquium
When is the Kramkov Decomposition Predictable?
April 18, 2002 4:30 p.m. in KRAN G005
Professor Ronnie Sircar,
Operations Research & Financial Engineering,
Princeton University
Approximations for Some Stochastic Control Problems in
Financial Engineering
