Computational Finance Seminar Fall 2002-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