Computational Finance Seminar Fall 2003-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