Computational Finance at Purdue

Computational Finance Seminar Fall 2005-Spring 2006

Friday, January 13, 2006, 02:30 PM
Computational Finance Seminar, Organizational Meeting, REC 121

Friday, February 3, 2006, 02:30 PM in REC 121
Professor Yong Zeng, Department of Math/Stat, University of Missouri at Kansas City
Filtering with Marked Point Process Observations: Applications to the Econometrics of Ultra-High Frequency Data

Friday, February 17, 2006, 02:30 PM in REC 121
Professor Jungmin Choi, University of Michigan
Partial Hedging in Financial Markets with a Large Agent

Friday, February 24, 2006, 02:30 PM in REC 121
Ms. Yuhua Yu, Purdue University
Insurance Pricing Problems and Systems of Partial Differential-Difference Equations

Friday, March 3, 2006, 02:30 PM in REC 121
Professor Kumar Muthuraman, Department of Industrial Engineering, Purdue University
Moving Boundary Methods for Stochastic Optimal Control Problems

Friday, March 24, 2006, 02:30 PM in REC 121
Professor Michael Levine, Department of Statistics, Purdue University
Multivariate volatility model with autoregressive innovations: nonparametric estimation and asymptotic properties

Friday, March 31, 2006, 02:30 PM in REC 121.
Professor Jeremy Staum, Department of IE/MS, Northwestern University
An Empirical Likelihood Confidence Region for Value-at-Risk and Tail Conditional Expectation

Friday, April 7, 2006, 02:30 PM in REC 121
Professor Kiseop Lee, Department of Mathematics, University of Louisville
Estimated Risk-Minimizing Hedge for a Partially-Observed Micromovement Model of Asset Prices

Friday, April 14, 2006,
NO COMPUTATIONAL FINANCE SEMINAR TODAY

Friday, April 21, 2006, 02:30 PM in REC 121
Professor Tomasz R. Bielecki, Department of Mathematics, Illinois Institute of Technology
Pricing and Trading Credit Default Swaps

Friday, April 28, 2006, 02:30 PM in REC 121
Professor Ionut Florescu, Department of Mathematical Sciences, Stevens Institute of Technology
Coefficient Estimation for Diffusion Models