Probability and Mathematical Finance Seminar
If you have questions or suggestions about the
seminar, please contact the
organizers: Kavita Ramanan (Probability)
and Dmitry
Kramkov (Mathematical Finance).
Information for outside speakers or visitors can be found here.
Past Schedules
Spring 2003
Current Schedule (Fall 2003)
Unless otherwise stated, the talks take place on Tuesdays
at 4:15-5:45 P.M. in PPB 300.
- September 30
-
Dmitry Kramkov, Carnegie Mellon University
On uniqueness of utility based prices in incomplete
markets
- October 7
- Gordan Zitkovic, Carnegie Mellon University
Utility maximization with a stochastic clock
- October 14, 5:30 p.m.
- Konstantinos Kardaras, Columbia University
Diversity and relative arbitrage
in equity markets
- October 21
- Kenneth Kortanek, University of Iowa
Extracting zero curves under a law of motion by
geometric programming
- October 28
- Philip Protter, Cornell University
The approximate Euler method for Levy driven stochastic
differential equations
- November 18
- Steven Shreve, Carnegie Mellon University
Satisfying Conex Risk
Limits by Trading
- November 25
- Alan Brace, BNP Paribas, New York
Some aspects of modelling Treasury Bond Futures
- December 2
- Mihai Sirbu, Carnegie Mellon University
Risk-tolerance wealth processes and sensitivity analysis of utility
based prices.
- December 9
- David Hobson, University of Bath (currently visiting Princeton
University)
A comparison of option prices in a stochastic volatility model.
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