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.
Current Schedule (Spring 2003)
Unless otherwise stated, the talks take place on Tuesdays
at 3:30 P.M. in Baker Hall 154R.
- January 28
- Kasper Larsen, Carnegie Mellon University,
Inside Trading in Kyle-models
- February 4
- Adam Speight, Carnegie Mellon University,
General Equilibrium Models in
Continuous Finance
- February 11
- Alexander Schied, The University of British Columbia,
Optimal payoff profiles for
law-invariant risk measures
- February 25
- Sean Hilden, Carnegie Mellon University,
Convex measures
of risk and trading constraints.
- March 11
- Mihai Sirbu, Carnegie Mellon University,
Convertible bonds
- March 18
- Nash Lecture by Steven Ross, MIT
4:30, McConomy Auditorium, University Center.
Behavioral Finance
- March 25
- Luis Seco, University of Toronto
Entropy methods for calibration of return distributions.
- April 1
- Karel Janecek, Carnegie Mellon University,
Asymptotic Analysis for Optimal
Investment and Consumption with Transaction Costs
- April 8
- Mingxin Xu, Carnegie Mellon University,
The No-Arbitrage Property Under A
Change of Numeraire
- April 15
- Traian Pirvu, Carnegie Mellon University,
The Liquidity Risk and Arbitrage
Pricing
- April 29
- Valeri Zakamouline, Norwegian School of Economics and Business
Administration,
American Option Pricing with
Transaction Costs
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