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 2004,
Fall 2003,
Spring 2003
Current Schedule (Fall 2004)
Unless otherwise stated, the talks take place on Mondays
at 5 P.M. in Porter Hall, A20.
- October 11
- Gordan Zitkovic, Carnegie Mellon University.
Financial equilibria in complete
semimartingale markets
- October 18
- Dmitry Kramkov, Carnegie Mellon
University.
Sensitivity
analysis of utility based prices and risk-tolerance
wealth processes
- October 25
- Muzaffer Akat, Carnegie Mellon
University.
A Unified Credit
Risk Model: A Structural Model with Stochastic Volatility and
A Reduced Form Model with Stochastic Intensity
- November 1
- Robert Almgren, University of Toronto.
Optimal Portfolios from
Ordering Information
- November 8
- Ronnie Sircar, Princeton University.
Optimal Investment with
Derivative Securities
- November 15
- Adam Speight, Carnegie Mellon
University.
A Multigrid strategy for
calibrating financial models
- December 6
- Louis Scott, Morgan Stanley.
Evaluation of credit derivatives.
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