Seminars for Spring 2004.
Unless otherwise noted, talks will be between 5 and 6 p.m. on
Mondays in Wean Hall 6423.
- January 26
- Peter Bank, Humboldt University of Berlin.
Hedging and Portfolio
Optimization in Financial Markets with a Large Trader
- February 2
- Mihai Sirbu, Carnegie Mellon University.
A two-person game for
pricing convertible bonds
- February 9
- Mingxin Xu, Carnegie Mellon University.
Minimizing Shortfall Risk
Using Duality Approach - An Application to Partial Hedging in
Incomplete Markets
- February 23,
- Jean-Pierre Fouque, North Carolina State University.
Stochastic
Volatility: Time Scales and Perturbations
- March 1
- Isaac Sonin, University of North Carolina at Charlotte.
A (Gittins) Index Theorem for Randomly Evolving Graphs.
- March 15
- Wolfgang Haerdle, Humboldt University of Berlin.
Voles, Volas, Values
- March 24, 4:30-5:30 Baker Hall (Adamson Wing)
- Per Mykland, University of Chicago.
A tale of two time scales: Determining integrated volatility with noisy
high frequency data.
- March 29
- David Heath, Carnegie Mellon University.
On Learning through Gambling
- April 12
- Steven Kou, Columbia University.
A Tale of Two Growths: Modeling
Stochastic Endogenous Growth and Growth Stocks
- April 19
- Antje Berndt, Cornell University.
Measuring Default Risk
Premia from Default Swap Rates and EDFs
- April 26
- Michael Steele, Wharton School, University of
Pennsylvania.
The Apparent Curse of Non-Stationarity in Financial Time Series.
