Seminars for Spring 2003.
Unless otherwise noted, talks with be 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
