Seminars in the past: Spring
2003,
Fall 2003,
Spring 2004,
Fall
2004,
Spring 2005.
Seminars for Fall 2005.
Unless otherwise noted, talks will be between 5 and 6 p.m. on
Mondays in Wean Hall, 6423.
- September 1
- Steven D'Silva, Lehman Brothers.
Time Consistent and Currency
Invariant Convex Risk Measures
(the seminar will take place in DH 4303)
- Wednesday, September 14, 2005. 4:30 p.m.
- Harry
M. Markowitz
Nash Distinguished Lecture Series in Quantitative Finance:
Portfolio Theory: Past, Present and Future
(McConomy Auditorium, University Center).
- September 26
- Peter Bank, Columbia University.
On Gittins' Index Theorem in Continuous Time.
- October 3
- Anatoli Karolik, Carnegie Mellon University.
A Model of Correlated Credit Migrations.
- October 24
- Kasper Larsen, Carnegie Mellon
University.
The semimartingale property
via bounded logarithmic utility
- October 31
- Dmitry Ostrovsky, Lehigh University.
Option Pricing in Random Time.
- November 7
- Alexander Cherny, Moscow State University.
Pricing, optimality and
equilibrium based on coherent risk measures.
Related papers: [1] and [2]
- November 28
- Albert Cohen, Carnegie Mellon University.
Cashing out: stopping diffusion as close as
possible to its max.
- December 5
- Sean Hilden, Carnegie Mellon University.
Allocation of Risk Capital via
Intrafirm Trading
