2007-2008 Mathematical Finance and Probability Seminars

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SPRING
 
 
A Weak Existence Result with Application to Model Calibration
Speaker
Gerard Brunick
Carnegie Mellon University
 
Date/Location
01/29/2008
2:00-3:00pm
Hill 525
Slides
( pdf )
( zip 25MB )

 
Time Changed Markov Processes in United Credit-Equity Modeling
Speaker
Rafael Mendoza-Arriaga
Northwestern University
 
Date/Location
02/1/2008
3:00-4:00pm
Hill 525
Slides
( pdf )


 
Long Dated Dervatives
Speaker
Claudio Albanese
Level 3 Finance


Date/Location
** 02/08/2008 **
** 3:00-4:00pm **
** Hill 525 **
Slides
( TBA )


Developments in Volatility Derivatives Pricing
Speaker
Jim Gatheral
Merrill Lynch
 
Date/Location
**02/12/2008 **
**2:00-3:00pm **
** Hill 525 **
Slides
( pdf )


 
Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives
Speaker
Ronnie Sircar
Princeton University
 
Date/Location
02/26/2008
2:00-3:00pm
Hill 525
Slides
( pdf )


 
Set-Valued Risk Measures
Speaker
Andreas H Hamel
Princeton University
 
Date/Location
03/11/2008
2:00-3:00pm
Hill 525
Slides
( pdf )


 
Wolfgang Doeblin: A Mathematician Rediscovered
Host
Harrie Willems
 
 
Date/Location
***04/09/2008***
***3:20pm***
***Hill 705***
Poster
( jpg )


 
Weather, Energy and Agro Derivatives
Speaker
Sandeep Ramachandran
Swiss Re
 
Date/Location
**04/11/2008**
**3:00-4:00pm**
**Hill 525**
Slides
( TBA )


 
A Clustering/Selection method to capture the systematic movement of Equity's Return
Speaker
Ionut Florescu
Stevens Institute of Technology
 
Date/Location
04/15/2008
2:00-3:00pm
Hill 525
Slides
( TBA )


 
The Joy of FX: the effect of market conventions on the pricing of currency options
Speaker
Doug Costa
Susquehanna International Group
 
Date/Location
**04/25/2008**
**3:00-4:00pm**
**Hill 525**
Slides
( TBA )


 
Credit Derivative Modelling with Jump Hazard Process
Speaker
Jesus Rodriguez
Rutgers University
 
Date/Location
04/29/2008
2:00-3:00pm
Hill 525
Slides
( TBA )


 
**Joint with Mathematical Finance Practitioner Seminar. Please note change in time.**
***Joint with Math, Statistics & Math Finance Program. Please note change in time and room.***
****Joint with Math Colloquium. Please note change in time and room.****