Mathematical Finance Workshop
The seminars will include tutorial and research talks in Mathematical Finance. Topics to be
covered include valuation of derivative securities, equilibrium asset pricing models, term
structure and interest rates, risk management, and econometric analysis of markets and frictions.
The study of the above models relies on the theory of stochastic processes, stochastic control, and
nonlinear partial differential equations.
The seminar is held Monday at noon in 1220 Grainger Hall unless
otherwise noted.
For further information contact Tom
Kurtz or Thaleia Zariphopoulou.
- February 8: Yong Zeng, Department of Statistics
- A Class of Partially-Observed Models for Discrete Data with Clustering and
Non-clustering Noises: Application to Micro-movement of Stock Price
- February 15: Thaleia Zariphopoulou, School of Business and Department of
Mathematics
- Valuation with unhedgeable risks: Closed form solutions.
- Abstract
- February 22: Virginia Young, School of Business
- Choquet pricing for insurance and financial markets
- Abstract
- March 1: Stan Pliska, Department
of Finance, University of Illinois at Chicago
- Risk Sensitive Dynamic Asset Management.
- Abstract
- March 15: Per Mykland, Department
of Statistics, University of Chicago
- Options Hedging and Statistical Uncertainty
- Abstract
- March 22:Yi Lin, Department
of Statistics, University of Wisconsin
- A dynamic model for race track betting
- Abstract
- April 12: Stathis Tompaidis,
University of Texas, Austin
- Energy derivatives and Energy Processes
- Abstract
- April 19: Agnes Tourin, University of
Paris-Dauphine
- Numerical schemes in Valuation models in markets
with frictions
- Abstract
- May 3 at 2:30 PM in 3070 Grainger Hall (NOTE change of time
and location.):
- Ioannis Karatzas,
Departments
of Mathematics and Statistics, Columbia University
- On dynamic measures of risk
- Abstract