University of Chicago
Financial
Mathematics Seminar
Unless otherwise noted, the seminars take place on 4:30 pm on
Friday, in Room 202 of
Eckhart Hall.
Receive announcements by joining the
mailing list.
Open to the public.
Related activities:
Stevanovich Center for Financial Mathematics
| Date |
Speaker |
Affiliation |
Title of
Talk (click to see Abstract) |
Comments |
| 10/26/2006 |
Damiano Brigo
|
Banca IMI and Bocconi University
|
Consistent Calibration of CDO Tranches with the
Generalized-Poisson Loss dynamical model
|
Slides
|
| 11/17/2006 |
Yong Zeng
|
UMKC, Mathematics and Statistics
|
Filtering with Marked Point Process Observations:
Applications to Ultra-High Frequency Data
|
Slides
Papers, data, and Fortran codes
|
|
| 12/1/2006 |
Jan Vecer
|
Columbia University, Statistics
|
Maximum Drawdown, Directional Trading and Market Crashes
|
slides |
|
| 12/8/2006 |
Lars Peter Hansen
|
University of Chicago, Economics
|
Long Run Risk
|
paper |
|
| 1/19/2007 |
Ying Chen
|
Humboldt University, Berlin, School of Economics and Management
|
Accounting for Nonstationarity and Heavy Tails in Financial Time Series,
with Applications to Robust Risk Management
|
|
| 2/2/2007 |
David Nualart
|
University of Kansas, Mathematics
|
Hedging and portfolio optimization in a Levy market model
|
|
| 3/2/2007 |
Zongwu Cai
|
UNC Charlotte, Mathematics
|
Nonparametric Regression Models for Nonstationary Variables with Applications in Economics and Finance
|
Cancelled
|
| 3/9/2007 |
Andrew Lim
|
University of California at Berkeley, IEOR
|
Robust asset allocation using benchmarking
|
paper |
|
| 3/30/2007 |
Jean Jacod
|
Laboratoire de Probabilités,
Université Paris VI
|
Models for options prices
|
|
| 4/6/2007
|
William Ziemba
|
University of British Columbia, Sauder School of Business
|
The Kelly Criterion and its variants: theory and practice in
sports, lottery, futures, and options trading
|
Paper
Slides
|
| 4/13/2007 |
Bluford H. Putnam
|
EQA Partners, L.P.
|
Practical experiences in financial markets using Bayesian forecasting
systems
|
presentation and papers
|
| 4/21-22/2007 |
|
Conference on Volatility and High Frequency Data (downtown, at Hotel Intercontinental)
|
|
|
| 5/11/2007
4:30pm Eckhart 202
|
Paul Glasserman
|
Columbia University, Graduate School of Business
|
Pricing Credit Derivatives and Measuring Credit Risk in Multifactor
Models
|
|
| 5/18/2007 |
Alvaro Cartea
|
Commodities Finance Centre, and School of Economics, Mathematics,
and Statistics. Birkbeck College, University of London.
|
How Do Waiting Times or Duration Between Trades of Underlying
Securities Affect Option Prices
|
|