Past Events

Event Type

Year

Apr 22 2011

Asset Management

Information: Friday, April 22, 2011 - Friday, April 22, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; PH 111, 3:00 - 4:30 p.m.; Event Short Description
Representative from BlackRock: Speaker: Paisan Limratanamongkol. This event is only available for R

Apr 18 2011

Variational Inequalities, Obstacle, and Free Boundary Problems in Mathematical Finance

Information: Monday, April 18, 2011 - Monday, April 18, 2011; 3:30 PM - 4:30 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705 (Joint with Faculty Research Perspectives Seminar); Event Short Description
The American-style option pricing problem is can be phrased as an evolutionary variational inequalit

Apr 15 2011

Quantitative Finance and the Hedge Fund Industry

Information: Friday, April 15, 2011 - Friday, April 15, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Pharmacy (PH) 111, 2:00-3:30; Event Short Description
Co-Founder of CurAlea Associates: Speaker: Pete Ort and Seb Calabro. This event is only available f

Apr 12 2011

Dyson series for the PDEs arising in Mathematical Finance I

Information: Tuesday, April 12, 2011 - Tuesday, April 12, 2011; 10:15 AM - 11:15 AM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
An important problem in Mathematical Finance is to find a realistic price for the financial instrume

Apr 05 2011

Perpetual Cancellable American Call Option

Information: Tuesday, April 5, 2011 - Tuesday, April 5, 2011; 11:00 AM - 12:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In this talk, we will examine the valuation of a generalized American-style option known as a game-t

Apr 01 2011

From Backpack to Briefcase

Information: Friday, April 1, 2011 - Friday, April 1, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Pharmacy (PH) 111, 2:00-3:30pm; Event Short Description
Dan Coben: Dan Coben, a career management consultant with 25 years experience in the financial serv

Mar 29 2011

Asymptotic Analysis for Optimal Investment with Transaction Costs in Finite Time

Information: Tuesday, March 29, 2011 - Tuesday, March 29, 2011; 10:30 AM - 11:30 AM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We consider an agent who invests in a stock and a money market account with the goal of maximizing t

Mar 29 2011

Heat Kernel Expansion and Near-Expiry Asymptotics of Implied Volatility for Certain Stochastic Volatility Models

Information: Tuesday, March 29, 2011 - Tuesday, March 29, 2011; 9:30 AM - 10:30 AM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Using a geometric expansion of the transition density function of a possibly time-inhomogeneous two-

Mar 25 2011

Quantitative Finance at R. G. Niederhoffer

Information: Friday, March 25, 2011 - Friday, March 25, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill 525, 3:00-4:00 p.m.; Event Short Description
Research Analyst: Speaker: Steven Bachrach, Research Analyst and MSMF Alumnus. This is a Q&A sessio

Mar 22 2011

Creating Excel Interfaces for C++ Derivative Pricing Code

Information: Tuesday, March 22, 2011 - Tuesday, March 22, 2011; 6:40 PM - 9:30 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We will explain the three principal methods for creating Excel interfaces to C++ programs for deriva

Mar 22 2011

Excel interfaces for C++ derivative pricing and risk management programs

Information: Tuesday, March 22, 2011 - Tuesday, March 22, 2011; 6:40 PM - 9:30 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We shall describe the three principal methods for creating Excel interfaces to C++ programs for deri

Mar 09 2011

Size and Time -- Key Issues in Option Pricing

Information: Wednesday, March 9, 2011 - Wednesday, March 9, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill 705, 2:00-3:30 PM; Event Short Description
Director of Operations: Speaker: Alvin Huang, Rutgers MSMF Alumnus 2009. This event is only availab

Mar 08 2011

Simple Arbitrage In Multi-Asset Markets

Information: Tuesday, March 8, 2011 - Tuesday, March 8, 2011; 11:00 AM - 12:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In his recent paper, Cheridito considered a market that consists of a money market account and a ris

Mar 04 2011

Ace Your Quant Interview!

Information: Friday, March 4, 2011 - Friday, March 4, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Pharmacy (PH) 111, 1:40-3:00 p.m.; Event Short Description
Mindy O'Mealia: Preparing for your job interview could very well be one of the most important momen

Mar 02 2011

Quants and the Nature of Risk

Information: Wednesday, March 2, 2011 - Wednesday, March 2, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill Center, Room 705, 3:00-4:30 p.m.; Event Short Description
AQR Risk Manager: Speaker: Aaron Brown. This event is only available for Rutgers University MSMF st

Mar 01 2011

A study of nonlinear PDE's and PIDE's appearing in Finance

Information: Tuesday, March 1, 2011 - Tuesday, March 1, 2011; 11:00 AM - 12:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In this talk we will discuss the solution of partial integro-differential equations. The solution of

Feb 23 2011

Bank of America - Derivatives Valuation Models and Credit Risk Analytics

Information: Wednesday, February 23, 2011 - Wednesday, February 23, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill 705, 3:00-4:30 p.m.; Event Short Description
Bank of America - Merrill Lynch Professional: Speaker: Alexander Shklyarevsky, Counterparty Credit

Feb 22 2011

Optimal timing to buy options in incomplete markets

Information: Tuesday, February 22, 2011 - Tuesday, February 22, 2011; 11:00 AM - 12:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We study the timing of derivative purchases in incomplete markets. In our model, an investor attempt

Feb 18 2011

Bloomberg - Predictive Density Evaluation of Credit Risk Models

Information: Friday, February 18, 2011 - Friday, February 18, 2011; 12:10 PM - 1:00 PM; Event Type: Career Workshops; PH 111, 2:00-3:30; Event Short Description
Bloomberg Professional: Speaker: Lili Cai. This event is only available for Rutgers University MSMF

Feb 17 2011

Monte Carlo and tree methods in interest rate derivative pricing

Information: Thursday, February 17, 2011 - Thursday, February 17, 2011; 6:40 PM - 9:30 PM; Event Type: Mathematical Finance and Probability Seminars; SEC 207; Event Short Description
Monte Carlo: Convergence, Variance Reduction, Greeks, Path-Dependent options. Trees and Finite Diffe

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