Past Events

Event Type

Year

Apr 20 2009

Mathematical Finance and Partial Differential Equations

Information: Monday, April 20, 2009 - Monday, April 20, 2009; 3:30 PM - 4:30 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We will provide a brief survey of mathematical finance, emphasizing the relationship between stochas

Apr 17 2009

Assessing Default Probabilities from Equity Markets

Information: Friday, April 17, 2009 - Friday, April 17, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
We establish a simple yet consistent framework linking credit and equity markets. Using the framewor

Apr 15 2009

The Clarifi Quant Business (S&P)

Information: Wednesday, April 15, 2009 - Wednesday, April 15, 2009; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill 705, Wednesday, 5:30-6:30pm; Event Short Description
Erin Gibbs:

Apr 14 2009

Local Intensity Surface and its Dynamics in Multi-Name Credit Derivatives Modeling

Information: Tuesday, April 14, 2009 - Tuesday, April 14, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We import the problems and techniques developed for the local volatility model in equity derivatives

Apr 07 2009

The Fundamental Theorem of Asset Pricing under Transaction Costs

Information: Tuesday, April 7, 2009 - Tuesday, April 7, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We present a proof of the Fundamental Theorem of Asset Pricing with transaction costs, when bid and

Apr 03 2009

Mismatching Time Scales and Hedging Energy Structures

Information: Friday, April 3, 2009 - Friday, April 3, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
Energy markets, in particular crude oil, natural gas and power, have a set of tradeable swaps and op

Mar 31 2009

Murex Mock Interviews

Information: Tuesday, March 31, 2009 - Tuesday, March 31, 2009; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill Room 705, Tuesday, 3:00-4:30pm; Event Short Description
Rachel Berner: This presentation is for Rutgers MSMF students who are graduating in May or October

Mar 10 2009

Career Seminar for May & October Graduates

Information: Tuesday, March 10, 2009 - Tuesday, March 10, 2009; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Room 705, Tuesday, 3:00-4:00pm; Event Short Description
Renee Williams: This one hour seminar will be for those Rutgers MSMF students who are graduating Ma

Mar 06 2009

TBA

Information: Friday, March 6, 2009 - Friday, March 6, 2009; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill Room 525, Friday, 3:00pm-4:00pm; Event Short Description
Jason Jones: Please be seated no later than 2:55pm if you plan to attend this industry presentation

Mar 03 2009

Stochastic Control for Systems with Memory and its Applications in Portfolio Optimization

Information: Tuesday, March 3, 2009 - Tuesday, March 3, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We consider a finite time horizon optimal stochastic control problem for a system of stochastic func

Feb 20 2009

Leverage Effect, Volatility Feedback, and Self-Exciting Market Disruptions

Information: Friday, February 20, 2009 - Friday, February 20, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
The equity index and index volatility interact through several distinct channels. First, holding bus

Feb 17 2009

Regularity in the Optimal Stopping Problem for Levy Processes with Non-degenerate Diffusions

Information: Tuesday, February 17, 2009 - Tuesday, February 17, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We will discuss two new regularity properties of the optimal stopping problem for Levy processes wit

Feb 13 2009

Quantitative Challenges in Algorithmic Trading

Information: Friday, February 13, 2009 - Friday, February 13, 2009; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill 525, Friday, 3:00-4:00pm; Event Short Description
Robert Almgren: The simple execution of large transactions in equity markets and other markets

Feb 03 2009

Asymptotics of Implied Volatility in Local Volatility Models

Information: Tuesday, February 3, 2009 - Tuesday, February 3, 2009; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Using an expansion of the transition density function of a 1-dimensional Brownian motion with drift,

Dec 12 2008

Investment Management at Morgan Stanley

Information: Friday, December 12, 2008 - Friday, December 12, 2008; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill Center Room 552, Friday, 3:00-4:00pm; Event Short Description
Arthur Robb :

Dec 02 2008

Convex Hedging in Incomplete Markets

Information: Tuesday, December 2, 2008 - Tuesday, December 2, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In incomplete financial markets not every contingent claim can be replicated by a self-financing str

Nov 21 2008

Second SIAM Conference on Financial Mathematics and Engineering

Information: Friday, November 21, 2008 - Friday, November 21, 2008; 8:00 AM - 7:00 PM; Event Type: Mathematical Finance and Probability Seminars; Heldrich Hotel; Event Short Description
The conference will feature over 90 researchers, highlighting the latest research in financial mathe

Nov 20 2008

Wiener-Hopf Factorization as a General Method for Valuation of Real and American Options

Information: Thursday, November 20, 2008 - Thursday, November 20, 2008; 4:00 PM - 5:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
A new general approach to optimal stopping problems in LÃƒÂ©vy models, regime switching LÃƒÂ©vy mode

Nov 18 2008

Exploring Symmetry in Contingent Pricing

Information: Tuesday, November 18, 2008 - Tuesday, November 18, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
In this talk I will show how to use symmetry arguments in order to derive simple and often model ind

Nov 14 2008

Risk Mangement as a Career

Information: Friday, November 14, 2008 - Friday, November 14, 2008; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill Room 552, Friday 3:00pm-4:00pm; Event Short Description
Chris Donohue: The Global Association of Risk Professionals is the leading association for financia

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