Past Events

Event Type

Year

Nov 04 2008

Hedging under Liquidity Risk and Price Impacts

Information: Tuesday, November 4, 2008 - Tuesday, November 4, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We extend the model of liquidity risk of Cetin et al. (2004) to allow for price impacts. Starting fr

Oct 21 2008

A stochastic model for order book dynamics

Information: Tuesday, October 21, 2008 - Tuesday, October 21, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We propose a stochastic model for the continuous-time dynamics of a limit order book. The model stri

Oct 07 2008

Distribution-based Risk Measures and Their Properties

Information: Tuesday, October 7, 2008 - Tuesday, October 7, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Capital regulation is an important instrument to maintain a safe banking system and relies on proper

Oct 03 2008

Quantitative Investing

Information: Friday, October 3, 2008 - Friday, October 3, 2008; 12:10 PM - 1:00 PM; Event Type: Career Workshops; Hill 552, Friday, 3:00-4:00pm; Event Short Description
Gary Chropuvka: TBA

Sep 23 2008

Hard-To-Borrow Stocks, Volatility and Bubble Dynamics: a challenge to Jarrow + Protter?

Information: Tuesday, September 23, 2008 - Tuesday, September 23, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Stocks which are difficult to short have special dynamics which alter their pricing and lead to bubb

Aug 01 2008

A Stochastic Volatility Alternative to SABR

Information: Friday, August 1, 2008 - Friday, August 1, 2008; 8:00 AM - 5:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
We present two new stochastic-volatility models in which option prices for European plain vanilla op

Apr 29 2008

Credit Derivative Modelling with Jump Hazard Process

Information: Tuesday, April 29, 2008 - Tuesday, April 29, 2008; 2:00 PM - 3:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
We will introduce some fundamental credit-linked financial instruments, such as Credit Default Swaps

Apr 25 2008

The Joy of FX: the effect of market conventions on the pricing of currency options

Information: Friday, April 25, 2008 - Friday, April 25, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
The currency option markets are replete with conventions that strongly affect the way in which model

Apr 15 2008

A Clustering/Selection method to capture the systematic movement of Equity's Return

Information: Tuesday, April 15, 2008 - Tuesday, April 15, 2008; 2:00 PM - 3:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
This work presents a way to select macroeconomic factors important for the returns of individual ass

Apr 11 2008

Weather, Energy and Agro Derivatives

Information: Friday, April 11, 2008 - Friday, April 11, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
ABSTRACT We will review the products traded in the weather , energy, and agro derivatives markets, r

Apr 09 2008

Wolfgang Doeblin: A Mathematician Rediscovered

Information: Wednesday, April 9, 2008 - Wednesday, April 9, 2008; 3:20 PM - 11:59 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Wolfgang Doeblin was a mathematician/soldier/telegraphist who served at the front during World War I

Mar 11 2008

Set-Valued Risk Measures

Information: Tuesday, March 11, 2008 - Tuesday, March 11, 2008; 2:00 PM - 3:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
Jouini et al. (Finance & Stochastics 8, 2004) proposed the concept of set–valued coherent risk measu

Feb 26 2008

Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives

Information: Tuesday, February 26, 2008 - Tuesday, February 26, 2008; 2:00 PM - 3:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
The pricing of basket credit derivatives is contingent upon realistic modeling of the firms' default

Feb 12 2008

Developments in Volatility Derivatives Pricing

Information: Tuesday, February 12, 2008 - Tuesday, February 12, 2008; 2:00 PM - 3:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
Over the last two years, we have seen increased trading in both options on VIX and options on varian

Feb 08 2008

Long Dated Dervatives

Information: Friday, February 8, 2008 - Friday, February 8, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
Long dated derivatives require a flexible modelling framework. The econometrics challenge is to embe

Feb 01 2008

Time Changed Markov Processes in United Credit-Equity Modeling

Information: Friday, February 1, 2008 - Friday, February 1, 2008; 3:00 PM - 4:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
This paper develops a novel class of hybrid credit-equity models with state-dependent jumps, local-s

Jan 29 2008

A Weak Existence Result with Application to Model Calibration

Information: Tuesday, January 29, 2008 - Tuesday, January 29, 2008; 2:00 PM - 3:00 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705; Event Short Description
Gyongy has shown that it is possible to construct a diffusion process with the same one-dimensional

Dec 13 2007

Mathematical Finance and Opportunities for Undergraduates

Information: Thursday, December 13, 2007 - Thursday, December 13, 2007; 6:30 PM - 7:30 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 705,Busch Campus; Event Short Description
A Master's Degree in Mathematics with Option in Mathematical Finance can lead to exciting career opp

Dec 11 2007

Brownian Motions Interacting Through Ranks and a Phase Transition Phenomenon

Information: Tuesday, December 11, 2007 - Tuesday, December 11, 2007; 3:20 PM - 4:20 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
Consider a particle in a finite dimensional Euclidean space performing a Brownian motion with an ins

Nov 27 2007

Relative Arbitrage In Equity Markets

Information: Tuesday, November 27, 2007 - Tuesday, November 27, 2007; 3:20 PM - 4:20 PM; Event Type: Mathematical Finance and Probability Seminars; Hill 525; Event Short Description
An equity market admits relative arbitrage if there exist two portfolios of equal initial value, one

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