News & Events

Past Events

Nov 16 2007

Recovering Portfolio Default Rates from market prices: solution of an inverse problem by intensity control

Information
Friday, November 16, 2007 - Friday, November 16, 2007
4:00 PM - 5:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 525
The calibration of pricing models for portfolio credit derivatives such as CDOs involves the constru
Oct 30 2007

Pricing and Hedging Barrier Options in Diffusion Models Via 3-Dimensional Bessel Processes

Information
Tuesday, October 30, 2007 - Tuesday, October 30, 2007
3:20 PM - 4:20 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 525
Due to the discontinuous payoff of barrier options, finite difference methods typically lead to larg
Oct 19 2007

How to Find a Quantitative Finance Job

Information
Friday, October 19, 2007 - Friday, October 19, 2007
12:10 PM - 1:00 PM
Event Type: Career Workshops
Hill 552 , 3:00-4:00pm
Dr. Dinka Krstulovich:  Dr. Dinka Krstulovich, founder of Martingale International, a leading quanti
Oct 16 2007

Arbitrage Free Models In Markets With Transaction Costs

Information
Tuesday, October 16, 2007 - Tuesday, October 16, 2007
3:20 PM - 4:20 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 525
In his recent paper, Paolo Guasoni introduced the notion of sticky processes and showed that stickin
Oct 02 2007

An Option-Theoretic Model for Mortgage-Backed Securities

Information
Tuesday, October 2, 2007 - Tuesday, October 2, 2007
3:20 PM - 4:20 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 525
Fast and accurate valuation of mortgage-backed securities has been an ongoing challenge for quants o
Sep 14 2007

Volatility Stabilization, Diversity and Arbitrage in Stochastic Finance

Information
Friday, September 14, 2007 - Friday, September 14, 2007
4:00 PM - 5:00 PM
Event Type: Mathematical Finance and Probability Seminars
Hill 705
In this talk we start with an overview of the modern theory of portfolios, based on Stochastic Analy