Mathematical Finance Seminar, Fall 2000
These are lectures that have already been given. They are listed here for information purposes only. Please go to the seminar page for the current schedule.
For information about the talks or to be included in our weekly
e-mail list, please contact us by e-mail or by phone at
(212) 998 31 29. You can also get information on the seminars proceedings
volumes which are published yearly by World Scientific.
September 21,
Giovanni Barone-Adesi
Universita Svizzera Italiana
On The Informational Content of Changing Risk for Dynamic Asset Allocation
(abstract)
September 28,
Dilip Madan
University of Maryland
The Fine Structure of Asset Returns: An Empirical
Investigation
(abstract)
October 5,
Michael Stutzer
University of Iowa
A Large Deviations Approach to Portfolio
Analysis
(abstract)
October 12,
Alexander Kreinin
Algorithmics, Inc.
Joint Market and Credit Risk Model
(abstract)
October 26,
Tse Leung Lai
Stanford University
Valuation and exercise boundaries of American barrier and
lookback options
(abstract)
November 2,
Scott Weiner
Balliol College
The Effect of Stochastic Volatility on Portfolio Optimization
with Transaction Costs
(abstract)
November 9,
John Hull
University of Toronto and Stern School of Business
A Test of the Implied Volatility Function Model As It Is Used By Traders to
Price And Hedge Exotic Options
(abstract)
(Joint work with Wulin So, Queens University)
November 16,
Robert Zvan
Bear Stearns & Co.
Topics in the Numerical Solution of Option Pricing PDEs
(abstract)
November 30,
John Merrick
Stern School of Business
Pascal Spreading of Short-Term Interest Rate Contracts
(abstract)
December 7,
Agnes Tourin
University of Toronto
Numerical schemes for variational inequalities arising in international
asset pricing.
(abstract)
Go Back to the Courant seminar index.
Marco Avellaneda