Mathematical Finance Seminar
Spring 2002
The Courant Institute of Mathematical Sciences,
New York University
Spring 2002 (Past Lectures)
February 7, 2002
Andrew Lesniewski
BNP Paribas
Swaption Smiles via the WKB Method
(abstract)
February 14, 2002
Jerome Busca
Universite Paris Dauphine
Implied Volatility Smiles
(abstract)
February 21, 2002
Stephen A. Ross
MIT
A neoclassical look at behavioral finance
(abstract)
February 28, 2002
Rama Cont
Princeton University
Dynamics of implied volatility surfaces
(abstract)
CANCELLED
March 7, 2002
Francois Oustry
Raise Partner
Spectral Covariance Matrix and Applications to Finance
(abstract)
March 21, 2002
Paul Malliavin
Universite Paris VI
Stochastic Calculus of Variations in Mathematical Finance
(abstract)
April 4, 2002
Peter Carr
Courant Institute
Semi-static hedging with options
(abstract)
April 11, 2002
Thomas F. Coleman
Cornell University
Discrete Hedging Under Piecewise Linear Risk Minimization
(abstract)
April 18, 2002
Chester Spatt
Carnegie-Mellon
Optimal Asset Location and Allocation with
Taxable and Tax-Deferred Investing
(abstract)
April 25, 2002
Roberto Baviera
MPS Finance Banca Mobiliare
Option Prices in Presence of Transaction Costs
(abstract)
May 2, 2002
H. Eugene Stanley
Boston University
Understanding Large Movements in Stock Market Activity
(abstract)
Fall 2001 (past lectures)
October 4, 2001
Benoit Mandelbrot
Yale University
The multifractal model of financial prices: long dependence and
scaling invariance
(abstract)
October 11, 2001
Raphael Douady
Ecole Normale Superieure de Cachan
A Rating-based Model for Credit Derivatives
(abstract)
October 18, 2001
Alexander Levin
The Dime Bancorp Inc
Pricing path-dependent mortgages on finite-difference grids
(abstract)
October 25, 2001
Nassim Nicholas Taleb
Empirica LLC and Courant Institute
Fooled by Randomness: The hidden role of chance in markets and in life
(abstract)
November 1, 2001
Edward Altman
NYU Stern School of Business
Measuring corporate bond mortality and performance
(abstract)
November 8, 2001
Roger Lee
Stanford University and Courant Institute
Option Prices at Extreme Strikes, and Error Bounds for DFT Computations
(abstract)
November 15, 2001
Phillip Schoenbucher
University of Bonn
Copula-Dependent Default Risk in Intensity Models
(abstract)
November 29, 2001
Ioannis Karatzas
Columbia University
Probabilistic aspects of portfolio analysis
(abstract)
December 6, 2001
W. Bernard Lee
Andersen
Practitioner's Guide to Credit Scenario Generation
(abstract)
Go Back to the Courant seminar index.