Mathematical Finance Seminar, Spring 2001
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.
February 15,
Alexandre Ziegler
HEC-Lausanne
Game-theory analysis of options
(abstract)
February 22,
Duncan Foley
New School University and Columbia University
Statistical equilibrium issues in financial market modeling
(abstract)
March 1,
Stuart Turnbull
CIBC
A basic methodology for pricing a loan
(abstract)
CANCELLED
March 8,
Michel Crouhy
CIBC
Credit Risk Modeling for Capital Allocation
(abstract)
CANCELLED
March 22,
Vadim Linetsky
Northwestern University
Eigenfunction expansion method in asset pricing
(abstract)
March 29,
Jayanthi Sankaran
Quantitative Risk Advisors
A New Approach to Computing Portfolio VAR for asset managers
(abstract)
April 5,
Jerome Detemple
Boston University School of Management
A Monte Carlo Method for Optimal Portfolios
(abstract)
April 12,
Peter Carr
Bank of America Securities
Pricing and Hedging in Incomplete Markets
(abstract)
April 19,
David Heath
Carnegie Mellon
Risk-management using coherent measures of risk
(abstract)
April 26,
Thomas Bielecki
Northeastern Illinois University
Recent Results on Evaluating Functionals of Several Random Times, with Applications to Valuation of Basket Credit Derivatives
(abstract)
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May 3, 2001
John Hull
University of Toronto
Valuing Credit Default Swaps
(abstract)
Go Back to the Courant seminar index.
Marco Avellaneda