Mathematical Finance Seminar, Spring 2003
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.
January 30, 2003
J. Doyne Farmer
Santa Fe Institute
Explaining the statistical properties of markets via random low intelligence agents
(abstract)
Note: The lecture will be held at Jurow Hall, 100 Washington Square East. Immediately following the talk, from 7:00 t
o 8:00 PM, a reception will be held at the Silverstein Lounge, hosted by IslandECN/Instinet.
February 20, 2003
Kay Giesecke
Cornell University
Credit Contagion and Aggregate Losses
(abstract)
February 27, 2003
Martin Schaden
New York University
The Distributions of Historic Stock Returns and Quantum Theory
(abstract)
March 6, 2003
Marc Potters
Science et Finance, Capital Fund Management
Statistical Properties of Order Books and Price Impact
(abstract)
March 13, 2003
Greg Duffee
UC Berkeley
Time-variation in the covariance between stock returns and consumption growth
(abstract)
March 27, 2003
Les Gulko
Paloma Partners
Mr. Oedipus, CFA
(abstract)
April 3, 2003
Robert Fernholtz
INTECH Asset Management
Stochastic Portfolio Theory
(abstract)
April 10, 2003
Damir Filipovic
Princeton University
A Simple Model for Credit Migration and Spread Curves
(abstract)
April 17, 2003
Sanford Grossman
Quantitative Financial Strategies
Optimization Problems in Quantitative Hedge Fund Management
(abstract)
April 24, 2003
Robert Jarrow
Cornell University
Liquidity Risk and Arbitrage Pricing Theory
(abstract)
May 1, 2003
Peter Carr
Courant Institute, NYU
Robust Replication of Path-Dependent Derivative Securities
(abstract)
May 8, 2003
Serge Levendorskii
UT Austin
Optimal stopping in non-Gaussian models, with applications to
pricing of American options and real options
(abstract)
Go Back to the Courant seminar index.
Marco Avellaneda