Informal seminar in Computational Finance
Courant Institute of Mathematical Sciences, NYU
Room 1314, Mondays 6pm (bring a sandwich)
For more information, contact
Jonathan Goodman
This is an informal seminar in computational finance for
students, postdocs, and other interested people. We sill have reports on
papers and discuss problems informally. Topics will depend on the interests
of the people who come. Tentatively these will include
- Optimization problems in finance
- Stochastic optimization and trading strategies in stochastic markets
- Perturbation methods for high dimensional valuation problems
- Calibration and maximum likelihood estimation
- Copulas
September 12 Organizational meeting.
New York University
Courant Institute of Mathematical Sciences
Department of Mathematics