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.