2006-2007

October 26, 2006

Consistent Calibration of CDO Tranches with the Generalized-Poisson Loss dynamical model

Damiano Brigo                                                                                  Banca IMI
Bocconi University

November 17, 2006

Filtering with Marked Point Process Observations: Applications to Ultra-High Frequency Data

Yong Zeng                                                                                           University of Missouri-Kansas City, Mathematics and Statistics

December 1, 2006

Maximum Drawdown, Directional Trading and Market Crashes

Jan Vecer                                                                                     Columbia University, Statistics

December 8, 2006

Long Run Risk

Lars Peter Hansen                                                                       
The University of Chicago, Economics                                                            (joint with Jose Scheinkman, Princeton University)

January 19, 2007

Accounting for Nonstationarity and Heavy Tails in Financial Time Series With Applications to Robust Risk Management

Ying Chen                                                                                     Humboldt University, Berlin, School of Economics and Management            (joint with Vladimir Spokoiny)

February 2, 2007

Hedging and portfolio optimization in a Levy market model

David Nualart                                                                                University of Kansas, Mathematics

March 2, 2007

Nonparametric Regression Models for Nonstationary Variables with Applications in Economics and Finance

Zongwu Cai                                                                                           University of North Carolina at Charlotte, Mathematics

March 9, 2007

Robust asset allocation using benchmarking

Andrew Lim                                                                                    University of California at Berkeley, IEOR

March 30, 2007

Models for Option Prices

Jean Jacod                                                                                   Universite Paris VI, Laboratoire de Probabilités                                        (joint with Philip Protter, Cornell University)

April 6, 2007

The Kelly Criterion and its variants: theory and practice in sports, lottery, futures, and options trading

William Ziemba                                                                            University of British Columbia, Sauder School of Business

April 13, 2007

Practical experiences in financial markets using Bayesian forecasting systems

Bluford H. Putnam                                                                              EQA Partners, L.P.

April 21 and 22, 2007

Conference on Volatility and High Frequency Data

 

May 11, 2007

Pricing Credit Derivatives and Measuring Credit Risk in Multifactor Models

Paul Glasserman                                                                              Columbia Business School, Graduate School of Business

May 18, 2007

How Do Waiting Times or Duration Between Trades of Underlying Securities Affect Option Prices

Alvaro Cartea and Thilo Meyer-Brandis                                             Birbeck College, University of London, Commodities Finance Centre and School of Economics, Mathematics, and Statistics