2007-2008

 October 5, 2007

Nonparametric Testing for Multivariate Volatility Models

Wolfgang Polonik                                                                        University of California, Davis, Department of Statistics

October 11, 2007

Bipower Variation with Noisy Data (Paper)

Asger Lunde                                                                                       Aarhus School of Business, Denmark

October 19 and 20, 2007

Stevanovich Center 2007 Conference on Credit Risk

 

November 2, 2007

Modeling and Analyzing High-Frequency Financial Data

Yazhen Wang                                                                                 National Science Foundation 
University of Connecticut

November 9, 2007

What happened to the quants in August 2007

Amir E. Khandani and Andrew W. Lo                                                         Massachusetts Institute of Technology

November 16, 2007

A continuous time GARCH process driven by a Levy process

Alexander Lindner                                                                           Technische Universität München, University of Marburg
University of Braunschweig, Germany

November 30, 2007

The Price Impact of Institutional Herding

Amil Dasgupta                                                                                   London School of Economics
Centre for Economic Policy Research

December 10, 2007

Signing and Nearly-Gamma Random Variables

Dale Rosenthal
The University of Chicago

December 12, 2007

Subsamplig High Frequency Data

Ilze Kalnina                                                                                     London School of Economics

December 14, 2007

Integrated Volatility and Round-off Error

Mathieu Rosenbaum                                                                     Universite Paris-Est

 

January 11, 2008

From Practice to Theory, the Origins of Model Error: Preasymptotics and Inverse Problems in Quantitative Finance

Nassim Taleb

2nd Friday on Finance

 

February 22, 2008

Pricing American-Style Options by Monte Carlo Simulation: Alternatives to Ordinary Least Squares

Stathis Tompaidis                                                                          University of Texas

April 4, 2008

Analysing Time Series with Nonstationarity: Common Factors and Curve Series

Qiwei Yao                                                                                         London School of Economics

April 10, 2008

One Day Workshop on Finance and Statistics

 

April 11, 2008

Why Do Risk Premiums in Sovereign Credit Markets Covary?

Kenneth Singleton                                                                         Stanford University

 

April 18, 2008

Exact filters for discretized diffusions

Mathieu Kessler                                                                               Universidad Politecnica de Cartagena, Spain

 

April 23, 2008

Convex Risk Measures in Financial Mathematics

Ronnie Sircar                                                                                      Princeton University

CAMP Seminar

 

April 24, 2008

Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives

Ronnie Sircar                                                                                Princeton University

April 25, 2008

Estimation in time series that are both nonlinear and nonstationary

Dag Tjostheim                                                                                   University of Bergen

May 2, 2008

Modeling and Estimation of High-Dimensional Covariance Matrix for Portfolio Allocation and Risk Management

Jianqing Fan                                                                                   Princeton University

May 9, 2008

Optimal dividend payments and reinvestments of diffusion processes with both fixed and proportional costs

Jostein Paulsen                                                                                      University of Bergen
The
University of Chicago

May 16, 2008

TBA

Richard Thaler                                                                                       The University of Chicago

2nd Friday on Finance

 

May 30, 2008

Hitting Time Problems with Applications to Finance and Insurance

Sebastian Jaimungal                                                                          University of Toronto

June 6, 2008

Indifference pricing for general semimartingales

Matheus Grasselli                                                                          McMaster University