2008-2009

9/23/2008

Structural adaptive smoothing using the Propagation-Separation approach

Jörg Polzehl                                                                                
Weierstrass Institute for Applied Analysis and Stochastics (WIAS), Berlin

 9/12/2008

Estimating Operational Risk

William Goetzmann                                                                           
Yale University

2nd Friday on Finance

 

10/2/2008

Bayesian Subset Selection in Regression Models

Albert Y. Lo                                                                                         Hong Kong University of Science and Technology

 10/3/2008

A Simple Semiparametrically Efficient Rank-Based Unit Root Test (Paper)

Bas Werker                                                                                        University of Tilburg

10/10/2008

The financial crisis, the bailout, and alternative plans

John Cochrane   
The University of Chicago

2nd Friday on Finance

 

10/17/2008

Wiener chaos, Malliavin calculus and central limit theorems

Mark Podolskij                                                                                   University of Aarhus

10/27/2008

Jump Activity in High Frequency Financial Data

Yacine Ait-Sahalia                                                                         Princeton University

November 1, 2008

Stevanovich Center 2008 Conference on Liquidity

 

11/7/2008

Carr's randomization and new FFT techniques for fast and accurate pricing of barrier options

Dmitri Boyarchenko   
The University of Chicago

11/14/2008

Why is Financial Market Volatility so High?

Robert Engle                                                                                       New York University

11/21/2008

Financial Mathematics in the Unit Disc: Complexity Bounds for Price Discovery

Andrew Mullhaupt                                                                                 
SAC Capital Management

11/21/2008

Maximization by Parts in Extremum Estimation

Eric Renault                                                                                         University of North Carolina at Chapel Hill

11/24/2008

Arbitrage bounds on the prices of vanilla options and variance swaps

Mark H.A. Davis                                                                                   Imperial College London

12/12/2008

Skewness and the Bubble

Eric Ghysels                                                                                         University of North Carolina at Chapel Hill 
Federal Reserve Bank, New York

1/16/2009

A New Approach For Modelling and Pricing Equity Correlation Swaps

Sebastien Bossu                                                                                  Columbia University

1/30/2009

The Mathematics of Liquidity and Other Matters Concerning Portfolio and Risk Management

Ranjan Bhaduri                                                                                           Alphametrix

2/6/2009

Approximations of Risk Neutral Measures and Derivatives Pricing

Fangfang Wang                                                                                           University of North Carolina at Chapel Hill

2/20/2009

Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data

Dacheng Xiu                                                                                    Princeton University

2/23/2009

Testing for finite activity for jumps and for the presence of a Brownian motion

Jean Jacod                                                                                          University of Paris VI

 

3/6/2009

Generalized Affine Models (Paper)

Nour Meddahi                                                                                      Toulouse School of Economics

4/17/2009

The extremogram: a correlogram for extreme event

Thomas Mikosch                                                                                 University of Copnenhagen

4/17/2009

What are the Risks of Treasury Bonds?

John Campbell                                                                                     Harvard University

2nd Friday on Finance

 

5/8/2009

Fragile Beliefs and the Price of Uncertainty (Paper)

Lars Peter Hansen                                                                              University of Chicago

5/15/2009

Efficient estimation for discretely sampled ergodic SDE models

Michael Sørensen                                                                      University of Copenhagen

5/29/2009

Cancelled

Kjell G. Nyborg                                                                              Norwegian School of Business Administration

 

6/5/2009

Volatility and Covariation of Financial Assets: A High-Frequency Analysis

Alvaro Cartea                                                                           Birkbeck, University of London

7/6/2009

Multivariate Levy driven Stochastic Volatility Models - OU type and COGARCH

Robert Stelzer                                                                                 Technical University of Munich