2011–2012

 August 26, 2011

High Frequency Trading in Electronic Markets: Implications for Public Policy

Albert S. "Pete" Kyle                                                                           University of Maryland

 

October 14, 2011

Questions and Observations on Mathematical Models in Finance

Pierre-Louis Lions                                                                               Collège de France
Ecole Polytechnique

 

October 20, 2011

On Implied Volatility for Options -- Some Reasons to Smile and to Correct

Songxi Chen (Iowa link
Peking University, Guanghua School of Business
Iowa State University

October 27, 2011

Multiperiod Corporate Default Prediction -- A Forward Inten tity Approach

Jin-Chuan Duan                                                                                   National University of Singapore, Risk Management Institute

October 31, 2011

Detecting Financial Bubbles in Real Time

Philip Protter                                                                                       Columbia University

November 7, 2011

The Role of Mathematics in Financial Engineering

Pierre-Louis Lions                                                                               Ecole Polytechnique
Collège de France

 

November 10, 2011

The Leverage Effect Puzzle: Disentangling Sources of Bias in High Frequency Inference

Yacine Aït-Sahalia                                                                               Princeton University

November 10, 2011

Complex Trading Mechanisms

Patricia Lassus                                                                                            geodesiXs

November 11, 2011

Searching for Outperformance: Myth or Reality?

Olivier Scaillet                                                                                     Swiss Finance Institute
Université de Genève

 

November 22, 2011

On Trivial and Non-trivial Optimal Barrier Solutions of the Dividend Problem for a Diffusion under Constant and Proportional Transaction Cost

Lihua Bai                                                                                                   Nankai University

 

December 1, 2011

Implied Volatility Smirk under Asymmetric Dynamics

José Santiago Fajardo Barbachan                                                      FGV

January 19, 2012

About Microstructure Noise: A Statistical Approach

Jean Jacod                                                                                           Université Paris VI

 

February 2, 2012

On volatility matrix estimation in a multivariate semimartingale model with microstrutcure noise

Markus Bibinger                                                                                  Humboldt-Universität zu Berlin

February 9, 2012

The Estimation of Leverage effect with High Frequency Data

D. Christina Wang                                                                                       The University of Chicago

March 8, 2012

Parametric Inference, Testing and Dynamic State Recovery from Option Panels with Fixed Time Span

Viktor Todorov                                                                                    Northwestern University

April 5, 2012

Mixed Frequency Vector Autoregresive Models

Eric Ghysels                                                                                               University of North Carolina at Chapel Hill                                                    

April 20 - 22, 2012

Workshop on Functional Programming in Quantitative Finance

Organizer: Niels Nygaard

 

May 3 and 4, 2012

Conference on Asymptotics in Finance

Organizers: Henri Berestycki and Roger Lee

 

May 10, 2012

Conference on Macroeconomic Fragility

Organized by Becker Friedman Institute

 

May 11, 2012

Time Stepping and Numerical Sensitivity Analysis for SDE

Jonathan Goodman                                                                                 New York University, Courant Institute of Mathematical Sciences  

May 17, 2012

On Some Conformally Invariant Fully Nonlinear Equations

Yanyan Li

 

May 24, 2012

Realized Copula

Ostap Okhrin                                                                                         Humboldt-Universität zu Berlin        

June 4 - 6, 2012

Conference on Matching Problems: Economics meets Mathematics

(Joint with the Becker Friedman Institute)

Organizers: Robert McCann, Pierre-Andre Chiappori, Scott Duke Kominers