2013 - 2014

October 17, 2013   Thursday 
4:00 PM
5727 S. University Ave, Room 112

Haakon Gjessing

Norwegian Institute of Public Health

Statistical Efficiency, Design and Correction for Multiple Testing in Genetic Association Studies


October 24, 2013   Thursday 
12:00 PM
5727 S. University Ave, Room 112

Eric Ghysels

University of North Carolina, Chapel Hill

Estimating Volatility Risk Factors Using Large Panels of Filtered or Realized Volatilities


November 7, 2013   Thursday 
4:00 PM
5727 S. University Ave, Room 112

David Li

American International Group (AIG)

A Transformed Copula Function Approach to Credit Portfolio Modeling


November 14, 2013   Thursday 
4:00 PM
5727 S. University Ave, Room 112

Qiying Wang

University of Sydney

On the asymptotics of Nadaraya-Watson estimator:  Toward a unified approach


November 19, 2013   Tuesday 
5:00 PM
5727 S. University Ave, Room 112

Bruno Dupire

Head of Quantitative Research, Bloomberg

Functional Ito Calculus and Financial Applications


January 7, 2014   Tuesday
4:00 PM
5727 S. University Ave, Room 112

Maryam Farboodi

The University of Chicago

Intermediation and Voluntary Exposure to Counterparty Risk


January 16, 2014   Thursday
4:00 PM
5727 S. University Ave, Room 112

Christina Dan Wang

Princeton Univerisity 

The Estimation of Leverage Effect in High Frequency Data

 


January 23, 2014   Thursday
4:00 PM
5727 S. University Ave, Room 112

Marcelo Alvisio

The University of Chicago

Option Pricing using Perturbation Methods

 


January 30, 2014   Thursday
4:00 PM
5727 S. University Ave, Room 112

Jean Jacod

Université Paris VI

Backward Stochastic Differential Equations driven by Point Processes: An Elementary Approach

 


February 17, 2014   Monday
4:00 PM
Eckhart Hall, room 133   
joint with Department of Statistics

Mathieu Rosenbaum

Université Paris VI and École Polytechnique

Limit Theorems for nearly unstable Hawkes Processes


March 13, 2014   Thursday
12:00 PM
5727 S. University Ave, Room 112

Mathias Vetter

Philipps-Universität Marburg

Estimating the entire quadratic covariation in case of asynchronous observations


April 3, 2014   Thursday
4:00pm
5727 S. University Ave, Room 112

Jian Sun

Morgan Stanley

Implied Remaining Variance in Derivative Pricing


April 10, 2014   Thursday
4:00 PM
5727 S. University Ave, Room 112

Ilze Kalnina

Université de Montréal

Model-Free Leverage Effect Estimators at High Frequency

Paper


April 17, 2014   Thursday
12 PM
5727 S. University Ave, Room 112
joint with Department of Statistics

Philippe Rigollet

Princeton University

The Statistical Price to Pay for Computational Efficiency in Sparse PCA


May 5, 2014   Monday
4:00 PM
Eckhart Hall, room 133  
joint with Department of Statistics 

Rainer Dahlhaus

Universität Heidelberg

Volatility Decomposition and Online Volatility-Estimation with Nonlinear Market Microstructure Noise Models


May 9, 2014   Friday 
4:00 PM
at CME, joint with UIC

Neil Shephard

Harvard University

Econometric Analysis of Low Latency Financial Data

Event registration: http://www.cvent.com/d/z4qxnw

 


May 22, 2014   Thursday
4:00 PM
5727 S. University Ave, Room 112

Rudolf Beran

University of California, Davis

The Unbearable Transparency of Stein Estimation

Paper


May 23, 2014   Friday
1:30 PM
5727 S. University Ave, Room 112

Rudolf Beran

University of California, Davis

Hypercube Estimators: Penalized Least Squares, Submodel Selection, and Numerical Stability