2011-2012 FINANCIAL MATHEMATICS SEMINAR
5727 S University Ave is located immediately south of the tennis courts on University Ave between 57th and 58th
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Open to the public.
More speakers will be added over time. The listed speakers are confirmed unless otherwise noted.
The seminars at the Chicago Mercantile Exchange (CME) are on Friday at 4 pm. These are organized jointly by
These seminars require (free) preregistration, which is handled by UIC. Please consult the QFF web page for details.
| Date | Speaker | Affiliation | Title of Talk (click for abstract) |
Comments |
|---|---|---|---|---|
| 26 Aug 2011, Friday, 4:00PM, at CME | Albert S. "Pete" Kyle | University of Maryland | High Frequency Trading in Electronic Markets: Implications for Public Policy | At CME, joint with UIC |
| 14 Oct 2011, Friday, 4:00PM, at CME | Pierre-Louis Lions | Collège de France and Ecole Polytechnique | Questions and Observations on Mathematical Models in Finance | At CME, joint with UIC |
| 20 Oct 2011, Thursday, noon, 5727 S University, room 112 | Songxi Chen (Iowa link) | Guanghua School of Business, Peking University, and Iowa State University | On Implied Volatility for Options -- Some Reasons to Smile and to Correct | |
| 27 Oct 2011, Thursday, noon, 5727 S University, room 112 | Jin-Chuan Duan | Risk Management Institute, National University of Singapore | Multiperiod Corporate Default Prediction -- A Forward Intensity Approach" | working paper |
| 31 Oct 2011, Monday, 4 PM 5727 S University, room 112 |
Philip Protter | Columbia University | Detecting Financial Bubbles in Real Time | joint with Department of Statistics |
| 7 Nov 2011, Monday, 4:30 pm, 5727 S University, room 112 b> | Pierre-Louis Lions | Collège de France and Ecole Polytechnique | The Role of Mathematics in Financial Engineering | registration required |
| 10 Nov 2011, Thursday, noon, 5727 S University, room 112 | Yacine Aït-Sahalia | Princeton University | The Leverage Effect Puzzle: Disentangling Sources of Bias in High Frequency Inference | |
| 10 Nov 2011, Thursday, 4:15pm, 5727 S University Ave, room 112 | Patricia Lassus | geodesiXs | Complex Trading Mechanisms | |
| 11 Nov 2011, Friday, 4:00PM, at CME | Olivier Scaillet | Université de Genève and Swiss Finance Institute | Searching for Outperformance: Myth or Reality? | At CME, joint with UIC |
| 22 Nov 2011, Tuesday, noon, 5727 S University, room 112 | Lihua Bai | Nankai University | On Trivial and Non-trivial Optimal Barrier Solutions of the Dividend Problem for a Diffusion under Constant and Proportional Transaction Cost | |
| 1 December 2011, Thursday, 4:15pm, 5727 S University, room 112 | José Santiago Fajardo Barbachan | FGV | Implied Volatility Smirk under Asymmetric Dynamics | |
| 19 January 2012, 4:15pm, 5727 S University, room 112 | Jean Jacod | Université Paris VI | About Microstructure Noise: A Statistical Approach | |
| 2 February 2012, 4:15pm, 5727 S University, room 112 | Markus Bibinger | Humboldt-Universität zu Berlin | On volatility matrix estimation in a multivariate semimartingale model with microstrutcure noise | |
| 9 February 2012, 4:15pm, 5727 S University, room 112 | D. Christina Wang | The University of Chicago | The Estimation of Leverage effect with High Frequency Data | |
| 8 March 2012, 4:15pm, 5727 S University, room 112 | Viktor Todorov | Northwestern University | Parametric Inference, Testing and Dynamic State Recovery from Option Panels with Fixed Time Span | |
| 5 April 2012, noon, 5727 S University, room 112 | Eric Ghysels | University of North Carolina at Chapel Hill | Mixed Frequency Vector Autoregressive Models | paper |
| 20-22 April 2012 location TBA (in Hyde Park) | Conference on Functional Programming in Quantitative Finance | Organizer: Niels Nygaard | more information soon | |
| 3-4 May 2012 | Conference on Asymptotics in Finance | Organizers: Henri Berestycki and Roger Lee | more information soon | |
| 10 May 2012, 8:30am, 5727 S University, room 112 | Becker Friedman Institute | Becker Friedman Institute | Becker Friedman Institute Conference to run from 8:30am to 6pm in Room 112. | |
| 11 May 2012, 3:30 pm, Eckhart Hall, room 133 | Jonathan Goodman | Courant Institute of Mathematical Sciences, New York University | Time Stepping and Numerical Sensitivity Analysis for SDE | joint with the Scientific and Statistical Computing Seminar |
| 17 May 2012, 11:30am to 12:30 pm, 5727 S University, room 112 | Yanyan Li | On Some Conformally Invariant Fully Nonlinear Equations in Room 112 from 11:30am to 12:30pm. | ||
| 17 May 2012, 4 pm to 5:30 pm, 5727 S University, room 112 | TBD | TBD | ||
| 24 May 2012, noon, 5727 S University, room 112 | Ostap Okhrin | Humboldt-Universität zu Berlin | title TBA | to be confirmed |
| 4-6 June 2012 location: Stevanovich Center 5727 S University. | Conference on Matching Problems: Economics meets Mathematics | Organizers: Becker Friedman Institute and The Stevanovich Center | to be confirmed; more information soon |
ABSTRACTS
These mechanisms can be used in a one-shot auction (e.g. for corporate or government debt underwriting) or on a continuous trading platform (e.g. for trading equities, bonds, or other asset classes).