Weekly Seminars
2006 – 2007
October 26, 2006
Damiano Brigo
Banca IMI, Bocconi University
Consistent Calibration of CDO Tranches with the Generalized-Poisson Loss dynamical model
Yong Zeng
University of Missouri-Kansas City, Mathematics and Statistics
Filtering with Marked Point Process Observations: Applications to Ultra-High Frequency Data
Lars Peter Hansen
The University of Chicago, Economics (joint with Jose Scheinkman, Princeton University)
Long Run Risk
Ying Chen
Humboldt University, Berlin, School of Economics and Management (joint with Vladimir Spokoiny)
Accounting for Nonstationarity and Heavy Tails in Financial Time Series With Applications to Robust Risk Management
February 2, 2007
David Nualart
University of Kansas, Mathematics
Hedging and portfolio optimization in a Levy market model
March 2, 2007
Zongwu Cai
University of North Carolina at Charlotte, Mathematics
Nonparametric Regression Models for Nonstationary Variables with Applications in Economics and Finance
March 9, 2007
Andrew Lim
University of California at Berkeley, IEOR
Robust asset allocation using benchmarking
March 30, 2007
Jean Jacod
Universite Paris VI, Laboratoire de Probabilités (joint with Philip Protter, Cornell University)
Models for Option Price
April 6, 2007
William Ziemba
University of British Columbia, Sauder School of Business
The Kelly Criterion and its variants: theory and practice in sports, lottery, futures, and options trading
April 13, 2007
Bluford H. Putnam
EQA Partners, L.P.
Practical experiences in financial markets using Bayesian forecasting systems
April 21 and 22, 2007
Conference on Volatility and High Frequency Data
Paul Glasserman
Columbia Business School, Graduate School of Business
Pricing Credit Derivatives and Measuring Credit Risk in Multifactor Models
Alvaro Cartea and Thilo Meyer-Brandis
Birbeck College, University of London, Commodities Finance Centre and School of Economics, Mathematics, and Statistics