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

November 17, 2006

Yong Zeng

University of Missouri-Kansas City, Mathematics and Statistics

Filtering with Marked Point Process Observations: Applications to Ultra-High Frequency Data

December 1, 2006

Jan Vecer

Maximum Drawdown, Directional Trading and Market Crashes

December 8, 2006

Lars Peter Hansen

The University of Chicago, Economics (joint with Jose Scheinkman, Princeton University)

Long Run Risk

January 19, 2007

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

May 11, 2007

Paul Glasserman

Columbia Business School, Graduate School of Business

Pricing Credit Derivatives and Measuring Credit Risk in Multifactor Models

May 18, 2007

Alvaro Cartea and Thilo Meyer-Brandis

Birbeck College, University of London, Commodities Finance Centre and School of Economics, Mathematics, and Statistics

How Do Waiting Times or Duration Between Trades of Underlying Securities Affect Option Prices