Weekly Seminars
2008 – 2009
Abstract
9/12/2008
Estimating Operational Risk
10/2/2008
Bayesian Subset Selection in Regression Models
Albert Y. Lo Hong Kong University of Science and Technology
Abstract
10/3/2008
A Simple Semiparametrically Efficient Rank-Based Unit Root Test (Paper)
Bas Werker University of Tilburg
Abstract
10/10/2008
The financial crisis, the bailout, and alternative plans
John Cochrane
The University of Chicago
10/17/2008
Wiener chaos, Malliavin calculus and central limit theorems
Mark Podolskij University of Aarhus
Abstract
Abstract
November 1, 2008
Stevanovich Center 2008 Conference on Liquidity
11/7/2008
Carr’s randomization and new FFT techniques for fast and accurate pricing of barrier options
Dmitri Boyarchenko
The University of Chicago
Abstract
In the first part of my talk I will focus on the classical Black-Scholes model and Kou’s double-exponential jump-diffusion model, as well as a class of models that contains those two as special cases, namely, the hyper-exponential jump-diffusion (HEJD) models. For HEJD models, each step in the backward induction procedure for pricing a single or double barrier option can be made very explicit, so that the calculation of an option price using our method takes a small fraction of a second.
In the second part of my talk I will discuss other prominent examples of models used in empirical studies of financial markets, including the Variance Gamma model and the CGMY model. In these examples, the aforementioned backward induction procedure can be reduced to computing a sequence of Fourier transforms and inverse Fourier transforms. However, the numerical calculation of Fourier transforms via FFT may lead to significant errors, which are often hard or impossible to control when standard FFT techniques are used. I will describe a new approach to implementing FFT techniques that allows one to control these errors without sacrificing the computational speed.
The material I will present is based on joint works with Svetlana Boyarchenko (University of Texas at Austin) and Sergei Levendorskii (University of Leicester).
Abstract
11/21/2008
Financial Mathematics in the Unit Disc: Complexity Bounds for Price Discovery
Andrew Mullhaupt
SAC Capital Management
Abstract
11/21/2008
Maximization by Parts in Extremum Estimation
Eric Renault University of North Carolina at Chapel Hill
Abstract
11/24/2008
Arbitrage bounds on the prices of vanilla options and variance swaps
Mark H.A. Davis Imperial College London
Abstract
12/12/2008
Skewness and the Bubble
Eric Ghysels University of North Carolina at Chapel Hill
Federal Reserve Bank, New York
Abstract
1/16/2009
A New Approach For Modelling and Pricing Equity Correlation Swaps
Sebastien Bossu Columbia University
Abstract
1/30/2009
The Mathematics of Liquidity and Other Matters Concerning Portfolio and Risk Management
Ranjan Bhaduri Alphametrix
Abstract
2/6/2009
Approximations of Risk Neutral Measures and Derivatives Pricing
Fangfang Wang University of North Carolina at Chapel Hill
Abstract
2/20/2009
Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data
Dacheng Xiu Princeton University
Abstract
2/23/2009
Testing for finite activity for jumps and for the presence of a Brownian motion
Jean Jacod University of Paris VI
3/6/2009
Generalized Affine Models (Paper)
Nour Meddahi Toulouse School of Economics
Abstract
Abstract
4/17/2009
What are the Risks of Treasury Bonds?
John Campbell Harvard University
5/8/2009
Fragile Beliefs and the Price of Uncertainty (Paper)
Lars Peter Hansen University of Chicago
Abstract
5/15/2009
Efficient estimation for discretely sampled ergodic SDE models
Michael Sørensen University of Copenhagen
Abstract
5/29/2009
Cancelled
Kjell G. Nyborg Norwegian School of Business Administration
6/5/2009
Volatility and Covariation of Financial Assets: A High-Frequency Analysis
Alvaro Cartea Birkbeck, University of London
Abstract
7/6/2009
Multivariate Levy driven Stochastic Volatility Models – OU type and COGARCH
Robert Stelzer Technical University of Munich