# 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*