# Weekly Seminars

**2013 – 2014**

October 17, 2013 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Haakon Gjessing

*Norwegian Institute of Public Health*

## Statistical Efficiency, Design and Correction for Multiple Testing in Genetic Association Studies

##### Abstract

October 24, 2013 Thursday

12:00 PM

5727 S. University Ave, Room 112

## Eric Ghysels

*University of North Carolina, Chapel Hill*

## Estimating Volatility Risk Factors Using Large Panels of Filtered or Realized Volatilities

November 7, 2013 Thursday

4:00 PM

5727 S. University Ave, Room 112

## David Li

*American International Group (AIG)*

## A Transformed Copula Function Approach to Credit Portfolio Modeling

##### Abstract

This discovery allows us to theoretically link our credit portfolio modeling with our classical equity portfolio modeling in the CAPM setting. This can help us solve some practical problems we have been encountering in the credit portfolio modeling.

November 14, 2013 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Qiying Wang

*University of Sydney*

## On the asymptotics of Nadaraya-Watson estimator: Toward a unified approach

##### Abstract

November 19, 2013 Tuesday

5:00 PM

5727 S. University Ave, Room 112

## Bruno Dupire

*Head of Quantitative Research, Bloomberg*

## Functional Ito Calculus and Financial Applications

##### Abstract

January 7, 2014 Tuesday

4:00 PM

5727 S. University Ave, Room 112

## Maryam Farboodi

*The University of Chicago*

## Intermediation and Voluntary Exposure to Counterparty Risk

##### Abstract

January 16, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Christina Dan Wang

*Princeton Univerisity** *

## The Estimation of Leverage Effect in High Frequency Data

January 23, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Marcelo Alvisio

*The University of Chicago*

## Option Pricing using Perturbation Methods

January 30, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Jean Jacod

*Université Paris VI*

## Backward Stochastic Differential Equations driven by Point Processes: An Elementary Approach

February 17, 2014 Monday

4:00 PM

Eckhart Hall, room 133

joint with Department of Statistics

## Mathieu Rosenbaum

*Université Paris VI and École Polytechnique*

## Limit Theorems for nearly unstable Hawkes Processes

##### Abstract

Our main result states that after suitable rescaling, they asymptotically behave like integrated Cox Ingersoll Ross models. Thus, modeling financial order flows as nearly unstable Hawkes processes may be a good way to reproduce both their high and low frequency stylized facts. We then extend this result to the Hawkes based price model introduced by Bacry et al. We show that under a similar criticality condition, this process converges to a Heston model. Again, we recover well known stylized facts of prices, both at the microstructure level and at the macroscopic scale. (Joint work with Thibault Jaisson, Ecole Polytechnique, Paris).

March 13, 2014 Thursday

12:00 PM

5727 S. University Ave, Room 112

## Mathias Vetter

*Philipps-Universität Marburg*

## Estimating the entire quadratic covariation in case of asynchronous observations

##### Abstract

April 3, 2014 Thursday

4:00pm

5727 S. University Ave, Room 112

## Jian Sun

*Morgan Stanley*

## Implied Remaining Variance in Derivative Pricing

##### Abstract

April 10, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Ilze Kalnina

*Université de Montréal*

## Model-Free Leverage Effect Estimators at High Frequency

April 17, 2014 Thursday

12 PM

5727 S. University Ave, Room 112

joint with Department of Statistics

## Philippe Rigollet

*Princeton University*

## The Statistical Price to Pay for Computational Efficiency in Sparse PCA

##### Abstract

May 5, 2014 Monday

4:00 PM

Eckhart Hall, room 133

joint with Department of Statistics

## Rainer Dahlhaus

*Universität Heidelberg*

## Volatility Decomposition and Online Volatility-Estimation with Nonlinear Market Microstructure Noise Models

##### Abstract

May 9, 2014 Friday

4:00 PM

at CME, joint with UIC

## Neil Shephard

*Harvard University*

## Econometric Analysis of Low Latency Financial Data

Event registration: http://www.cvent.com/d/z4qxnw

May 22, 2014 Thursday

4:00 PM

5727 S. University Ave, Room 112

## Rudolf Beran

*University of California, Davis*

## The Unbearable Transparency of Stein Estimation

##### Abstract

May 23, 2014 Friday

1:30 PM

5727 S. University Ave, Room 112

## Rudolf Beran

*University of California, Davis*