Wednesday, December 2 2009 12:30 PM - 1:20 PM BCF 103

Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions, Part II

Monday, November 30 2009 12:30 PM - 1:20 PM BCF 103

Stochastic representations of derivatives of solutions of one dimensional parabolic variational inequalities with Neumann boundary conditions, Part I

Monday, November 9 2009 12:30 PM - 1:20 PM BCF 103

The six-week course on commodity markets will address the various approaches to price modeling, techniques for estimation and calibration to data, and derivative pricing, with a primary focus on energy and electricity prices.

Wednesday, October 28 2009 12:30 PM - 1:20 PM BCF 103

Optimal investment under relative performance concerns

Monday, October 26 2009 12:30 PM - 1:20 PM BCF 103

Detecting the maximum of a mean-reverting scalar process

Wednesday, October 7 2009 12:30 PM - 1:20 PM BCF 103

Mean Variance hedging in incomplete markets and applications; The case of processes with independent increments

Wednesday, April 22 2009 12:30 PM - 1:20 PM BCF 103

Fluid and diffusion analysis of polling systems

Monday, April 20 2009 12:30 PM - 1:20 PM BCF 103

Counterparty Risk on a CDSin a Markov Chain Copula Model with Joint Defaults

Monday, April 13 2009 12:30 PM - 1:20 PM BCF 103

Population Modeling and Bayesian Estimation For The Deconvolution Of Blood Alcohol Concentration From Transdermal Alcohol Biosensor Data

Wednesday, April 1 2009 12:30 PM - 1:20 PM BCF 103

TBA

Monday, March 30 2009 12:30 PM - 1:20 PM BCF 103

TBA

Wednesday, March 25 2009 12:30 PM - 1:20 PM BCF 103

Optimal Trade Execution in Illiquid Markets

Monday, March 23 2009 12:30 PM - 1:20 PM BCF 103

Filtering with Point Process Observations

Friday, March 13 2009 12:30 PM - 1:20 PM BCF 103

INo-arbitrage constraints on the implied volatility surface

Monday, March 9 2009 12:30 PM - 1:20 PM BCF 103

TBA

Wednesday, March 4 2009 12:30 PM - 1:20 PM BCF 103

Mathematical Models for Insider Trading II

Monday, March 2 2009 12:30 PM - 1:20 PM BCF 103

Mathematical Models for Insider Trading

Wednesday, February 18 2009 12:30 PM - 1:20 PM BCF 103

On the Optimal Stopping Problems for Levy Processes (Part II)

Tuesday, February 17 2009 4:30 PM - 6:00 PM Sherrerd Hall Room 125

American Chooser Options

Monday, February 16 2009 12:30 PM - 1:20 PM BCF 103

On the Optimal Stopping Problems for Levy Processes (Part I)

Wednesday, February 11 2009 12:30 PM - 1:20 PM BCF 103

On multivariate risk measures | Slides

Monday, February 9 2009 12:30 PM - 1:20 PM BCF 103

On multivariate risk measures | Slides

Wednesday, February 4 2009 12:30 PM - 1:20 PM BCF 103

Portfolios and Risk Premia for the Long Run

Monday, February 2 2009 12:30 PM - 1:20 PM BCF 103

From Fuel to Power: A Bid Stack Approach to Modeling Energy Markets

Monday, November 24 2008 12:30 PM - 1:20 PM BCF 106

Up and Down Credit Risk

Wednesday, November 19 2008 12:30 PM - 1:20 PM BCF 106

Optimal portfolio/consumption choice in a liquidity risk model with random trading times

Monday, November 17 2008 12:30 PM - 1:20 PM BCF 106

Backward SDEs with constrained jumps and quasi-variational inequalities: applications to impulse controls

Wednesday, November 5 2008 12:30 PM - 1:20 PM BCF 106

Mean field games theory: the stochastic control framework

Monday, May 5 2008 12:30 PM - 1:20 PM BCF 106

Default risk estimation under imperfect information

Monday, April 28 2008 12:30 PM - 1:20 PM BCF 106

Reflected and Doubly Reflected BSDEs with Jumps: A Priori Estimates and Comparison

Wednesday, April 23 2008 12:30 PM - 1:20 PM BCF 106

A classification of random times with financial models in view

Monday, April 21 2008 12:30 PM - 1:20 PM BCF 106

Valuation and Hedging of Defaultable Options

Monday, April 14 2008 12:30 PM - 1:20 PM BCF 106

Interacting particle systems for the analysis of rare events

Monday, March 31 2008 12:30 PM - 1:20 PM BCF 106

In which Financial Markets do Mutual Fund Theorems hold true?

Monday, March 24 2008 12:30 PM - 1:20 PM BCF 106

Asymptotic Methods in Option Pricing Theory

Wednesday, February 27 2008 12:30 PM - 1:20 PM BCF 106

Robust Statistical Techniques for Financial Modeling - Abstract | Introduction to Robust Statistics - Lecture | Robust Statistical Techniques for Financial Modeling - Lecture | Statistical Issues in Modeling Financial Data - Lecture | Demo Plots | Data

Monday, February 4 2008 12:30 PM - 1:20 PM BCF 106

Robust Statistical Techniques for Financial Modeling - Abstract | Introduction to Robust Statistics - Lecture | Robust Statistical Techniques for Financial Modeling - Lecture | Statistical Issues in Modeling Financial Data - Lecture | Demo Plots | Data

Tuesday, November 20 2007 12:20 PM - 1:20 PM BCF Classroom

On the martingale property of time-homegeneous diffusions (joint work with Peter Carr and Mikhail Urusov).

For the needs of pricing it is important to know whether the discounted price process of an asset has the true martingale (not only local martingale) property. This is related to the absence of bubbles, etc. (to be discussed in the talk). We provide a criterion for the martingale property of the diffusions dX_t=sigma(X_t)dB_t, which include in particular the CEV model.

Tuesday, November 13 2007 12:30 PM - 1:30 PM BCF Classroom

Range options (joint work with Bruno Dupire)

We propose a new class of options, which pay out a given function of the underlying at the time, when the range of the underlying exceeds a given threshold, the range being defined as the difference between the running maximum and the running minimum of the underlying's price. It turns out that within the class of continuous-path models these options are perfectly hedgeable and both the price and the hedge are model-free.

Wednesday, May 2 2007 12:30 PM - 1:30 PM BCF Classroom

Synthetic generation and load valuation and risk management

Monday, April 30 2007 12:30 PM - 1:30 PM BCF Classroom

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

Wednesday, April 25 2007 12:30 PM - 1:30 PM BCF Classroom

Monday, April 23 2007 12:30 PM - 1:30 PM BCF Classroom

Dual representation of set-valued convex risk measures

Wednesday, April 18 2007 12:30 PM - 1:30 PM BCF Classroom

CDO Pricing with Homogeneous Groups

Monday, April 16 2007 12:30 PM - 1:30 PM BCF Classroom

Wednesday, April 11 2007 12:30 PM - 1:30 PM BCF Classroom

Director, Head of Weather and Energy Americas. Cross Commodity trading in Weather and Energy Markets

Monday, April 9 2007 12:30 PM - 1:30 PM BCF Classroom

Martingale Approach to Stochastic Differential Games of Control and Stopping. Joint work with I. Karatzas.

Monday, April 2 2007 12:30 PM - 1:30 PM BCF Classroom

Physical Gas Derivatives

Wednesday, March 28 2007 12:30 PM - 1:30 PM BCF Classroom

Set-valued risk measures and set-valued convex
analysis

Wednesday, March 21 2007 12:30 PM - 1:30 PM BCF Classroom

Spring Break

Monday, March 19 2007 12:30 PM - 1:30 PM BCF Classroom

Spring Break

Wednesday, March 14 2007 12:30 PM - 1:30 PM BCF Classroom

Storage costs in commodity price modeling

Monday, March 12 2007 12:30 PM - 1:30 PM BCF Classroom

Modelling carbon price formation within the European Emission Trading Scheme

Wednesday, March 7 2007 12:30 PM - 1:30 PM BCF Classroom

Department Meeting

Monday, March 5 2007 12:30 PM - 1:30 PM BCF Classroom

Valuation of a power plant under production constraints and market incompleteness

Wednesday, February 28 2007 12:30 PM - 1:30 PM BCF Classroom

Coherent Risk Measures

Monday, February 26 2007 12:30 PM - 1:30 PM BCF Classroom

Maximum Entropy Calibration of Point Process Models for CDO Pricing

Wednesday, February 21 2007 12:30 PM - 1:30 PM BCF Classroom

Convex Hedging in Incomplete Markets

Monday, February 19 2007 12:30 PM - 1:30 PM BCF Classroom

Modeling Early Exercises of Employee Stock Options

Wednesday, February 14 2007 12:30 PM - 1:30 PM BCF Classroom

(ORFE Department Meeting)

Monday, February 12 2007 12:30 PM - 1:30 PM BCF Classroom

Model-free representation of pricing rules as conditional expectations (joint work with Rama Cont)

Thursday, November 17 2005 12:30 PM - 1:30 PM BCF Classroom

Title TBA

Tuesday, November 15 2005 12:30 PM - 1:30 PM BCF Classroom

Sequential Testing of Simple Hypothesis on Compound Poisson Processes

Thursday, October 27 2005 12:30 PM - 1:30 PM BCF Classroom

Self Exciting Point Processes, Part IV

Tuesday, October 25 2005 12:30 PM - 1:30 PM BCF Classroom

Self Exciting Point Processes, Part III

Thursday, October 20 2005 12:30 PM - 1:30 PM BCF Classroom

Self Exciting Point Processes, Part II

Tuesday, October 18 2005 12:30 PM - 1:30 PM BCF Classroom

Self Exciting Point Processes, Part I

Thursday, October 13 2005 12:30 PM - 1:30 PM BCF Classroom

An Introduction to Backward Stochastic Differential Equations, Part II

Tuesday, October 11 2005 12:30 PM - 1:30 PM BCF Classroom

An Introduction to Backward Stochastic Differential Equations, Part I

Thursday, October 6 2005 12:30 PM - 1:30 PM BCF Classroom

Equilibrium with Risk Measures

Tuesday, October 4 2005 12:30 PM - 1:30 PM BCF Classroom

The Skorohod Embedding Problem: New Results

Thursday, September 29 2005 12:30 PM - 1:30 PM BCF Classroom

A Market Test of the Positivity of the Arrow-Debreu Prices

Tuesday, September 27 2005 12:30 PM - 1:30 PM BCF Classroom

The Skorohod Embedding Problem: an Introduction