Stochastic Analysis Seminar, Spring 2007
M, W
12:30 PM-1:20 PM, Bendheim Center Classroom 103
Last minute changes can occur. Please check the schedule regularly for possible changes
Stochastic Analysis Seminar, Spring 2006
M, W
12:30 PM-1:20 PM, Bendheim Center Classroom 103
Last minute changes can occur. Please check the schedule regularly for possible changes
- Monday February 6, 2006
Dmitry Ostrosky (Lehigh University)
Option Pricing in Random Time: BSM and CEV in Limit Lognormal Time
- Wednesday February 8, 2006
No Seminar (ORFE Department Meeting)
- Monday February 13, 2006
Rene Carmona
HJM Approach to Credit Portfolios I
- Wednesday February 15, 2006
Rene Carmona
HJM Approach to Credit Portfolios II
- Monday February 20, 2006
No Seminar
Title TBA
- Wednesday February 23, 2006
Rene Carmona
Term Structure of Implied Volatilities (after Schweizer et al.)
- Monday February 27, 2006
No Seminar
Title TBA
- Wednesday March 1, 2006
No Seminar (ORFE Department Meeting)
- Monday March 6, 2006
Michael Chernov (Columbia University)
No-Arbitrage Macroeconomic Determinants of the Yield Curve
- Wednesday March 8, 2006
Alan Kirman
(Marseille and Institute for Advanced Studies)
The Economy as a Complex System: Individual and Collective Rationality
- Monday March 13, 2006
No Seminar
- Wednesday March 15, 2006
Sasha Stoikiov (Courant Institute, NYU)
More than Indifferent
- Monday March 20, 2006
No Seminar (Spring Break)
- Wednesday March 22, 2006
Cinlar's Day
- Monday March 27, 2006
Alex Cox (University of York)
Skorokhod embeddings and American Options
- Wednesday March 29, 2006
Jan Obloj (Universite Pierre et Marie Curie)
Embeddings via hitting times: old and new
- Monday April 3, 2006
Alfred Galichon (visiting Economics Department)
Modelling implied and stochastic correlation
- Wednesday April 5, 2006
No Seminar (ORFE Department Meeting)
- Monday April 10, 2006
No Seminar
- Wednesday April 12, 2006
Leif Andersen (Bank of America Securities)
Title TBA
- Monday April 17, 2006
No Seminar
- Wednesday April 19, 2006
Olympia Hadjiliadis (Electrical Engineering, PU)
The quickest detection problem and its connection to finance
- Monday April 24, 2006
A.Neuberger (Warwick Business School)
On the Value of Being American
- Wednesday April 26, 2006
No Seminar
(ORFE Advisory Council Meeting)
- Monday May 1, 2006
Speaker TBA
Title TBA
Stochastic Analysis Seminar, Fall 2005
T, Th
12:30 PM-1:20 PM, Bendheim Center Classroom 103
Last minute changes can occur. Please check the schedule regularly for possible changes
- Tuesday September 27, 2005
David Hobson
The Skorohod Embedding Problem: an Introduction
- Thursday September 29, 2005
Alexandre d'Aspremont
A Market Test of the Positivity of the Arrow-Debreu Prices
- Tuesday October 4, 2005
David Hobson
The Skorohod Embedding Problem: New Results
- Thursday October 6, 2005
Michael Kupper
Equilibrium with Risk Measures
- Tuesday October 11, 2005
Patrick Cheridito
An Introduction to Backward Stochastic Differential Equations, Part I
- Thursday October 13, 2005
Patrick Cheridito
An Introduction to Backward Stochastic Differential Equations, Part II
- Tuesday October 18, 2005 (room E-415)
Erhan Cinlar
Self Exciting Point Processes, Part I
- Thursday October 20, 2005 (room E-415)
Erhan Cinlar
Self Exciting Point Processes, Part II
- Tuesday October 25, 2005 (room E-415)
Erhan Cinlar
Self Exciting Point Processes, Part III
- Thursday October 27, 2005 (room E-415)
Erhan Cinlar
Self Exciting Point Processes, Part IV
- Thursday Novemberber 10, 2005
Semih Sezer
Sequential Testing of Simple Hypothesis on Compound Poisson Processes
- Tuesday November 29, 2005
Savas Dayanik
Bernoulli two-armed Bandit problems
- Thursday December 1, 2005
Kostas Kardaras
The numéraire portfolio and arbitrage in general semimartingale models of financial markets
- Tuesday December 6, 2005
David Lando
CDO's Part I
- Thursday December 8, 2005
David Lando
CDO's Part II
- Tuesday December 6, 2005
David Lando
CDO's Part III
- Thursday December 15, 2005
David Lando
The conditional independence assumption in default modeling
Spring 2005
Wednesday February 2, 2005
Savas Dayanik ORFE
Poisson Disorder Problems
(This talk is part of the
SEAS Junior Faculty Seminar Series and is in
the Friend Center Convocation Room from 12:30-1:30)
Wednesday February 9, 2005
Loriano Mancini ORFE
Introduction to GARCH-type models
Slides
Monday February 14, 2005
Loriano Mancini ORFE
Optimal conditionally unbiased bounded-influence
inference in dynamic location and scale models
Wednesday February 16, 2005
Loriano Mancini ORFE
Robust methods for Value-at-Risk prediction under GARCH-type volatility processes
Monday February 21, 2005
Tim Leung ORFE
Geometric characterization of arbitrage-free models
Wednesday February 23, 2005
Nitin Saksena ORFE
Duality results in optimization and finance
Monday February 28, 2005
talk cancelled because of snowstorm!
Monday March 7, 2005
Nizar Touzi CREST, Paris
Second order backward sde's and fully nonlinear pde's
Wednesday March 9, 2005
Tom Hurd MacMaster University, Hamilton, Ontario
Fast and flexible CDO computations in the affine markov chain credit model
Abstract,
Paper 1,
Paper 2
Monday March 21, 2005
Patrick MacDonald
NRG Energy, Princeton
Structured products in electricity markets
Slides,
Master Thesis
Wednesday March 23, 2005
Evan
Papageorgiou ORFE
Dynamic Arbitrage theory and the binomial model for derivative pricing
Monday March 28, 2005
Albert N. Shiryaev Steklov Mathematical Institute, Moscow
Selected topics in probability theory I
(takes place in E-225 (E-Quad) from 4:30-5:50 pm)
Wednesday March 30, 2005
Erhan Bayraktar University of Michigan
Correspondence between lifetime minimum wealth and utility of consumption
Wednesday March 30, 2005
Albert N. Shiryaev Steklov Mathematical Institute, Moscow
Selected topics in probability theory II
(takes place in E-225 (E-Quad) from 4:30-5:50 pm)
Monday April 4, 2005
Albert N. Shiryaev Steklov Mathematical Institute, Moscow
Selected topics in mathematical statistics I
(takes place in E-225 (E-Quad) from 4:30-5:50 pm)
Wednesday April 6, 2005
Albert N. Shiryaev Steklov Mathematical Institute, Moscow
Selected topics in mathematical statistics II
(takes place in E-225 (E-Quad) from 4:30-5:50 pm)
Monday April 11, 2005
Semih O Sezer ORFE
Disorder detection for Poisson and Wiener processes
Monday April 11, 2005
Albert N. Shiryaev Steklov Mathematical Institute, Moscow
Selected topics in mathematical finance I
(takes place in E-225 (E-Quad) from 4:30-5:50 pm)
Wednesday April 13, 2005
Albert N. Shiryaev Steklov Mathematical Institute, Moscow
Selected topics in mathematical finance II
(takes place in E-225 (E-Quad) from 4:30-5:50 pm)
Wednesday April 20, 2005
Antoine Toussaint ORFE
Monetary risk measures
Monday April 25, 2005
Albina Danilova ORFE
Weak convergence of stochastic random variables and stochastic processes
Wednesday April 27, 2005
Patrick Cheridito ORFE
Dynamic coherent risk measures
(This talk is part of the
SEAS Junior
Faculty Seminar Series and is in
the Friend Center Convocation Room from 12:30-1:30)
Monday May 2, 2005
Mike Ludkovsky, ORFE
Dynamic utility indifference valuation
Fall 2004
Tuesday September 14, 2004
Peter Friz NYU & Cambridge Univ.
Volatilty Derivatives
Thursday September 16, 2004
Rene Carmona ORFE
Robust Control (after Hansen et al.)
Tuesday September 21, 2004
Kian Esteghamat JP Morgan
Threat of bankruptcy and the timing of capital investments
Tuesday September 28, 2004
Alex d'Aspremont ORFE
Pricing basket options with an application to swaptions
Thursday September 30, 2004
Patrick Cheridito ORFE
Monetary risk measures in one-period models
Tuesday October 5, 2004
Patrick Cheridito ORFE
Conditional monetary risk measures in multi-period models
Thursday October 7, 2004
Patrick Cheridito ORFE
Dynamic monetary risk measures in multi-period models
Tuesday October 12, 2004
Lin Xu Morgan Stanley
Challenges of credit basket products modeling in the real investment bank world
Thursday October 14, 2004
Rene Carmona ORFE
Filtering of diffusion processes and continuous time Markov chains
Tuesday October 19, 2004
Bruno Dupire Bloomberg
Using European options to bound the prices of exotics: A Skorohod problem approach
Tuesday November 2, 2004
Mikhail Smirnov Columbia University
Dynamic risk allocation in funds
Thursday November 4, 2004
Rene Carmona ORFE
Filtering and robust control
Tuesday November 9, 2004
Peter Bank Columbia University
Optimal control under a dynamic fuel constraint
Thursday November 11, 2004
Noah Williams Princeton Econ Department
Robust control
Tuesday November 16, 2004
Bernard Lapeyre Ecole Nationale des Ponts et Chaussées
Applications of variance reduction methods to Monte Carlo computations in finance, I
Thursday November 18, 2004
Bernard Lapeyre Ecole Nationale des Ponts et Chaussées
Applications of variance reduction methods to Monte Carlo computations in finance, II
Tuesday November 30, 2004
Nicolas Victoir Oxford University
Rough paths and applications to finance, I
Thursday December 2, 2004
Nicolas Victoir Oxford University
Rough paths and applications to finance, II
Tuesday December 7, 2004
Albina Danilova PhD Candidate ORFE
Title TBA
Thursday December 9, 2004
Mike Ludkovski PhD Candidate ORFE
Title TBA