COMMERICAL AND INDUSTRIAL MATH

April 16, 2024

Financial Mathematics Seminars 2000-2001 sponsored by

Organizing Committee

April 25, 2001
• Yisong Tian, Schulich School of Business, York University
Optimal Contracting, Incentive Effects and the Valuation of Executive Stock Options
• Tom McCurdy, University of Toronto
News Arrival, Jump Dynamics and Volatility Components in Individual Stock Returns

March 28, 2001
• Tom Hurd, McMaster University
Pricing in Markets Driven by General Processes with Independent Increments
• Robert Engle, Stern School of Business, New York University
Dynamic Conditional Correlations

February 28, 2001
• Matt Davison, University of Western Ontario
Discrete and Continuous-Time Approaches to Modelling Spot Electricity Prices
• Stathis Tompaidis, McCombs School of Business, University of Texas at Austin
Market Imperfections, Investment Optionality and Default Spreads

January 31, 2001
• Jean-Marie Dufour, Université de Montréal
Simulation-based finite-sample inference in multivariate regressions, with applications to asset-pricing models
[paper1 - pdf] [paper2 - pdf] [paper1 - ps] [paper2 - ps]
• Raymond Kan, Joseph L. Rotman School of Management, University of Toronto
Tests of Mean-Variance Spanning

November 22, 2000
• Peter Carr, Bank of America Securities
On the Nature of Options
• George Jiang, Schulich School of Business, York University
Estimation of Continuous Time Processes via the Emperical Characteristic Function

October 25, 2000
• Marcel Rindisbacher, Joseph L. Rotman School of Management, University of Toronto
Insider Information, Arbitrage and Optimal Portfolio and Consumption Policies
• S. David Promislow, Department of Mathematics & Statistics, York University
Mortality Derivatives and the Option to Annuitize

September 27, 2000
• Raymond Ross - Ontario Power Generation
Dynamics of Electricity Spot and Forward Prices and the Valuation of Contingent Claims
• Robert Almgren, University of Toronto
Optimal Execution with Liquidity Risk