COMMERCIAL AND INDUSTRIAL MATHEMATICS

September 23, 2014

The Fields Institute 2003-2004
Seminar Series on Quantitative Finance sponsored by

The Quantitative Finance Seminar has been a centerpiece of the Commercial/Industrial program at the Fields Institute since 1995. Its mandate is to arrange talks on current research in quantitative finance that will be of interest to those who work on the border of industry and academia. Wide participation has been the norm with representation from mathematics, statistics, computer science, economics, econometrics, finace and operations research. Topics have included derivatives valuation, credit risk, insurance and portfolio optimization. Talks occur on the last Wednesday of every month throughout the academic year and start at 5 pm. Each seminar is organized around a single theme with two 45-minute talks and a half hour reception. There is no cost to attend these seminars and everyone is welcome. To be informed of speakers and titles for upcoming seminars and financial mathematics activities, please subscribe to the Fields mail list.

Past Seminars - Audio and Slides

May 26, 2004 -- 5:00 p.m.

Eduardo Schwartz, Anderson School of Management, UCLA
A Model of R & D Valuation and the Design of Research Incentives

John Chadam, University of Pittsburgh
Early exercise boundaries: Numerical and analytical approximations

April 28, 2004 -- 5:00 p.m.
The seminar followed the Third Annual IFID conference, on Asset Allocation and Mortality

Speakers:
Chester Spatt, Carnegie Mellon University
Diversification and Capital Gains Taxes with Multiple Risky Assets

Alexander Melnikov, University of Alberta
Hedging Methodologies in Equity-Linked Life Insurance

March 31, 2004 -- 5:00 p.m.

Speakers:
René Carmona, Princeton University
American Options with Multiple Exercises: Theory and Numerics

Heath Windcliff, TD Securities
Pricing and Hedging in Incomplete Markets with Basis Risk

February 25, 2004 -- 5:00 p.m.

Speakers:
John Hull, Rotman School of Management, University of Toronto
Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation

Philip Protter, ORIE, Cornell University
Liquidity Risk and Arbitrage Pricing Theory

January 28, 2004 -- 5:00 p.m.

Speakers:
Ivar Ekeland, Director, Pacific Institute for the Mathematical Sciences
Managing bond portfolios

Agnes Tourin, Department of Mathematics and Statistics, McMaster University
Numerical schemes for Hamilton-Jacobi-Bellman equations arising in mathematical finance

November 26, 2003

Speakers:
Eliezer Z. Prisman, Schulich School of Business, York University
Arbitrage Violations and Implied Valuations: The Option Market

Ulrich Haussmann, University of British Columbia
Optimizing terminal wealth under partial observation (with J. Sass, RICAM, Linz, Austria)

October 29, 2003
Sponsored by PhiMac

Speakers:
Nour Meddahi, Université de Montreal.
Correcting the Errors: Volatility Forecast Evaluation based on High-Frequency Data and Realized Volatilities

Yacine Ait-Sahalia, Princeton University
Disentangling Volatility from Jumps

Other Seminar dates

2004: May 26
On April 28, the seminar will follow the Third Annual IFID conference, on Asset Allocation and Mortality

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