July 21, 2024


Financial Mathematics Seminar Series

July, 1997-- June , 1998

May 27, 1998
Mark Davis, Valuation and Hedging of Securities with Default Risk

April 29, 1998
• Donald McLeish (University of Waterloo),
Some simple Properties of High, Low, Open, Close: Simulating Financial Time series and tracking volatility
• Ioannis Karatzas (Columbia University)
Maximizing the Probability of a Perfect Hedge in the Presence of Uncertainty

March 25, 1998
• Marti G. Subrahmanyam (NYU, Leonard N. Stern School of Business),
Arbitrage Restrictions and Multi-Factor Models of the Term Structure of Interest
• Moshe Arye Milevsky (York University, Schulich School of Business)
The Valuation and Application of Asian Options

February 25, 1998
• Stephen Figlewski (NYU, Leonard N. Stern School of Business)
A New Approach to Efficient Option Pricing
• Yan Jin (Columbia University)
Equilibrium Positive Interest Rates: A Unified View

November 26, 1997
• Christian Gourieroux ;
Econometric Specification of the Risk Neutral Valuation Model
• Peter Forsyth,
A Finite Element Approach for Two Factor Exotic Option Pricing

October 29, 1997
• Carol Alexander,
Practical Methods of Incorporating Kurtosis and Skewness into VAR measures and the Pricing and Hedging of Derivatives
• David Bates, Post-'87 Crash Fears in S&P 500 Futures Options

September 24, 1997
• Yacine Aït-Sahalia (Graduate School of Business, University of Chicago)
Do Interest Rates Really Follow Continuous-Time Markov Diffusions?
• Bruce D. Grundy (The Wharton School)
The Analysis of Deltas, State Prices and VaR: A New Approach