COMMERCIAL AND INDUSTRIAL MATH

December 20, 2014

Financial Mathematics Seminar Series

1999-1998

May 26, 1999

René Garcia (Université de Montréal)
Asymmetric Smiles, Leverage Effects and Structural Parameters
Eleanor J. Morrison (Portfolio Manager, Powerex)
Value at Risk: Application to Electricity

Launch of Finance Theme of MITACS

April 28, 1999

Ronnie Sircar (University of Michigan)
"Stochastic Volatility and Separation of Scales"
Jin-Chuan Duan (Hong Kong University of Science & Technology),
"Option Valuation with Co-Integrated Asset Prices"

March 31, 1999

Michael Taksar (SUNY - Stony Brook)
Diffusion Models for Optimal Risk/Dividend Control of a Financial Corporation - An Insurance Company Example
Alexandra E. MacKay (University of Toronto)
Term Structure Estimation: The Implied Norm Approach Negative Option Prices -- A Puzzle or Just Noise?

February 24, 1999

Sanjiv Das (Harvard University)
Jumps in Interest Rate Diffusions: Theoretical Option Pricing and Empirical Models
Alain Belanger (Bank of Nova Scotia)
A Unifying Credit Model

January 27, 1999

There will not be a regularly scheduled Financial Seminar seminar due to the Probability in Finance Workshop
Steven Ross (MIT) "Topics in Finance".

November 25, 1998

Gregory R. Duffee (Federal Reserve Board)
"Can affine term structure models forecast changes in Treasury yields?"
Alexander Levin and Alexander Tchernitser (Bank of Montreal),
"Stochastic Variance Value-at-Risk Model"

October 28, 1998

Peter Ritchken (Weatherhead School of Management, Case Western Reserve University)
"Option Pricing Under GARCH Like Processes"
Vance Lindsay Martin (University of Melbourne)
"Forecasting Exchange Rate Crises with an Application to the Asian Currency Meltdown"

September 30, 1998

John Hull (Faculty of Management, University of Toronto)
"Enhancements to the Standard Approaches for Calculating Value at Risk"
Kenneth Singleton (Stanford University)
"Specification Analysis of Affine Term Structure Models"