FINANCIAL MATH PROGRAM

August 30, 2014

1999-2000 Financial Mathematics Seminar Series

Organizing Committee
May 31, 2000
• Emanuel Derman, Regimes of Volatility
• Melanie Cao and Jason Wei, Pricing Weather Derivatives: an Equilibrium Approach

April 26, 2000
• Eduardo Schwartz , Rational Pricing of Internet Companies
• Eric Reiner , Volatility Rules and Implied Processes

March 29, 2000
• George Papanicolaou , Mean Reverting Stochastic Volatility
• Thomas Wilson , Credit Portfolio, Risk Measurement and Management:Issues and Practical Solutions

February 23, 2000
• Steven E Shreve, Options on a Traded Account
• Ken Vetzal , Valuing the Option Features of Segregated Funds

January 26, 2000
• George Papanicolaou, Department of Mathematics, Stanford University
- Mean reverting stochastic volatility NOTE: TALK WAS CANCELLED
• Jérôme Detemple , A Monte Carlo Method for Optimal Portfolios

November 24, 1999
• Lane Hughston, Stochastic Differential Geometry, Financial Modelling, and Arbitrage-Free Pricing
• Xin Guo, What is Missing in Black-Scholes?

October 27, 1999
• Dilip Madan, Purely Discontinuous Asset Price Processes
• José Luis Farah, Moments in Financial Markets

September 29, 1999
• Stanislav Uryasev, Optimization of Conditional Value-at-Risk
• Dan Rosen , An Integrated Market and Credit Risk Portfolio Model