Seminar: Autumn 2007

Stanford Financial Mathematics Seminar Schedule

Date	Speaker	Affiliation	Talk Title (click to see Abstract)	Comments
9/28	Archil Gulisashvili	Ohio University	Asymptotic behavior of distribution densities in stochastic volatility models	slides pdf
10/5	Rama Cont	Columbia University	Calibration of portfolio credit risk models: solution of an inverse problem via intensity control
10/12	Zhen Wei	Stanford University	American Monte Carlo in high dimension
10/19	Claudio Albanese	University of London	Callable swaps, snowballs and videogames	slides pdf
10/26	Alain Bensoussan	University of Texas,Dallas	Real options
11/2	Simone Manganelli	European Central Bank	Forecasting with judgment	slides pdf
11/9	Selene Makarios	Stanford University	Encoding trader 'horse-sense': ideas and experiments using historical foreign exchange data	slides pdf
11/16	Neil Shepard	Oxford University	Measuring the impact of jumps on multivariate price processes using multipower variation	slides pdf
11/23	no seminar this week
11/30	Stephane Villeneuve	University of Toulouse	Debt maturity and endogenous default within optimal stopping theory	slides pdf
12/7	Vincent Samat	Merrill Lynch	Equity-linked hybrid products

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