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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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