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Seminar: Autumn 2007

Stanford Financial Mathematics Seminar Schedule

Date Speaker Affiliation Talk Title
(click to see Abstract)


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


Alain Bensoussan University of Texas,Dallas Real options
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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