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Seminar: Spring 2007

Stanford Financial Mathematics Seminar Schedule

Date Speaker Affiliation Talk Title
(click to see Abstract)
Comments

4/6

Timur Misirpashaev

Numerix

Markovian projection for equity, fixed income, and credit dynamics slides pdf
4/13 Bjorn Flesaker

Bloomberg

Fast CDO analytics: Some cool results for an uncool model  
4/20 Rene Carmona Princeton Convertible Bonds as Dynkin Games: A Monte Carlo Approach slides pdf
4/27 Francis Longstaff UCLA An empirical analysis of the pricing of collateralized debt obligations
slides ppt
5/4 Michael Gordy Federal Reserve Board Efficient Simulation for Risk Measurement in Portfolios of CDOs  
5/11 Frederic Bonnevay Stanford From Agent-Based Models to High- Frequency Analysis: A Dissident Study of Volatility  
5/18 Peter Woehrmann University of Zurich Avoiding statistical illusion by an axiomatic approach to prediction  
5/25 Ales Cerny Cass Business School, City University London Mean variance hedging and optimal investment in Heston's model with correlation  
6/1 Zehao Chen Stanford Mean-variance portfolio optimization when means and covariances are estimated slides pdf

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