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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