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Seminar: Spring 2008

Stanford Financial Mathematics Seminar Schedule

Date Speaker Affiliation Talk Title
(click to see Abstract)


Patrick Cheridito Princeton University Risk measures on Orlicz hearts  
4/11 Alexander Schied

Cornell University

Optimal portfolio liquidation: market impact models, optimal control, and competition  

Terry Benzschawel

Citigroup Corporate loan and LCDS pricing and relative value
4/25 Jean-Pierre Fouque University of California Santa Barbara Default probabilities, credit derivatives and computational issues  
5/2 Xunyu Zhou Oxford University Thou Shalt Buy and Hold  
Liuren Wu Baruch College Simple robust linkages between CDS and equity options  

Mon 5/12

Tanya Styblo Beder SBCC Great Challenges of Our Time - What Wall Street Needs
Mathematicians to Solve
NOTE: Meets 7:30-8:30pm in 380-380C
5/23 Jun Pan MIT Excess volatility of corporate bonds  
5/30 Kay Giesecke Stanford Self-exciting corporate defaults: contagion or frailty?  

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