The Quantitative Finance Seminar has been a centerpiece of the Commercial/Industrial
program at the Fields Institute since 1995. Its mandate is to arrange
talks on current research in quantitative finance that will be of interest
to those who work on the border of industry and academia. Wide participation
has been the norm with representation from mathematics, statistics,
computer science, economics, econometrics, finace and operations research.
Topics have included derivatives valuation, credit risk, insurance and
portfolio optimization. Talks occur on the last Wednesday of every month
throughout the academic year and start at 5 pm. Each seminar is organized
around a single theme with two 45-minute talks and a half hour reception.
There is no cost to attend these seminars and everyone is welcome. To
be informed of speakers and titles for upcoming seminars and financial
mathematics activities, please subscribe to the Fields mail
list.
May 26, 2004 -- 5:00 p.m.
Eduardo Schwartz, Anderson School of Management, UCLA
A Model of R & D Valuation
and the Design of Research Incentives
John Chadam, University of Pittsburgh
Early exercise boundaries:
Numerical and analytical approximations
April 28, 2004 -- 5:00 p.m.
The seminar followed the Third
Annual IFID conference, on Asset Allocation and Mortality
Speakers:
Chester Spatt, Carnegie Mellon University
Diversification and Capital Gains Taxes with Multiple Risky Assets
Alexander Melnikov, University of Alberta
Hedging Methodologies in Equity-Linked Life Insurance
March 31, 2004 -- 5:00 p.m.
Speakers:
René Carmona, Princeton University
American Options with Multiple
Exercises: Theory and Numerics
Heath Windcliff, TD Securities
Pricing and Hedging in Incomplete
Markets with Basis Risk
February 25, 2004 -- 5:00 p.m.
Speakers:
John Hull, Rotman School of Management, University of Toronto
Valuation of a CDO and an nth
to Default CDS Without Monte Carlo Simulation
Philip Protter, ORIE, Cornell University
Liquidity Risk and Arbitrage
Pricing Theory
January 28, 2004 -- 5:00 p.m.
Speakers:
Ivar Ekeland, Director, Pacific Institute for the Mathematical
Sciences
Managing bond portfolios
Agnes Tourin, Department of Mathematics and Statistics, McMaster
University
Numerical schemes for Hamilton-Jacobi-Bellman
equations arising in mathematical finance
November 26, 2003
Speakers:
Eliezer Z. Prisman, Schulich School of Business, York University
Arbitrage Violations and
Implied Valuations: The Option Market
Ulrich Haussmann, University of British Columbia
Optimizing terminal wealth
under partial observation (with J. Sass, RICAM, Linz, Austria)
October 29, 2003
Sponsored by PhiMac
Speakers:
Nour Meddahi, Université de Montreal.
Correcting the Errors: Volatility
Forecast Evaluation based on High-Frequency Data and Realized Volatilities
Yacine Ait-Sahalia, Princeton University
Disentangling Volatility from Jumps
Other Seminar dates
2004: May 26
On April 28, the seminar will follow the Third
Annual IFID conference, on Asset Allocation and Mortality
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