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Financial Mathematics Seminar Series
1999-1998
May 26, 1999
René Garcia (Université de Montréal)
Asymmetric Smiles, Leverage Effects and Structural
Parameters
Eleanor J. Morrison (Portfolio Manager, Powerex)
Value at Risk: Application to Electricity
Launch of Finance Theme of MITACS
April 28, 1999
Ronnie Sircar (University of Michigan)
"Stochastic Volatility and Separation of
Scales"
Jin-Chuan Duan (Hong Kong University of Science & Technology),
"Option Valuation with Co-Integrated Asset
Prices"
March 31, 1999
Michael Taksar (SUNY - Stony Brook)
Diffusion Models for Optimal Risk/Dividend Control
of a Financial Corporation - An Insurance Company Example
Alexandra E. MacKay (University of Toronto)
Term Structure Estimation: The Implied Norm Approach
Negative Option Prices -- A Puzzle or Just Noise?
February 24, 1999
Sanjiv Das (Harvard University)
Jumps in Interest Rate Diffusions: Theoretical
Option Pricing and Empirical Models
Alain Belanger (Bank of Nova Scotia)
A Unifying Credit Model
January 27, 1999
There will not be a regularly scheduled Financial Seminar
seminar due to the Probability
in Finance Workshop
Steven Ross (MIT) "Topics in Finance".
November 25, 1998
Gregory R. Duffee (Federal Reserve Board)
"Can affine term structure models forecast
changes in Treasury yields?"
Alexander Levin and Alexander Tchernitser (Bank of Montreal),
"Stochastic Variance Value-at-Risk Model"
October 28, 1998
Peter Ritchken (Weatherhead School of Management, Case Western
Reserve University)
"Option Pricing Under GARCH Like Processes"
Vance Lindsay Martin (University of Melbourne)
"Forecasting Exchange Rate Crises with an
Application to the Asian Currency Meltdown"
September 30, 1998
John Hull (Faculty of Management, University of Toronto)
"Enhancements to the Standard Approaches
for Calculating Value at Risk"
Kenneth Singleton (Stanford University)
"Specification Analysis of Affine Term
Structure Models"
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