1999-2000 Financial Mathematics Seminar Series
Organizing Committee
May 31, 2000
• Emanuel Derman, Regimes of
Volatility
• Melanie Cao and Jason Wei, Pricing
Weather Derivatives: an Equilibrium Approach
April 26, 2000
• Eduardo Schwartz , Rational
Pricing of Internet Companies
• Eric Reiner , Volatility
Rules and Implied Processes
March 29, 2000
• George Papanicolaou , Mean
Reverting Stochastic Volatility
• Thomas Wilson , Credit Portfolio,
Risk Measurement and Management:Issues and Practical Solutions
February 23, 2000
• Steven E Shreve, Options on
a Traded Account
• Ken Vetzal , Valuing the
Option Features of Segregated Funds
January 26, 2000
• George Papanicolaou, Department of Mathematics, Stanford University
- Mean reverting stochastic volatility NOTE: TALK WAS CANCELLED
• Jérôme Detemple , A
Monte Carlo Method for Optimal Portfolios
November 24, 1999
• Lane Hughston, Stochastic
Differential Geometry, Financial Modelling, and Arbitrage-Free Pricing
• Xin Guo, What is Missing
in Black-Scholes?
October 27, 1999
• Dilip Madan, Purely Discontinuous
Asset Price Processes
• José Luis Farah, Moments
in Financial Markets
September 29, 1999
• Stanislav Uryasev, Optimization
of Conditional Value-at-Risk
• Dan Rosen , An Integrated
Market and Credit Risk Portfolio Model
