Seminars will in general take place on Thursdays between 11:40 a.m. and 12:40 p.m. in 253 Rhodes Hall. Contact Alexander Schied, schied@cornell.edu with questions or comments.
This page lists the seminars given during the Fall term, 2008. You can also find the abstracts of seminars given since Fall 2004 in Past Seminars.
| Date | Speaker | Title |
|---|---|---|
| Thursday 9/11/08 | Johannes Wissel
Cornell ORIE |
Arbitrage-free market models for liquid options 253 Rhodes Hall 11:40 a.m. |
| Thursday 9/18/08 | Lee Maclin
Director of Research, Pragma Financial Systems |
Optimal Execution and The Dynamic Portfolio Management Problem - A Simulation Based Approach 115 Ives Hall 6:00 p.m. |
| Thursday 10/02/08 | Ravi Mazumdar
University of Waterloo |
Multidimensional diffusions with state dependent reflections: Boundary behavior and stability 253 Rhodes Hall 11:40 a.m. |
| Thursday 10/09/08 | Gerardo Hernandez-del-Valle
Statistics Department, Columbia University |
On The Brennan-Schwartz Process, Self-Similar P.D.E.’s And The Density Of Averaged Geometric Brownian Motion 253 Rhodes Hall 11:40 a.m. |
| Thursday 10/16/08 | Richard Marin
Johnson Graduate School of Management Cornell University |
The Democratization of Securities Lending 253 Rhodes Hall 11:40 a.m. |
| Thursday 10/23/08 | Kasper Larsen
Carnegie Mellon University |
A Note on the Existence of the Power Investor's Optimizer 253 Rhodes Hall 11:40 a.m. |
| Thursday 10/30/08 | Yildiray Yildirim
Associate Professor of Finance, Whitman School of Management, Syracuse University |
Housing Market Structure 253 Rhodes Hall 11:40 a.m. |
| Thursday 11/06/08 | Marco Avellaneda
Professor, New York University - Courant Institute of Mathematical Sciences |
CANCELED - Statistical Arbitrage in the U.S. Equities Market CANCELED 11:40 a.m. |
| Thursday 11/13/08 | Paul Thurston
Agamas Capital Management, LP |
Mortgage Credit Models and the Housing Market Crisis 655 Rhodes Hall 11:40 a.m. |
| Monday 11/17/08 | Christian Bender
Assistant Professor, TU Braunschweig, Germany |
Time discretization and Markovian iteration for coupled FBSDEs 406 Malott Hall 4:00 p.m. |
| Thursday 11/20/08 | Aurélien Alfonsi
Ecole Nationale des Ponts et Chaussées |
High order discretization schemes for the CIR process: application to Affine Term Structure and Heston model 655 Rhodes Hall 11:40 a.m. |
| Thursday 12/04/08 | David Matteson
School of Operations Research & Information Engineering Cornell University |
Independent Component Analysis for Multivariate Nonlinear Financial Time Series 655 Rhodes Hall 11:40 a.m. |