Seminars will take place on Thursdays between 11:40 a.m. and 12:40 p.m. The remaining seminars of the fall 2008 semester will be held in 655 Rhodes Hall, unless otherwise noted. Contact Alex Schied at schied@cornell.edu with questions or comments.
This page lists the seminars given during the Fall term, 2008.
| 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. |