Event Archive

Optimal Collateralization with Bilateral Default Risk by Daniel Bauer
  1. April 11, 2016 - 3:30pm to 5:00pm
Central Clearing Valuation Adjustment by Stéphane Crépey
  1. February 24, 2016 - 5:00pm to 6:30pm
Infinite-dimensional SDE related to random matrices — finite particle approximation and the density preserving property by Yosuke Kawamoto
  1. February 24, 2016 - 3:30pm to 5:00pm
Dynamic Programming Approach to Principal-Agent Problems by Dylan Possamaï
  1. February 22, 2016 - 5:00pm to 6:30pm
Pricing Temperature Derivatives and Hedging Crop Yield by Jeffrey Pai
  1. February 22, 2016 - 3:30pm to 5:00pm
Gaussian fluctuations in rank-based models of stochastic portfolio theory by Mykhaylo Shkolnikov
  1. February 19, 2016 - 2:00pm to 3:30pm
Design of optimal incentives for a system of competitive agents in interaction by Romuald Elie
  1. February 8, 2016 - 3:30pm to 5:00pm
Viscosity Solutions for Path-dependent PDEs by Ibrahim Ekren
  1. January 4, 2016 - 3:30pm to 5:00pm
Mean field limits for stochastic differential games by Daniel Lacker
  1. December 9, 2015 - 3:30pm to 5:00pm
Delay in Financial Markets by Mostafa Mousavi
  1. November 30, 2015 - 3:30pm to 5:00pm
Why are Banks Getting Bigger? by Ricardo Fernholz
  1. October 26, 2015 - 3:30pm to 5:00pm
Short-term asymptotic properties of option prices and implied volatility under financial models with jumps and stochastic volatility by Sveinn Olafsson
  1. October 19, 2015 - 3:30pm to 5:00pm
Implementation of Bayesian Predictive Analytics for Insurance Product Pricing, Underwriting and Risk Management by Howard Zail
  1. October 14, 2015 - 3:30pm to 5:00pm
Real Time Risk Management with Adjoint Algorithmic Differentiation (AAD) by Luca Capriotti
  1. September 9, 2015 - 10:00am to 12:00pm
  2. September 10, 2015 - 10:00am to 12:00pm
Robust hedging with tradable options under price impact by Dr. Arash Fahim
  1. May 11, 2015 - 3:30pm to 5:00pm
Market making via sub-scale invariant Dynamic Acceptability Indices by Dr. Igor Cialenco
  1. April 27, 2015 - 3:30pm to 5:00pm
Geometry, Hierarchy and Optimization of Relative Arbitrages by Dr. Ting-Kam Leonard Wong
  1. April 20, 2015 - 3:30pm to 5:00pm
Martingale Information Of The Implied Volatility Smile by Dr. Antoine Jacquier
  1. April 6, 2015 - 3:30pm to 5:00pm
Dr. Larry Stern (Canterbury Consulting) by Dr. Larry Stern
  1. April 4, 2015 - 3:30pm to 4:45pm
Local risk-minimization for Barndorff-Nielsen and Shephard models by Dr. Takuji Arai
  1. February 9, 2015 - 3:30pm to 5:00pm