Columbia Risk Seminar, Tomorrow Friday 4:40-5:40pm

[Andy Nguyen]

A member here forwarded me an email from Columbia Stats dept. If you are in NYC area, check it out.

Day: Friday, November 5th
Time: 4:40-5:40pm
Room: 312 Math

Speaker: Prof. Svetlozar T. Rachev, Karlsruhe Institute of Technology

Title: Risk Management, Modeling Volatile Market and Forecasting Market Crashes

Abstract: We propose several tempered stable process dynamics to model volatile markets. We show that these models catch the fat-tail phenomena usually realized in stock returns, and they also allow no-arbitrage option pricing. We fit the market with different models to price SPX call options, and it is shown that our model can produce more accurate results.

About the speaker: Svetlozar (Zari) Rachev is Chair-Professor at the University of Karlsruhe in the School of Economics and Business Engineering. He is also Professor Emeritus at the University of California, Santa Barbara in the Department of Statistics and Applied Probability.

He has published six monographs and more than 230 research articles. His research areas include mathematical and empirical finance, econometrics, probability, and statistics. He is a Fellow of the Institute of Mathematical Statistics, Elected Member of the International Statistical Institute, Foreign Member of the Russian Academy of Natural Science, and holds an honorary doctorate degree from St. Petersburg Technical University.

 

[Andy Nguyen]

Here's another one...

This one is being given in the Engineering building (Mudd Hall; NW corner of Columbia quad) while the other one is being given at Mathematics hall (close to Subway on Broadway)

Risk Seminar, Tomorrow Friday 3-4pm, 470 Mudd

Note the Time for Prof. Erhan's talk is from 3-4pm

Tomorrow Friday Prof. Erhan Bayraktar from University of Michigan will give a lecture at the Topics in Risk seminar.
The title of his talk is "Strict Local Martingale Deflators and Pricing American Call-Type Options".

About the speaker: Erhan Bayraktar is an Associate Professor of Mathematics and Susan M. Smith Professor at the University of Michigan. His primary research interests are in mathematical finance, stochastic analysis, applied probability, and stochastic control. His research is funded by the National Science Foundation and he received an NSF CAREER grant in Applied Mathematics in 2010. He has published articles in several mainstream journals, including Stochastic Processes and Their Applications, SIAM Journal on Control and Optimization, SIAM Journal on Mathematical Analysis, Mathematical Finance, Finance and Stochastics, Mathematics of Operations Research, Annals of Applied Probability, Proceedings of the American Mathematical Society, and Illinois Journal of Mathematics.

Professor Bayraktar earned his Ph.D. in Electrical Engineering from Princeton University in 2004. He graduated from Middle East Technical University in Ankara, Turkey in 2000 with two B.S. degrees: one in Electrical Engineering and the other in Mathematics.

Day: Friday, November 5th
Time: 3-4pm
Room: 470 Mudd

Prof. Erhan Bayraktar,

University of Michigan

Title: Strict Local Martingale Deflators and Pricing American Call-Type Options

Abstract: We solve the problem of pricing and optimal exercise of American call- type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89-168, 2009].
Available at ARXIV. To appear in Finance and Stochastics.