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| DATE, TIME, PLACE | SPEAKER | TITLE |
|---|---|---|
| Monday 30 November 2009, 2:00pm Location: Allianz (800-950-5872) 5701 Golden Hills Drive, Minneapolis, MN 55416 |
Hosts: Tanis Altizer, Jesse Navara This event is required for all students seeking departmental help in job and internship placement NOTE: Please reserve a spot, by writing to Bonny Fleming by Friday 20 November 2009. NOTE: Please wear interview attire. |
arrive by 2pm 2pm-3pm: Presentation on Allianz and AIM time for questions 3pm-4pm: Networking with several members of AIM 4pm-4:30pm: Tour of Allianz buildings NOTE: AIM = Allianz Investment Management |
| Friday 4 December 2009, 5:30pm Location: Vincent 16 |
available | available |
| Friday 11 December 2009, 5:30pm Location: Vincent 16 |
available | available |
| Friday 18 December 2009, no seminar |
this is the first Friday of Winter Break | no seminar until the Winter Semester |
| Friday 25 December 2009, no seminar |
this is during Winter Break | no seminar until the Winter Semester |
| Friday 1 January 2009, no seminar |
this is during Winter Break | no seminar until the Winter Semester |
| Friday 8 January 2009, no seminar |
this is during Winter Break | no seminar until the Winter Semester |
| Friday 15 January 2010, no seminar |
this is the last Friday of Winter Break | no seminar today or earlier, back to the end of Fall Semester |
| Friday 22 January 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 29 January 2009, 5:30pm Location: ?Vincent 16? |
Greg Harris, Black River | Report on "High-Frequency Finance and Quantitative Strategies", a conference held at the Courant Institute Click here for the conference website. |
| Friday 5 February 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 12 February 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 19 February 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 26 February 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 5 March 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 12 March 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 19 March 2010, no seminar |
this is the Friday of Spring Break | no seminar today |
| Friday 26 March 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 2 April 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 9 April 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 16 April 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 23 April 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 30 April 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 7 May 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 14 May 2009, 5:30pm Location: ?Vincent 16? |
available | available |
| Friday 21 May 2010, no seminar |
this is the first Friday of the summer | no seminar today, or after, except summer seminars |
| DATE, TIME, PLACE | SPEAKER | TITLE |
|---|---|---|
| Friday 20 November 2009, 5:30pm Location: Vincent 16 |
Hunt Blatz, Allianz Life |
Career Issues and Ethics This talk is required for all students seeking departmental help in job and internship placement |
| Monday 2 November 2009, 3:30pm-4:30pm Location: 4-178 EECS |
Prof.~Mathukumalli Vidyasagar, University of Texas at Dallas NOTE: THIS IS A CSDy SEMINAR IT IS NOT AN MFM SEMINAR. NOTE THE DIFFERENT TIME AND LOCATION |
A tutorial introduction to quantitative finance: Option
pricing and hedging absract biography |
| Friday 30 October 2009, 5:30pm Location: Vincent 16 |
Gary Nan Tie, Travelers | A Compartmental Frailty Model slides Host: Carlos Tolmasky |
| Friday 16 October 2009, 5:30pm Location: Vincent 16 |
Steve Allen, Financial Math program at NYU | The Future of Modeling and Risk Management abstract ppt slides pdf slides |
| Friday 9 October 2009, 5:30pm Location: Vincent 16 |
Jason Morton, Stanford University | Tools for higher order portfolio optimization abstract biography slides |
| Friday 2 October 2009,
3:35pm Location: 115 Ford Hall Social at 3:05pm in 300 Ford Hall |
Donald Richards, Dept Stat, Penn State NOTE: THIS IS A STATISTICS SEMINAR IT IS NOT AN MFM SEMINAR. NOTE THE DIFFERENT TIME AND LOCATION |
Constant Proportion Debt Obligations, Zeno's Paradox, and the
Spectacular Financial Crisis of 2008 abstract |
| Friday 2 October 2009, 5:30pm Location: Vincent 16 |
Roger Lee, University of Chicago Math Dept | A variance contract is worth how many log contracts? abstract |
| Friday 25 September 2009, 5:30pm Location: Vincent 16 All are welcome, but the presentation is geared to MFM students |
Carme Calderer, director of MCIM, professor UMN-Math REQUIRED attendance for all MFM students seeking department help with career services. |
no title purpose is for Prof. Calderer to introduce herself to the MFM student body and to answer Qs about MCIM, internships and placements Host: Fernando Reitich, professor UMN-Math |
| Friday 18 September 2009, 5:30pm Location: Vincent 16 |
Jeremy Graveline, Carlson School of Management, UMN biography |
Risk Premia in International Fixed Income Markets abstract slides |
| Friday 11 September 2009, Time: 1:25pm Location: Vincent 570 |
Chris Bemis, Whitebox Advisors | title TBA NOTE: THIS IS AN INDUSTRIAL PROBLEMS SEMINAR IT IS NOT AN MFM SEMINAR. NOTE THE DIFFERENT TIME AND LOCATION |
| Friday 11 September 2009, 5:30pm Location: Vincent 16 |
Toby Madden, Federal Reserve Bank of Minneapolis | Title: TBA Host: Chris Prouty |
|
Friday 4 September at 5pm Location: Preston's Seven Corners 221 Cedar Ave S 612-338-6146 | Beginning of year PARTY | Beginning of year PARTY |
| Friday 4 September 2009, no seminar |
this is the last Friday of the summer | no seminar today or earlier during summer, except summer seminars |
| various Mondays at various times Location: ??? |
various speakers | Summer seminar http://summerseminar2009.pbworks.com/ |
| Tuesday 9 June 2009, 6pm Location: Physics 131 |
Carlos Tolmasky, Cargill Chris Prouty, Cargill |
Organizational meeting for summer seminar |
|
Friday 15 May 2009 at 5pm Location: Preston's Seven Corners 221 Cedar Ave S 612-338-6146 |
NO SEMINAR End of year PARTY | End of year PARTY |
| Friday 8 May 2009, 5:30pm Location: Vincent 16 |
Blaise Morton, Whitebox Advisors | Math-Finance Models Beyond No-Arbitrage Pricing Theory abstract left-hand slides right-hand slides |
| Friday 1 May 2009, 5:30pm Location: Vincent 16 |
Andrew P. Mullhaupt | Financial Mathematics in the Unit Disc:
Complexity Bounds for Price Discovery abstract biography slides Materials used in a class (mid-May, 2009) at Univ. of Chicago |
| Friday 24 April 2009, 2:30pm Location: Vincent 213 |
Soumik Pal, University of Washington | Interacting diffusion models of capital markets NOTE: THIS IS NOT AN MFM SEMINAR, IT IS A PROBABILITY SEMINAR. IT IS IN VINCENT 213 AT 2:30PM. |
| Friday 24 April 2009, 5:30pm Location: Vincent 16 |
Arkady Shemyakin, University of St. Thomas | Dice, Oracles, and Randomization in Decision Making abstract |
| Friday 17 April 2009, 5:30pm Location: Vincent 16 |
Prefer to avoid using this date | Prefer to avoid using this date Vincent 16 will be used by the Riviere-Fabes Conference (A seminar could be scheduled, but it would need to be in another room.) |
| Friday 10 April 2009, 5:30pm Location: Vincent 16 |
Gary NanTie, Travelers | A Needle in a Haystack abstract slides |
| Friday 3 April 2009, 5:30pm Location: Vincent 16 |
Hunt Blatz | Ethical issues in quantitative finance |
| Friday 27 March 2009, 5:30pm Location: Vincent 16 |
Ioannis Karatzas, Columbia University and Intech Investment Management | Optimal Arbitrage abstract paper recording slides |
| Friday 20 March 2009 | No seminar | There will be no seminar due to Spring Break. |
| Friday 13 March 2009, 5:30pm Location: Vincent 16 |
Kent Horsager and Robin Thomas, Compass Strategic Investments | Eat it(soft commodities), feed it(feed commodities) or burn
it(energy commodities), but trade it - electronic trading in commodities abstract biographies paper |
| Friday 6 March 2009 | No seminar | No seminar There is an MFM Advisory Board meeting scheduled on this date. |
| Friday 27 February 2009, 5:30pm Location: Vincent 16 |
Yongmin Zhang, Capital Market Finance, Wells Fargo | Valuation and Hedging for Mortgage Backed Securities abstract biography |
| Friday 20 February 2009, 5:30pm Location: Vincent 16 |
Norman Ehrentreich, RiverSource Investments | The Asset Return - Funding Cost Paradox: The Case for Liability
Driven Investment Or The Next Crisis (is already here): Defined
Benefit Pension Plans paper abstract slides |
| Friday 13 February 2009, 5:30pm Location: Vincent 16 |
Michael Shutze, Oxford Global Partners | Trading as a Profession biography |
| Friday 30 January 2009 | No seminar | No seminar There is a teachers' meeting scheduled on this date |
| before Friday 23 January 2009 |
No seminar | No seminar
Friday 23 January is the first Friday after the beginning of classes in Spring 2009. We will likely not schedule any seminars in 2009 that occur before Friday 23 January 2009, but Friday 23 January 2009 itself is fine. |
| Friday 12 December 2008 | NA |
There will be no seminar on this date. The seminar room (Vincent 16) is reserved for Conflict Finals. |
|
Friday 5 December 2008 at 5:30pm Location: Vincent 16 |
Chris Bemis, Whitebox Advisors Hunt Blatz, Allianz Life USA John Dodson, Riversource Investments Gary Hatfield, Securian Phil Jones, Ameriprise Financial Vivek Kaushal, GE (by Skype) Sandra Paterlini, U of Modena (by Skype) Chris Prouty, Cargill Carlos Tolmasky, Cargill |
Practitioner's Seminar Panel discussion on the recent market turmoil This is the last Friday before the end of classes in Fall 2008. We will likely not schedule any seminars in 2008 that occur after Friday 5 December 2008. Streaming website: https://umconnect.umn.edu/semy08m12d05/ Archive website: https://umconnect.umn.edu/p41841778/ (Duration: 00:53:15) (Irregularities: Recording accidentally didn't start until about 35 minutes into the discussion.) |
| Friday 28 November 2008 |
NA | There will be no seminar due to Thanksgiving holiday. |
|
Friday 7 November 2008 at 5:30pm Location: Vincent 16 | Phil Jones, Ameriprise Financial |
Practitioner's Seminar Flawed Models or Misused Models? The role of financial modeling in the mortgage meltdown. slides PDF of slides |
|
Friday 24 October 2008 at 5:30pm Location: Vincent 16 | Sandra Paterlini, U of Modena, visiting UMN Mathematics USA |
Practitioner's Seminar Regular(ized) Hedge Fund Clones abstract slides |
|
Friday 10 October 2008 at 5:30pm Location: Vincent 16 | Nikita Ratanov, University of Rosario, Colombia |
Practitioner's Seminar Option pricing model based on "telegraph" process abstract slides |
|
Friday 19 September 2008 at 5:30pm Location: Vincent 16 | Thiemo Krink, Allianz Life USA |
Practitioner's Seminar Stochastic Search Heuristic in Finance slides |
| Friday 5 September 2008 |
NA | This is the first Friday after the beginning of classes in Fall 2008. |
|
Friday 29 August 2008 at 5pm Location: Preston's Seven Corners 221 Cedar Ave S 612-338-6146 | Beginning of year PARTY | Beginning of year PARTY |
|
Monday 2 June 2008 at 5:30pm Location: Vincent 570 | Carlos Tolmasky and Chris Prouty |
Practitioner's Seminar Organizational meeting for a summer seminar on automated trading |
|
Friday 16 May 2008 at 5pm Location: Preston's Seven Corners 221 Cedar Ave S 612-338-6146 | End of year PARTY | End of year PARTY |
|
Friday 9 May 2008 at 5:30pm. Location: Vincent 16 |
Pin Chung, Allianz Life | Practitioner's Seminar To Find Your Best Next Job abstract |
|
Friday 2 May 2008 at 5:30pm Location: Vincent 16 Last Friday of Spring Semester | Hunt Blatz, Allianz Life USA |
Practitioner's Seminar Resume Workshop slides |
|
Friday 2 May 2008 at 2:30pm Location: Vincent 213 Last Friday of Spring Semester NOTE: Room is not our usual FM seminar room; this is not an FM seminar | Ioannis Karatzas, Columbia University |
Probability Seminar (NOT FM seminar) Volatility Stabilization, Diversity and Arbitrage in Stochastic Finance abstract a survey paper |
|
Friday 18 April 2008 at 5:30pm. Location: Vincent 16 | Roger Lee, University of Chicago Math Dept. |
Practitioner's Seminar Hedging Options on Realized Variance abstract |
|
Friday 11 April 2008 at 5:30pm. Location: Vincent 6 (NOTE: NOT Vincent 16) | Jason Morton, Stanford U |
Practitioner's Seminar Algebraic Methods for Correlated Assets abstract slides |
| Friday 21 March 2008 |
NA | There is no seminar due to Spring Break. |
| Tuesday 4 March 2008 at 7:00pm. Location: Willey Hall 125 |
Ivar Ekeland, Univ. of British Columbia |
IMA Public Lecture The Best of All Possible Worlds: The Idea of Optimization IMA announcement |
| Friday 15 February 2008 at 5:30pm. Location: Vincent 16 |
Rachel Marshak, Credit Suisse |
Practitioner's Seminar What a Trader Looks For in a Quant abstract |
| Friday 25 January 2008 at 5:30pm First Friday of Spring Semester Location: Vincent 570 |
Chris Welty (Walleye Trading) |
Introduction to Exchanges abstract slides |
| Tuesday 11 December 2007 at 2:30pm. Location: Vincent 570 Last Tuesday of Fall Semester |
Scot Adams, UMN-TC-Math | The ABCDEFs of Financial Mathematics. We'll cover material from the online lecture series. |
| Friday 7 December 2007 at 5:30pm. Location: Vincent 570 CANCELED |
William Barr, RiverSource Investments CANCELED |
Practitioner's Seminar Tips for the Job Hunt and Career Prospects CANCELED |
| Tuesday 4 December 2007 | NA | There is no seminar currently scheduled. |
| Friday 30 November 2007 at 5:30pm Location: Vincent 570 |
Hunt Blatz, Allianz Life USA | Practitioner's Seminar What not to say in a job interview, and stuff like that. |
| Tuesday 27 November 2007 at 2:30pm. Location: Vincent 570 |
Scot Adams, UMN-TC-Math | The ABCDEFs of Financial Mathematics. We'll cover material from the online lecture series. |
| Friday 23 November 2007 |
NA | There will be no seminar due to Thanksgiving holiday. |
| Friday 16 November 2007 at 5:30pm. Location: Vincent 570 |
Toby Madden, Federal Reserve | Practitioner's Seminar My uncle's take on the economy. slides. |
| Tuesday 20 November 2007 |
NA | There is no seminar currently scheduled. |
| Tuesday 13 November 2007 at 2:30pm. Location: Vincent 570 |
Scot Adams, UMN-TC-Math | The ABCDEFs of Financial Mathematics. We'll cover material from the online lecture series. |
| Tuesday 6 November 2007 | NA | There is no seminar currently scheduled. |
| Tuesday 30 October 2007 at 2:30pm. Location: Vincent 570 |
Scot Adams, UMN-TC-Math | The ABCDEFs of Financial Mathematics We'll cover material from the online lecture series. |
| Tuesday 23 October 2007 |
NA | There will be no seminar today. |
| Tuesday 16 October 2007 at 2:30pm. Location: Vincent 570 |
Scot Adams, UMN-TC-Math | The Banach-Tarski Paradox abstract slides |
| Tuesday 9 October 2007 |
NA | There will be no seminar today. |
| Tuesday 2 October 2007 at 2:30pm. Location: Vincent 570 |
Scot Adams, UMN-TC-Math | The ABCDEFs of Financial Mathematics We'll cover material from the online lecture series. |
| Wednesday 22 August 2007 at 5:30pm. Location: Vincent 570 |
Group Discussion on CDO papers |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Discussion material: Term structures of credit spreads with incomplete accounting information. Discussion material: CDO Correlation Primer (by Dodson) |
| Wednesday 15 August 2007 at 5:30pm. Location: Vincent 570 |
Philip Jones (Ameriprise Financial) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Phil Jones will discuss the Carr paper mentioned on the second page. Carr paper slides (by Jones) |
| Wednesday 8 August 2007 at 5:30pm. Location: Vincent 570 |
Yoav Tamir (Ameriprise Financial) Philip Jones (Ameriprise Financial) |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Yoav Tamir will discuss the Carr paper mentioned on the second page. Carr paper slides (by Tamir and Jones) |
| Wednesday 1 August 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos Tolmasky will discuss Chapter 10. Chapter 10 slides (by Tolmasky) |
| Wednesday 25 July 2007 at 5:30pm. Location: Vincent 570 |
Chris Bemis (Whitebox) Bill Barr (Riversource) |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Chris Bemis plans to discuss Chapter 5. Chapter 5 slides (by Bemis) Bill Barr will discuss Chapter 9. Chapter 9 slides (by Barr) |
| Wednesday 18 July 2007 at 5:30pm. Location: Vincent 6 |
John Dodson (RiverSource) John Baxter (UMN) |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher John Dodson plans to finish Chapter 7. Chapter 7 slides (by Dodson) John Baxter will discuss Chapter 8. Chapter 8 slides (by Baxter) |
| Wednesday 11 July 2007 at 5:30pm. Location: Vincent 6 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to finish Chapter 4, and John Dodson may begin (on Chapter 7). Chapter 2 slides (by Tolmasky) Chapter 3 slides (by Tolmasky) Chapter 4 slides (by Tolmasky) Chapter 7 slides (by Dodson) |
| Wednesday 4 July 2007
NO SEMINAR. |
NO SEMINAR | NO SEMINAR |
| Wednesday 27 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to finish Chapter 4, and John Dodson may begin (on Chapter 7). Chapter 2 slides (by Tolmasky) Chapter 3 slides (by Tolmasky) Chapter 4 slides (by Tolmasky) Chapter 7 slides (by Dodson) |
| Wednesday 20 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to continue (possibly to Chapter 4), and John Dodson may begin. Chapter 2 slides Chapter 3 slides Chapter 4 slides |
| Wednesday 13 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to talk on Chapter 2 (and maybe Chapter 3) today. Chapter 2 slides Chapter 3 slides |
| Wednesday 6 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Organizational meeting for Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to talk on Chapter 2 (and maybe Chapter 3) today. Chapter 2 slides Chapter 3 slides |
| Wednesday 30 May 2007 at 3:30pm. Location: Vincent 1(CANCELED) |
CANCELED | CANCELED |
| Wednesday 23 May 2007 at 3:30pm. Location: Vincent 1(CANCELED) |
CANCELED | CANCELED |
| Wednesday 16 May 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota | continuation of Junior seminar in Financial Math slides |
| Wednesday 9 May 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |
| Wednesday 2 May 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Jason Vinar, GMAC-RFC |
The Current Crisis in the Subprime Mortgage Market abstract slides |
| Wednesday 25 April 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math slides |
| Wednesday 18 April 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |
| Wednesday 11 April 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math slides |
| Wednesday 4 April 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Carlos Tolmasky, Cargill |
Principal Component Analysis in Term Structure Modeling abstract slides |
| Wednesday 28 March 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |
| Wednesday 21 March 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |
| Wednesday 14 March 2007 at 3:30pm. Location: Vincent 1 NOTE: This is Spring Break. I'll do an optional topic. If you miss this, you won't lose the thread. |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |
| Wednesday 7 March 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Ryan Williams, Cargill |
Option Replication and Model Risk abstract slides |
| Wednesday 28 February 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |
| Wednesday 21 February 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Gary Nan Tie, St. Paul Travelers |
Pricing in
Incomplete Markets: Relating Actuarial and Financial Paradigms abstract notes |
| Wednesday 14 February 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
start of Junior seminar in Financial Math |
| Wednesday 7 February 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Gary Nan Tie, St. Paul Travelers |
Pricing in
Incomplete Markets: Relating Actuarial and Financial Paradigms abstract notes |
| Tuesday 6 February 2007 at 3:35pm. Location: Vincent 16 NOTE: This is a Junior colloquium. Note special time and location. |
Scot Adams, University of Minnesota |
Financial Mathematics at the University of Minnesota abstract |
| Wednesday 24 January 2007 at 6:30pm. Location: Room 1832, Ameriprise HQ 707 Second Ave S Parking: Across skyway at 225 Sixth St S Have security desk at skyway level contact John Dodson (251-7432) for access NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
John Dodson, Ameriprise |
Some Potential Topics for Future Seminar Meetings abstract slides |
| Monday 27 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Chris Bemis | Ito's Lemma and Deriving the Black-Scholes PDE abstract Presentation: The Black-Scholes PDE from Scratch |
| Monday 20 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Girsanov's Theorem
OR The immutability of volatility (continued) New version of powerpoint presentation, Lecture 5 |
| Monday 13 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Girsanov's Theorem
OR The immutability of volatility Powerpoint presentation, Lecture 5 |
| Monday 6 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Closing in on Black-Scholes
OR Mathematicians got it all Powerpoint presentation, Lecture 5 |
| Monday 30 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | The Central Limit Theorem
OR Mathematicians got coin-flipping PDF file of lecture notes, see esp. "Part B" which starts on p. 16 |
| Monday 23 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Delta-Hedging
OR Pricers got hedge Powerpoint presentation, Lectures 1 and 2 |
| Monday 16 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | The Risk-Neutral World
OR Coin-flippers got price Powerpoint presentation, Lectures 1 and 2 |
| Monday 9 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Mathematicians Got It All Presentation (just under 30 minutes, with audio) |
| Wednesday 4 October | Will not meet this week. | Will not meet this week. |
| Wednesday 27 September | Will not meet this week. | Will not meet this week. |
| Wednesday, 20 September 2006 at 6:30pm in Ford 115 | Chris Bemis (University of Minnesota) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Numerical Methods for American Options (Chris Bemis) |
| Wednesday, 13 September 2006 at 6:30pm in Ford B60 | Chris Bemis (University of Minnesota) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Numerical Methods for a Certain PIDE (Chris Bemis) |
| Wednesday, 23 August 2006 at 6pm in Vincent 1 | Lei (Nick) Guo (University of Minnesota) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 10 (Nick Guo) |
| Wednesday, 16 August 2006 at 6pm in Vincent 1 | Ryan Williams (Cargill) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 11 (Ryan Williams) |
| Wednesday, 9 August 2006 at 6pm in Vincent 1 | Carlos Tolmasky (Cargill) John Baxter (University of Minnesota) |
Material from R. Cont and P. Tankov Financial Modelling with Jump Processes John Baxter's presentation |
| Wednesday, 2 August 2006 at 6pm in Vincent 1 | Carlos Tolmasky (Cargill) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes |
| Wednesday, 26 July 2006 at 6pm in Vincent 6 | Carlos Tolmasky (Cargill) Ryan Williams (Cargill) |
Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 8 |
| Wednesday, 19 July 2006 at 6pm in Vincent 570 | Carlos Tolmasky (Cargill) Ryan Williams (Cargill) |
Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 2 Chapter 3 Chapter 4 summary |
| Wednesday, 12 July 2006 at 6pm in Vincent 570 | Carlos Tolmasky (Cargill) | Chapters 2 and 3 from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 2 Chapter 3 Chapter 4 summary |
| Wednesday, 5 July 2006 at 6pm in Vincent 570 | Carlos Tolmasky (Cargill) |
Introductory meeting on Levi processes |
| Wednesday, 28 June 2006 at 6pm in Vincent 570 | John Baxter (University of Minnesota) |
Introductory meeting on Levi processes |
| Wednesday, 7 June 2006 at 4:30pm in Vincent 570 | Scot Adams (University of Minnesota) |
SDE-PDE connections slides |
| Wednesday, 31 May 2006 at 4:00pm in Vincent 570 | Scot Adams (University of Minnesota) |
Risk-Return Basics abstract slides |
| Wednesday, 24 May 2006 at 4:00pm in Vincent 570 | Scot Adams (University of Minnesota) |
Risk-Return Basics abstract slides |
Seminars
in the School of Mathematics.
e-mail: adams@math.umn.edu