2011-2012 Quantitative Finance Seminar
Description
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The Quantitative Finance Seminar has been a centerpiece of the Commercial/Industrial program at the Fields Institute since 1995. Its mandate is to arrange talks on current research in quantitative finance that will be of interest to those who work on the border of industry and academia. Wide participation has been the norm with representation from mathematics, statistics, computer science, economics, econometrics, finance and operations research. Topics have included derivatives valuation, credit risk, insurance and portfolio optimization. Talks occur on the last Wednesday of every month throughout the academic year and start at 5 pm. Each seminar is organized around a single theme with two 45-minute talks and a half hour reception. There is no cost to attend these seminars and everyone is welcome.
Schedule
| 17:00 to 18:00 |
A weak hidden Markov chain-modulated model for asset allocation
Rogemar Mamon, Western University Location:Fields Institute, Room 230 |
| 18:00 to 19:00 |
Optimal Execution in a General One-Sided Limit Order Book
Steve Shreve, Carnegie Mellon University Location:Fields Institute, Room 230 |
| 17:00 to 18:00 |
A Theory for the Optimal Government Debt Control
Abel Cadenillas, University of Alberta Location:Fields Institute, Room 230 |
| 18:00 to 19:00 |
Four Theorems and a Financial Crisis
Paul Embrechts, ETH Zürich Location:Fields Institute, Room 230 |
| 17:00 to 18:00 |
Some Approaches to Modeling Wrong-Way Risk in Counterparty Credit Risk Management and CVA
Alex Levin, Methodology, Market & Trading Credit Risk, RBC Financial Group Location:Fields Institute, Room 230 |
| 17:00 to 18:00 |
Functional Ito Calculus and Risk Management
Bruno Dupire, Head of Quantitative Research, Bloomberg Location:Fields Institute, Room 230 |
