Mathematical Finance and Risk Management Seminars

Wednesdays, 6-8 pm

E1 – Room 124

Schedule for Spring 2005

Wednesday, Feb. 16: Tomasz R. Bielecki (Applied Mathematics Dept., IIT)

PDE Approach to Valuation and Hedging of Credit Derivatives, Part I

Wednesday, Feb. 23: Tomasz R. Bielecki (Applied Mathematics Dept., IIT)

PDE Approach to Valuation and Hedging of Credit Derivatives, Part II

Replication issues in credit risk models: replication strategies for credit derivatives -- methods and examples

Wednesday, March 2: Andrea and Luca Vidozzi (Applied Mathematics Dept., IIT)

Modeling Credit Quality, Dependent Defaults and Credit Migrations, and Basket Credit Derivatives via Proxy Variables, Part I

This will be a survey talk based on the following papers:

Valuing Credit Default Swaps II: Modeling Default Correlations by J. Hull and A. White

A Rating-based Model for Credit Derivatives by M. Jeanblanc and R. Duady (Part 1)

Wednesday, March 9: Luca and Andrea Vidozzi (Applied Mathematics Dept., IIT)

Modeling Credit Quality, Dependent Defaults and Credit Migrations, and Basket Credit Derivatives via Proxy Variables, Part II

This will be a survey talk based on the following papers:

A Rating-based Model for Credit Derivatives by M. Jeanblanc and R. Duady (Part 2)

Wednesday, March 16: No seminar (Spring break)

Wednesday, March 23: Luca and Andrea Vidozzi (Applied Mathematics Dept., IIT)

Modeling Credit Quality, Dependent Defaults and Credit Migrations, and Basket Credit Derivatives via Proxy Variables, Part III

This will be a survey talk based on the following papers:

Credit Barriers Model by C. Albanese et al.

Credit Derivatives in Affine Framework by Li Chen and D. Filipovic

Wednesday, March 30: Tomasz R. Bielecki (Applied Mathematics Dept., IIT)

Convertible Bonds, Part I

This will be a critical overview of the following paper:

The valuation of convertible bonds with credit risk by E. Ayache, P.A. Forsyth and K.R. Vetzal

Wednesday, April 6: No seminar due to a conference: http://www.ise.ufl.edu/rmfe/events/qf2005/index.htm

Wednesday, April 13: Duo Wang (LMAM, School of Mathematics, Peking University, P.R. China)

A robust rational route to randomness in a simple asset pricing model

Wednesday, April 20: Roger Lee (Department of Mathematics, University of Chicago)

Put-Call Symmetry: Extensions and Applications

Wednesday, April 27: Double-Header

6 pm: Alvaro Cartea (Birbeck College, University of London)

Hedging under non-Gaussian processes: a fractional calculus approach

7 pm: Heung-Sik Park (Applied Mathematics Department, Sejong University, Seoul, Korea)

Estimating prices and derivatives of multi-type defaultable bonds by simulations

Wednesday, May 4: Roger Lee (Department of Mathematics, University of Chicago)

Robust Hedging of Volatility Derivatives, from Put-Call Symmetry Perspective

Wednesday, May 11: No seminar due to final exams

Wednesday, May 18: Stephane Crepey (Department of Mathematics, Evry University, Evry, France)

Delta Hedging Vega Risk

Wednesday, May 25: TBA