Financial Mathematics Research Seminar, Spring 2007

Wed 2:30 - 3:20 pm, 106 LOV

Jan 10:

Organizational Meeting --

Jan 17:

Alec Kercheval, FSU -- The skewed-t distribution for portfolio credit risk (with W. Hu)

Jan 24:

Alec Kercheval, FSU -- Optimal covariances in risk model aggregation

Jan 31:

Andrew Culham, FSU -- Computational Lucas model

Feb 7:

Andrew Culham, FSU -- Computational Lucas model, II

Feb 14:

Paul Beaumont, FSU -- Rational Investment at Disequilibrium

Feb 21:

Vladimir Boginski, FSU Dept of Industrial Engineering -- Network-based Techniques for the Analysis of Stock Market Data

Abstract: We consider a network representation of the stock market data referred to as the market graph, which is constructed by calculating cross-correlations between pairs of stocks based on the opening prices data over a certain period of time. We study the evolution of the structural properties of the market graph over time and draw conclusions regarding the dynamics of the stock market development based on the interpretation of the obtained results.

Feb 28:

Yevgeny Goncharov, FSU -- Two functional equations in financial mathematics

March 7:

Spring Break

March 14:

Ahmet Goncu, FSU -- TBA

March 21:

No meeting

March 28:

Alec Kercheval, FSU -- Price dynamics in a heterogeneous agent Lucas model

April 4:

Manan Shah, FSU -- Postponed -- no meeting

April 11:

Kyounghee Kim, FSU -- The Greeks for a European Style Asian Call

April 18:

Manan Shah, FSU -- Random and Deterministic Digit Scrambling for the Halton Sequence: An Empirical Comparison