Financial Engineering Seminars Organizer: Stan Uryasev Join e-mailing list of the seminar Accommodations (for non UF participants of the seminar) AOrDa , UF Campus Map, Gainesville Date/Time Place Name Affiliation Presentation April 4, 2008(Fri), 12:50 pm Weil Hall 303, conference room Stefan Weber School of Operations Research and Information Engineering Cornell University Optimal Portfolio Choice with Limited Downside Risk October 19, 2007(Fri), 11:45 am TUR L007 R. Tyrrell Rockafellar Department of Mathematics University of Washington Risk Tuning with Generalized Linear Regression March 2, 2007(Fri), 1:55 pm Weil Hall 307 Nicholas Bogos Consultant Tax Aspects of Hedging and Securitizing with Credit Derivatives February 23, 2007(Fri), 3:00 pm Weil Hall 307 Alexander Cherny Department of Probability Theory Moscow State University Coherent Risk Measures and Coherent Acceptability Indices February 23, 2007(Fri), 1:55 pm Weil Hall 307 Ronnie Sircar Dept. of Operations Research and Financial Engineering Princeton University Valuation of Employee Stock Options February 16, 2007(Fri), 1:55 pm Weil Hall 307 Per Mykland Department of Statistics University of Chicago A Gaussian Calculus for Inference from High Frequency Data February 9, 2007(Fri), 1:55 pm Weil Hall 307 Erhan Bayraktar Department of Mathematics University of Michigan Correspondence between Lifetime Minimum Wealth and Utility of Consumption January 26, 2007(Fri), 4:05 pm CSE E107 Roger J-B Wets Department of Mathematics University of California, Davis Pricing contingent claims: Evaluating market risk December 1, 2006(Fri), 3:00 pm 303 Weil Hall (conference room) Mike Ludkovski Department of Mathematics University of Michigan Valuing Operational Flexibility of Industrial Firms October 27, 2006(Fri), 4:05 pm Weil Hall 307 Oleg Bondarenko Department of Finance University of Illinois at Chicago Market Price of Variance Risk and Performance of Hedge Funds October 27, 2006(Fri), 3:00 pm Weil Hall 307 Harry Zheng Department of Mathematics Imperial College, London Efficient Frontier of Utility and CVaR December 13, 2005(Tue), 3:00 pm Weil Hall 307 Shijie Deng School of Industrial and Systems Engineering Georgia Institute of Technology Optimal Production Planning under Incentives for Interruptible Electricity Supply October, 25, 2005(Tue), 4:05 pm 303 Weil Hall (conference room) Ludger Overbeck University of Giessen/HypoVereinsBank, Germany Risk Measures for Multiname Credit Products October, 10, 2005(Mon), 11:45 am 279 Weil Hall Morton Allen Senior Risk Management Consultant IBM Business Consulting Services A Major Live Project in Credit Portfolio Optimization September, 16, 2005(Fri), 1:55 pm 303 Weil Hall (conference room) Andrzej Ruszczynski Department of Management Science and Information Systems Rutgers University Introduction to Risk-Averse Optimization September, 16, 2005(Fri), 3:00 pm 303 Weil Hall (conference room) Darinka Dentcheva Department of Mathematical Sciences Stevens Institute of Technology Inverse Stochastic Dominance Constraints and Rank Dependent Expected Utility Theory April, 22, 2005(Fri), 3:00pm Weil Hall 307 Robert T. Diagler College of Business Administration Florida International University Volume and Volatility in the Futures and Options Markets February, 23, 2005(Wed), 1:55pm Weil Hall 303 Phelim Boyle School of Accountancy University of Waterloo Incomplete markets: non uniqueness and convergence January, 28, 2005(Fri), 3:00pm Weil Hall 303 Valery A. Kholodnyi Department of Mathematical Sciences Middle Tennessee State University Valuation and Hedging of Power-Sensitive Contingent Claims for Power with Spikes: a Non-Markovian Approach April, 23, 2004(Fri), 4:00pm Weil Hall 307 Yong Li Research Director The Midway Group Recent Development in Mortgage-Backed Securities April, 2, 2004(Fri), 3:00pm FLG 220 Farid Aitsahlia Stanford University Corrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping: Theory and Applications March, 19, 2004(Fri), 3:00pm Weil Hall 303 Jong-Shi Pang Department of Mathematical Sciences Rensselaer Polytechnic Institute On the global minimization of the value-at-risk March, 5, 2004(Fri), 3:00pm Weil Hall 303 Alexander Shapiro School of Industrial and Systems Engineering Georgia Institute of Technology Optimization of convex risk functions February, 20, 2004(Fri), 3:00pm Weil Hall 307 Michael C. Fu Robert H. Smith School of Business and the Institute for Systems Research University of Maryland Optimal exercise policies and simulation-based valuation for american-asian options February, 13, 2004(Fri), 3:00pm Weil Hall 307 James A. Primbs Management Science and Engineering Stanford University Moment based Analysis of Portfolio Affine Hedging February, 6, 2004(Fri), 3:00pm Weil Hall 307 Manfred Gilli University of Geneva Department of Economics Meta-heuristics for Portfolio Optimization January, 16, 2004(Fri), 3:00pm Weil Hall 307 Stathis Tompaidis McCombs School of Business Management Science and Information Systems Department University of Texas at Austin Tax Management Strategies with Multiple Risky Assets September, 5, 2003(Fri) Weil Hall 307 Ray R. Sturm Florida Atlantic University Investor Confidence and Returns Following Large One-Day Price Changes August, 29, 2003(Fri) Weil Hall 307 Prof. Ryan Garvey Duquesne University Entry, Exit, and Trading Profits: A First Look at the Trading Strategies of Professional Day Traders April, 30, 2003(Wed) Weil Hall 303 Vladimir Zdorovtsov University of South Carolina Large Price Declines, News, Liquidity, and Trading Strategies: An Intraday Analysis. April, 25, 2003 Weil Hall 307 Dr. Vladimir Dubinin Automated Trading Desk Electronic trading: Day two. Open problems. November, 1, 2002 Weil Hall 307 Dr. Triphonas Kyriakis www.analytics-solutions.com A framework for measurement and control of risk - 'Optimum Risk Decisions' October, 24, 2002 4:05PM 4:55PM FLG 245 Prof. R. Tyrrell Rockafellar University of Washington(Seattle) Department of Mathematics Approaches To Risk In Optimization Under Uncertainty April, 19, 2002 Dr. Ursula A. Theiler Risk Training Risk-Return Management Approach for the Banking Portfolio April, 12, 2002 Prof. Lester Ingber DUNN Capital Management Statistical Mechanics of Financial Markets: Applications to Trading Indicators and Options March 29, 2002 Prof. Suvrajeet Sen University of Arizona Power Portfolio Optimization March 29, 2002 Prof. Eugene A. Feinberg State University of New York at Stony Brook Electric Load Pocket Modeling and Forecasting February 1, 2002 Dr. Alexander Kreinin Algorithmics Inc. Calibration Problems in the Joint Market and Credit Risk Framework December 14, 2001 Prof. Marian Turac University of South Florida Optimal Mix of Corporate Hedging Instruments: Linear versus Non-linear Derivatives November 9, 2001 Dr. Alexander Eydeland Mirant Corporation Energy Derivatives November 9, 2001 Prof. Stavros A. Zenios University of Cyprus, and The Wharton Financial Institutions Center Financial Products with Guarantees: Applications, Models and Internet-based services November 9, 2001 Prof. Norio Hibiki Keio University, Faculty of Science and Technology, Japan A Hybrid Simulation/Tree Stochastic Optimization Model for Dynamic Asset Allocation October 26, 2001 Karl C. Ashley CoreGroup Services, Inc. Limits of Portfolio Diversification and Technical Analyses April 27, 2001 (Fri) Georg Ch. Pflug University of Vienna Dept. of Statistics and Decision Support Systems Risk Measures and Optimal Portfolios March 30, 2001 (Fri) Dr. Alexander Golodnikov Glushkov Institute of Cybernetics, Kiev, Ukraine Algorithms for Optimal Closing of Position March 23, 2001 (Fri) Prof. Chanaka Edirisinghe The University of Tennessee College of Business Administration MiSOFT: Multiperiod Interactive Stochastic Optimization for Financial Trading March 19, 2001 (Mon) Dr. Matt Pritsker The Federal Reserve Board The Hidden Dangers of Historical Simulation for Risk Measurement February 23, 2001 (Fri) Prof. Hiroshi Konno Tokyo Institute of Technology Center for Research in Advanced Financial Technology Portfolio Optimization under Nonconvex Transaction Cost February 16, 2001 (Fri) Prof. Tyrrell R. Rockafellar University of Washington Department of Mathematics Taxes And Transaction Costs In Cash Stream Valuation February 2, 2001 (Fri) John M. Mulvey Princeton University Bendheim Center for Finance Multi-stage Optimization for Long-term Investors November 27, 2000 (Mon) Dr. Ron D'Vari State Street Research Management Company Application of Risk-Constrained Optimization In Constructing Consistent Family of ActiveFixed Income Portfolios" October 20, 2000 (Fri) Dr. Farid AitSahlia Financial Engines Fast and Accurate Valuation of American Barrier Options