Seminars

Oleg DiyankovNeurOKPipeline defects recognition and quantification

March, 21 2013 (Th), 4:00 PM – 5:00 PMWeil Hall 303Oleg DiyankovNeurOKPipeline defects recognition and quantificationSeptember, 24 2012 (Mo), 4:00 PM – 5:00 PMWeil Hall 303Ryan GarveyDuquesne UniversityAdaptive Trading and LongevityFebruary, 28 2011 (Tue), 4:05 PM – 4:55 PMWeil Hall 303Peter TsyurmastoUniversity of FloridaImplementation of CVaR-based Support Vector Machine with Portfolio SafeguardFebruary, 28 2011 (Tue), 3:00 PM – 3:50 PMWeil Hall 303Dr. Pando GeorgievUniversity of FloridaReproducing Kernel Banach Spaces and machine learningFebruary, 28 2011 (Tue), 1:55 PM – 2:45 PMWeil Hall 303Prof. Akiko TakedaKeio University

A Unified Classification Model Based on Robust Optimization

February, 28 2011 (Tue), 12:50 PM – 1:40 PMWeil Hall 303Prof. Jun-ya GotohChuo University

On Interactions between Financial Risk Minimization and Statistical Learning

February, 18 2011 (Fri), 1:55 PM – 2:40 PMWeil Hall 307Dr. Yonggan ZhaoDalhousie UniversityAn Investment Model via Regime-Switching Economic IndicatorsJanuary, 28 2011 (Fri), 1:55 PM – 2:40 PMWeil Hall 303Dr. Ryan GarveyDuquesne UniversityLatency Cost and Information:  Does Trading Speed Matter for All Market
Participants?
November, 19 2010 (Fri), 3:00 PM – 3:50 PMWeil Hall 303Dr. Vladimir Fishman and Dr. AnatolyReynbergExperian Decision AnalyticsEvaluating the effect of model quality for large scale CRM optimization problemNovember, 19 2010 (Fri), 4:05 PM – 4:55 PMWeil Hall 303Dr. Vladimir Fishman and Dr. AnatolyReynbergExperian Decision AnalyticsBuilding neural network predictive models using transactional dataOctober, 8 2010 (Fri), 4:05 PM – 4:55 PMWeil Hall 234Ilya RyzhovPrinceton UniversityThe exploration/exploitation dilemma in stochastic optimizationOctober, 1 2010 (Fri), 4:05 PM – 4:55 PMWeil Hall 234Kenneth O. KortanekUniversity of PittsburghSolving Dynamic Cash Flow Matching Problems Under UncertaintyApril 16 2010 (Fri), 1:55 PM – 2:45 PMWeil Hall 303Alan KingIBMOn Safeguarding the Financial SystemApril 6 2010 (Tue), 10:40 AM – 1:40 PMCSE E-118R. Tyrrell RockafellarUniversity of WashingtonUniversity of FloridaWorkshop: The Fundamental Quadrangle of Risk in Optimization and EstimationJanuary 28 2010 (Tue), 1:55 PMWeil Hall 303David VogelVoloridge Investment ManagementPredictive Models of Financial Markets: Their Application in a Managed PortfolioJanuary 22, 2010 (Fri), 3:00 PMWeil Hall 303Jean-Paul WatsonDiscrete Algorithms and Complex Systems Department, Sandia National LaboratoriesScalable Heuristics for Stochastic Programming with Scenario SelectionJanuary 22, 2010 (Fri), 4:05 PMWeil Hall 303William HartDiscrete Math and Complex Systems Department, Sandia National LaboratoriesFormulation and Optimization of Robust Sensor Placement Problems for Contaminant Warning System DesignDecember 4, 2009 (Fri), 3:00 PMWeil Hall 303Bakhodir ErgashevThe Federal Reserve Bank of Richmond, Charlotte BranchThe Bayesian Approach to Extreme Value Estimation in Operational Risk ModelingApril 3, 2009 (Fri), 2:00 PMWeil Hall 303Mark McDonaldVanderbilt UniversityRepresentation and Propagation of Epistemic andAleatory Uncertainty through Computational ModelsOctober 27, 2008 (Mon), 4:05 PMCSE E122Giray ÖktenDepartment of Mathematics
Florida State UniversityGenerating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?October 10, 2008 (Fri), 4:05 PMWeil Hall 303Jun-ya GotohDepartment of Industrial and SystemsEngineering
Chuo UniversityOn the Out-of-Sample Performance of VaR/CVaRMinimizing PortfolioSeptember 18, 2008 (Thu), 4:05 PMLittle Hall 109Vladimir BugeraAmerican ExpressCredit Card Industry Today: Impact of Slowing Economy on Consumer BehaviorApril 4, 2008(Fri), 12:50 pmWeil Hall 303, conference roomStefan WeberSchool of Operations Research and Information Engineering
Cornell UniversityOptimal Portfolio Choice with Limited Downside RiskOctober 19, 2007(Fri), 11:45 amTUR L007R. TyrrellRockafellar</Department of Mathematics
University of WashingtonRisk Tuning with Generalized Linear RegressionMarch 2, 2007(Fri), 1:55 pmWeil Hall 307Nicholas BogosConsultantTax Aspects of Hedging and Securitizing with Credit DerivativesFebruary 23, 2007(Fri), 3:00 pmWeil Hall 307Alexander ChernyDepartment of Probability Theory
Moscow State UniversityCoherent Risk Measures and Coherent Acceptability IndicesFebruary 23, 2007(Fri), 1:55 pmWeil Hall 307Ronnie SircarDept. of Operations Research and Financial Engineering
Princeton UniversityValuation of Employee Stock OptionsFebruary 16, 2007(Fri), 1:55 pmWeil Hall 307Per MyklandDepartment of Statistics
University of ChicagoA Gaussian Calculus for Inference from High Frequency DataFebruary 9, 2007(Fri), 1:55 pmWeil Hall 307Erhan BayraktarDepartment of Mathematics
University of MichiganCorrespondence between Lifetime Minimum Wealth and Utility of ConsumptionJanuary 26, 2007(Fri), 4:05 pmCSE E107Roger J-B WetsDepartment of Mathematics
University of California, DavisPricing contingent claims: Evaluating market riskDecember 1, 2006(Fri), 3:00 pm303 Weil Hall (conference room)Mike LudkovskiDepartment of Mathematics
University of MichiganValuing Operational Flexibility of Industrial FirmsOctober 27, 2006(Fri), 4:05 pmWeil Hall 307Oleg BondarenkoDepartment of Finance
University of Illinois at ChicagoMarket Price of Variance Risk and Performance of Hedge FundsOctober 27, 2006(Fri), 3:00 pmWeil Hall 307Harry ZhengDepartment of Mathematics
Imperial College, LondonEfficient Frontier of Utility and CVaRDecember 13, 2005(Tue), 3:00 pmWeil Hall 307Shijie DengSchool of Industrial and Systems Engineering
Georgia Institute of Technology
Optimal Production Planning under Incentives for Interruptible Electricity SupplyOctober, 25, 2005(Tue), 4:05 pm303 Weil Hall (conference room)Ludger OverbeckUniversity of Giessen/HypoVereinsBank, GermanyRisk Measures for Multiname Credit ProductsOctober, 10, 2005(Mon), 11:45 am279 Weil HallMorton AllenSenior Risk Management Consultant
IBM Business Consulting ServicesA Major Live Project in Credit Portfolio OptimizationSeptember, 16, 2005(Fri), 1:55 pm303 Weil Hall (conference room)Andrzej RuszczynskiDepartment of Management Science and Information Systems
Rutgers University
Introduction to Risk-Averse OptimizationSeptember, 16, 2005(Fri), 3:00 pm303 Weil Hall (conference room)Darinka DentchevaDepartment of Mathematical Sciences
Stevens Institute of Technology
Inverse Stochastic Dominance Constraints and Rank Dependent Expected Utility TheoryApril, 22, 2005(Fri), 3:00pmWeil Hall 307Robert T. DiaglerCollege of Business Administration
Florida International University
Volume and Volatility in the Futures and Options MarketsFebruary, 23, 2005(Wed), 1:55pmWeil Hall 303Phelim BoyleSchool of Accountancy
University of Waterloo
Incomplete markets: non uniqueness and convergenceJanuary, 28, 2005(Fri), 3:00pmWeil Hall 303Valery A. KholodnyiDepartment 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), 4:00pmWeil Hall 307Yong LiResearch Director
The Midway Group
Recent Development in
Mortgage-Backed Securities
April, 2, 2004(Fri), 3:00pmFLG 220Farid AitsahliaStanford UniversityCorrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping: Theory and ApplicationsMarch, 19, 2004(Fri), 3:00pmWeil Hall 303Jong-Shi PangDepartment of Mathematical Sciences
Rensselaer Polytechnic Institute
On the global minimization of the value-at-riskMarch, 5, 2004(Fri), 3:00pmWeil Hall 303Alexander ShapiroSchool of Industrial and Systems Engineering
Georgia Institute of Technology
Optimization of convex risk functionsFebruary, 20, 2004(Fri), 3:00pmWeil Hall 307Michael C. FuRobert H. Smith School of Business
and the Institute for Systems Research
University of Maryland
Optimal exercise policies and simulation-based valuation for american-asian optionsFebruary, 13, 2004(Fri), 3:00pmWeil Hall 307James A. PrimbsManagement Science and Engineering
Stanford University
Moment based Analysis of Portfolio Affine HedgingFebruary, 6, 2004(Fri), 3:00pmWeil Hall 307Manfred GilliUniversity of Geneva
Department of Economics
Meta-heuristics for Portfolio OptimizationJanuary, 16, 2004(Fri), 3:00pmWeil Hall 307Stathis TompaidisMcCombs School of Business
Management Science and Information Systems Department
University of Texas at Austin
Tax Management Strategies with Multiple Risky AssetsSeptember, 5, 2003(Fri)Weil Hall 307Ray R. SturmFlorida Atlantic UniversityInvestor Confidence and Returns Following Large One-Day Price ChangesAugust, 29, 2003(Fri)Weil Hall 307Prof. Ryan GarveyDuquesne UniversityEntry, Exit, and Trading Profits: A First Look at the Trading Strategies of Professional Day TradersApril, 30, 2003(Wed)Weil Hall 303Vladimir ZdorovtsovUniversity of South CarolinaLarge Price Declines, News, Liquidity, and Trading Strategies: An Intraday Analysis.April, 25, 2003Weil Hall 307Dr. Vladimir DubininAutomated Trading DeskElectronic trading: Day two. Open problems.November, 1, 2002Weil Hall 307Dr. TriphonasKyriakiswww.analytics-solutions.comA framework for measurement and control of risk – ‘Optimum Risk Decisions’October, 24, 20024:05PM
4:55PM
FLG 245Prof. R. TyrrellRockafellarUniversity of Washington(Seattle)
Department of Mathematics
Approaches To Risk In Optimization Under UncertaintyApril, 19, 2002 Dr. Ursula A. TheilerRisk TrainingRisk-Return Management Approach for the Banking PortfolioApril, 12, 2002 Prof. Lester IngberDUNN Capital ManagementStatistical Mechanics of Financial Markets:
Applications to Trading Indicators and Options
March 29, 2002 Prof. Suvrajeet SenUniversity of ArizonaPower Portfolio Optimization  March 29, 2002 Prof. Eugene A. FeinbergState University of New York at Stony BrookElectric Load Pocket Modeling and ForecastingFebruary 1, 2002 Dr. AlexanderKreininAlgorithmics Inc.Calibration Problems in the Joint Market and Credit Risk FrameworkDecember 14, 2001 Prof. Marian TuracUniversity of South FloridaOptimal Mix of Corporate Hedging Instruments: Linear versus Non-linear DerivativesNovember 9, 2001 Dr. AlexanderEydelandMirant CorporationEnergy DerivativesNovember 9, 2001 Prof. Stavros A.ZeniosUniversity of Cyprus, and The Wharton Financial Institutions CenterFinancial Products with Guarantees: Applications, Models and Internet-based servicesNovember 9, 2001 Prof. Norio HibikiKeio University, Faculty of Science and Technology, JapanA Hybrid Simulation/Tree Stochastic Optimization Model for Dynamic Asset AllocationOctober 26, 2001 Karl C. AshleyCoreGroup Services, Inc.Limits of Portfolio Diversification and Technical AnalysesApril 27, 2001
(Fri) Georg Ch. PflugUniversity of Vienna
Dept. of Statistics and Decision Support SystemsRisk Measures and Optimal PortfoliosMarch 30, 2001
(Fri) Dr. AlexanderGolodnikovGlushkov Institute of Cybernetics,
Kiev, UkraineAlgorithms for Optimal Closing of PositionMarch 23, 2001
(Fri) Prof. ChanakaEdirisingheThe University of Tennessee
College of Business AdministrationMiSOFT: Multiperiod Interactive Stochastic Optimization for Financial TradingMarch 19, 2001
(Mon) Dr. Matt PritskerThe Federal Reserve BoardThe Hidden Dangers of Historical Simulation for Risk MeasurementFebruary 23, 2001
(Fri) Prof. Hiroshi KonnoTokyo Institute of Technology
Center for Research in Advanced Financial Technology
Portfolio Optimization under Nonconvex Transaction CostFebruary 16, 2001
(Fri) Prof. Tyrrell R.RockafellarUniversity of Washington
Department of MathematicsTaxes And Transaction Costs In Cash Stream ValuationFebruary 2, 2001
(Fri) John M. MulveyPrinceton University
Bendheim Center for FinanceMulti-stage Optimization for Long-term InvestorsNovember 27, 2000
(Mon) Dr. Ron D’VariState Street Research Management CompanyApplication of Risk-Constrained Optimization In Constructing Consistent Family of ActiveFixedIncome Portfolios”October 20, 2000
(Fri) Dr. Farid AitSahliaFinancial EnginesFast and Accurate Valuation of American Barrier Options

Date/Time Place Name Affiliation Presentation