#Date and TimeLocationNameAffiliationPresentation
76November, 7 2013
4:00 PM 5:00 PM
ISE Graduate seminarJun-ya Gotoh Department of Industrial and Systems Engineering
Chuo University
Support Vector Machines Based on Convex Risk Functionals and General Norms
75August, 29 2013 (Th),
4:00 PM 5:00 PM
ISE Graduate seminarOgi AsparouhovChief Scientist
Health Care
MEDai, a LexisNexis Company
Predictive Modeling of Healthcare Outcomes for Underwriting and Disease Management –
Industry's Lessons, Trends, Comparative Studies
74March, 21 2013 (Th), 4:00 PM 5:00 PMWeil Hall 303Oleg DiyakonovNeurOKPipeline defects recognition and quantification
73September, 24 2012 (Mo), 4:00 PM – 5:00 PMWeil Hall 303Dr. Ryan GarveyDuquesne UniversityAdaptive Trading and Longevity
72February, 28 2011 (Tue), 4:05 PM – 4:55 PMWeil Hall 303Peter TsyurmastoUniversity of FloridaImplementation of CVaR-based Support Vector Machine with Portfolio Safeguard
71February, 28 2011 (Tue), 3:00 PM – 3:50 PMWeil Hall 303Dr. Pando GeorgievUniversity of FloridaReproducing Kernel Banach Spaces and machine learning
70February, 28 2011 (Tue), 1:55 PM – 2:45 PMWeil Hall 303Prof. Akiko TakedaKeio UniversityA Unified Classification Model Based on Robust Optimization
69February, 28 2011 (Tue), 12:50 PM – 1:40 PMWeil Hall 303Prof. Jun-ya GotohChuo UniversityOn Interactions between Financial Risk Minimization and Statistical Learning
68February, 18 2011 (Fri), 1:55 PM – 2:40 PMWeil Hall 307Dr. Yonggan ZhaoDalhousie UniversityAn Investment Model via Regime-Switching Economic Indicators
67January, 28 2011 (Fri), 1:55 PM – 2:40 PMWeil Hall 303Dr. Ryan GarveyDuquesne UniversityLatency Cost and Information: Does Trading Speed Matter for All Market
66November, 19 2010 (Fri), 4:05 PM – 4:55 PMWeil Hall 303Dr. Vladimir Fishman and Dr. Anatoly ReynbergExperian Decision AnalyticsBuilding neural network predictive models using transactional data
65November, 19 2010 (Fri), 3:00 PM – 3:50 PMWeil Hall 303Dr. Vladimir Fishman and Dr. Anatoly ReynbergExperian Decision AnalyticsEvaluating the effect of model quality for large scale CRM optimization problem
64October, 8 2010 (Fri), 4:05 PM – 4:55 PMWeil Hall 234Ilya RyzhovPrinceton UniversityThe exploration/exploitation dilemma in stochastic optimization
63October, 1 2010 (Fri), 4:05 PM – 4:55 PMWeil Hall 234Kenneth O. KortanekUniversity of PittsburghSolving Dynamic Cash Flow Matching Problems Under Uncertainty
62April 16 2010 (Fri), 1:55 PM – 2:45 PMWeil Hall 303Alan KingIBMOn Safeguarding the Financial System
61April 6 2010 (Tue), 10:40 AM - 1:40 PMCSE E-118R. Tyrrell RockafellarUniversity of Washington, University of FloridaWorkshop: The Fundamental Quadrangle of Risk in Optimization and Estimation
60January 28 2010 (Tue), 1:55 PMWeil Hall 303David VogelVoloridge Investment ManagementPredictive Models of Financial Markets: Their Application in a Managed Portfolio
59January 22, 2010 (Fri), 3:00 PMWeil Hall 303Jean-Paul WatsonDiscrete Algorithms and Complex Systems Department, Sandia National LaboratoriesScalable Heuristics for Stochastic Programming with Scenario Selection
58January 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 Design
57December 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 Modeling
56April 3, 2009 (Fri), 2:00 PMWeil Hall 303Mark McDonaldVanderbilt UniversityRepresentation and Propagation of Epistemic andAleatory Uncertainty through Computational Models
55October 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?
54October 10, 2008 (Fri), 4:05 PMWeil Hall 303Jun-ya GotohDepartment of Industrial and Systems Engineering, Chuo UniversityOn the Out-of-Sample Performance of VaR/CVaRMinimizing Portfolio
53September 18, 2008 (Thu), 4:05 PMLittle Hall 109Vladimir BugeraAmerican ExpressCredit Card Industry Today: Impact of Slowing Economy on Consumer Behavior
52April 4, 2008(Fri), 12:50 pmWeil Hall 303, conference roomStefan WeberSchool of Operations Research and Information EngineeringOptimal Portfolio Choice with Limited Downside Risk
51October 19, 2007(Fri), 11:45 amTUR L007Prof. R. Tyrrell RockafellarDepartment of Mathematics, University of WashingtonRisk Tuning with Generalized Linear Regression
50March 2, 2007(Fri), 1:55 pmWeil Hall 307Nicholas BogosConsultantTax Aspects of Hedging and Securitizing with Credit Derivatives
49February 23, 2007(Fri), 3:00 pmWeil Hall 307Alexander ChernyDepartment of Probability Theory, Moscow State UniversityCoherent Risk Measures and Coherent Acceptability Indices
48February 23, 2007(Fri), 1:55 pmWeil Hall 307Ronnie SircarDept. of Operations Research and Financial Engineering, Princeton UniversityValuation of Employee Stock Options
47February 16, 2007(Fri), 1:55 pmWeil Hall 307Per MyklandDepartment of Statistics, University of ChicagoA Gaussian Calculus for Inference from High Frequency Data
46January 26, 2007(Fri), 4:05 pmCSE E107Roger J-B WetsDepartment of Mathematics, University of California, DavisPricing contingent claims: Evaluating market risk
45February 9, 2007(Fri), 1:55 pmWeil Hall 307Erhan BayraktarDepartment of Mathematics, University of MichiganCorrespondence between Lifetime Minimum Wealth and Utility of Consumption
43October 27, 2006(Fri), 4:05 pmWeil Hall 307Oleg BondarenkoDepartment of Finance, University of Illinois at ChicagoMarket Price of Variance Risk and Performance of Hedge Funds
42October 27, 2006(Fri), 3:00 pmWeil Hall 307Harry ZhengDepartment of Mathematics, Imperial College, LondonEfficient Frontier of Utility and CVaR
41December 13, 2005(Tue), 3:00 pmWeil Hall 307Shijie DengSchool of Industrial and Systems Engineering, Georgia Institute of TechnologyOptimal Production Planning under Incentives for Interruptible Electricity Supply
40October, 25, 2005(Tue), 4:05 pm303 Weil Hall (conference room)Ludger OverbeckUniversity of Giessen/HypoVereinsBank, GermanyRisk Measures for Multiname Credit Products
39October, 10, 2005(Mon), 11:45 am279 Weil HallMorton AllenSenior Risk Management Consultant, IBM Business Consulting ServicesA Major Live Project in Credit Portfolio Optimization
38September, 16, 2005(Fri), 1:55 pm303 Weil Hall (conference room)Andrzej RuszczynskiDepartment of Management Science and Information Systems, Rutgers UniversityIntroduction to Risk-Averse Optimization
37September, 16, 2005(Fri), 3:00 pm303 Weil Hall (conference room)Darinka DentchevaDepartment of Mathematical Sciences, Stevens Institute of TechnologyInverse Stochastic Dominance Constraints and Rank Dependent Expected Utility Theory
36April, 22, 2005(Fri), 3:00pmWeil Hall 307Robert T. DiaglerCollege of Business Administration, Florida International UniversityVolume and Volatility in the Futures and Options Markets
35February, 23, 2005(Wed), 1:55pmWeil Hall 303Phelim BoyleSchool of Accountancy, University of WaterlooIncomplete markets: non uniqueness and convergence
34January, 28, 2005(Fri), 3:00pmWeil Hall 303Valery A. KholodnyiDepartment of Mathematical Sciences, Middle Tennessee State UniversityValuation and Hedging of Power-Sensitive Contingent Claims
33April, 23, 2004(Fri), 4:00pmWeil Hall 307Yong LiResearch Director, The Midway GroupRecent Development in
32April, 2, 2004(Fri), 3:00pmFLG 220Farid AitsahliaStanford UniversityCorrected Random Walk Approximations to Free Boundary Problems in Optimal Stopping: Theory and Applications
31March, 19, 2004(Fri), 3:00pmWeil Hall 303Jong-Shi PangDepartment of Mathematical Sciences, Rensselaer Polytechnic InstituteOn the global minimization of the value-at-risk
30March, 5, 2004(Fri), 3:00pmWeil Hall 303Alexander ShapiroSchool of Industrial and Systems Engineering, Georgia Institute of TechnologyOptimization of convex risk functions
29February, 20, 2004(Fri), 3:00pmWeil Hall 307Michael C. FuRobert H. Smith School of Business and the Institute for Systems Research, University of MarylandOptimal exercise policies and simulation-based valuation for american-asian options
28February, 13, 2004(Fri), 3:00pmWeil Hall 307James A. PrimbsManagement Science and Engineering, Stanford UniversityMoment based Analysis of Portfolio Affine Hedging
27February, 6, 2004(Fri), 3:00pmWeil Hall 307Manfred GilliUniversity of Geneva, Department of EconomicsMeta-heuristics for Portfolio Optimization
26January, 16, 2004(Fri), 3:00pmWeil Hall 307Stathis TompaidisManagement Science and Information Systems Department, University of Texas at AustinTax Management Strategies with Multiple Risky Assets
25September, 5, 2003(Fri)Weil Hall 307Ray R. SturmFlorida Atlantic UniversityInvestor Confidence and Returns Following Large One-Day Price Changes
24August, 29, 2003(Fri)Weil Hall 307Dr. RyanDuquesne UniversityEntry, Exit, and Trading Profits: A First Look at the Trading Strategies of Professional Day Traders
23April, 30, 2003(Wed)Weil Hall 303Vladimir ZdorovtsovUniversity of South CarolinaLarge Price Declines, News, Liquidity, and Trading Strategies: An Intraday Analysis.
2225-Apr-03Weil Hall 307Dr. Vladimir DubininAutomated Trading DeskElectronic trading: Day two. Open problems
211-Nov-02Weil Hall 307Dr. Triphonas framework for measurement and control of risk - 'Optimum Risk Decisions'
2024-Oct-02FLG 245Prof. R. Tyrrell RockafellarUniversity of Washington (Seattle), Department of MathematicsApproaches To Risk In Optimization Under Uncertainty
1919-Apr-02Dr. Ursula A. TheilerRisk TrainingRisk-Return Management Approach for the Banking Portfolio
1812-Apr-02Prof. Lester IngberDUNN Capital ManagementStatistical Mechanics of Financial Markets: Applications to Trading Indicators and Options
1729-Mar-02Prof. Suvrajeet SenUniversity of ArizonaPower Portfolio Optimization
1629-Mar-02Prof. Eugene A. FeinbergState University of New York at Stony BrookElectric Load Pocket Modeling and Forecasting
151-Feb-02Dr. Alexander KreininAlgorithmics Inc.Calibration Problems in the Joint Market and Credit Risk Framework
1414-Dec-01Prof. Marian TuracUniversity of South FloridaOptimal Mix of Corporate Hedging Instruments: Linear versus Non-linear Derivatives
139-Nov-01Dr. Alexander EydelandMirant CorporationEnergy Derivatives
129-Nov-01Prof. Stavros A. ZeniosUniversity of Cyprus, and The Wharton Financial Institutions CenterFinancial Products with Guarantees: Applications, Models and Internet-based services
119-Nov-01Prof. Norio HibikiKeio University, Faculty of Science and Technology, JapanA Hybrid Simulation/Tree Stochastic Optimization Model for Dynamic Asset Allocation
1026-Oct-01Karl C. AshleyCoreGroup Services, Inc.Limits of Portfolio Diversification and Technical Analyses
927-Apr-01Georg Ch. PflugUniversity of Vienna, Dept. of Statistics and Decision Support SystemsRisk Measures and Optimal Portfolios
830-Mar-01Dr. Alexander GolodnikovGlushkov Institute of Cybernetics, Kiev, Ukraine Algorithms for Optimal Closing of Position
723-Mar-01Prof. Chanaka EdirisingheThe University of Tennessee, College of Business AdministrationMiSOFT: Multiperiod Interactive Stochastic Optimization for Financial Trading
619-Mar-01Dr. Matt PritskerThe Federal Reserve BoardThe Hidden Dangers of Historical Simulation for Risk Measurement
523-Feb-01Prof. Hiroshi KonnoTokyo Institute of Technology, Center for Research in Advanced Financial TechnologyPortfolio Optimization under Nonconvex Transaction Cost
42-Feb-01John M. MulveyPrinceton University, Bendheim Center for FinanceMulti-stage Optimization for Long-term Investors
316-Feb-01Prof. Tyrrell R.RockafellarUniversity of Washington, Department of MathematicsTaxes And Transaction Costs In Cash Stream Valuation
227-Nov-00Dr. Ron D'VariState Street Research Management CompanyApplication of Risk-Constrained Optimization In Constructing Consistent Family of ActiveFixedIncome Portfolios"
120-Oct-00Dr. Farid AitSahliaFinancial EnginesFast and Accurate Valuation of American Barrier Options