Seminars

Date/Time Place Name Affiliation Presentation
March, 25 2011 (Fri), 1:55 PM – 2:40 PM Weil Hall 303 Dr. Craig Friedman Standard&Poor’s Incorporating 4 Stylized Facts into Predictive Models
February, 18 2011 (Fri), 1:55 PM – 2:40 PM Weil Hall 307 Dr. Yonggan Zhao Dalhousie University An Investment Model via Regime-Switching Economic Indicators
January, 28 2011 (Fri), 1:55 PM – 2:40 PM Weil Hall 303 Dr. Ryan Garvey Duquesne University Latency Cost and Information:  Does Trading Speed Matter for All Market
Participants?
November, 19 2010 (Fri), 3:00 PM – 3:50 PM Weil Hall 303 Dr. Vladimir Fishman and Dr. AnatolyReynberg Experian Decision Analytics Evaluating the effect of model quality for large scale CRM optimization problem
November, 19 2010 (Fri), 4:05 PM – 4:55 PM Weil Hall 303 Dr. Vladimir Fishman and Dr. AnatolyReynberg Experian Decision Analytics Building neural network predictive models using transactional data
October, 8 2010 (Fri), 4:05 PM – 4:55 PM Weil Hall 234 Ilya Ryzhov Princeton University The exploration/exploitation dilemma in stochastic optimization
October, 1 2010 (Fri), 4:05 PM – 4:55 PM Weil Hall 234 Kenneth O. Kortanek University of Pittsburgh Solving Dynamic Cash Flow Matching Problems Under Uncertainty
April 16 2010 (Fri), 1:55 PM – 2:45 PM Weil Hall 303 Alan King IBM On Safeguarding the Financial System
April 6 2010 (Tue), 10:40 AM – 1:40 PM CSE E-118 R. Tyrrell Rockafellar University of Washington

University of Florida

 Workshop: The Fundamental Quadrangle of Risk in Optimization and Estimation
January 28 2010 (Tue), 1:55 PM Weil Hall 303 David Vogel Voloridge Investment Management Predictive Models of Financial Markets: Their Application in a Managed Portfolio
January 22, 2010 (Fri), 3:00 PM Weil Hall 303 Jean-Paul Watson Discrete Algorithms and Complex Systems Department, Sandia National Laboratories Scalable Heuristics for Stochastic Programming with Scenario Selection
January 22, 2010 (Fri), 4:05 PM Weil Hall 303 William Hart Discrete Math and Complex Systems Department, Sandia National Laboratories Formulation and Optimization of Robust Sensor Placement Problems for Contaminant Warning System Design
December 4, 2009 (Fri), 3:00 PM Weil Hall 303 Bakhodir Ergashev The Federal Reserve Bank of Richmond, Charlotte Branch The Bayesian Approach to Extreme Value Estimation in Operational Risk Modeling
April 3, 2009 (Fri), 2:00 PM Weil Hall 303 Mark McDonald Vanderbilt University Representation and Propagation of Epistemic andAleatory Uncertainty through Computational Models
October 27, 2008 (Mon), 4:05 PM CSE E122 Giray Ökten Department of Mathematics
Florida State University		 Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
October 10, 2008 (Fri), 4:05 PM Weil Hall 303 Jun-ya Gotoh Department of Industrial and SystemsEngineering
Chuo University		 On the Out-of-Sample Performance of VaR/CVaRMinimizing Portfolio
September 18, 2008 (Thu), 4:05 PM Little Hall 109 Vladimir Bugera American Express Credit Card Industry Today: Impact of Slowing Economy on Consumer Behavior
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. TyrrellRockafellar</ 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. TriphonasKyriakis 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. TyrrellRockafellar 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. AlexanderKreinin 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. AlexanderEydeland 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. AlexanderGolodnikov Glushkov Institute of Cybernetics,
Kiev, Ukraine		 Algorithms for Optimal Closing of Position
March 23, 2001
(Fri)		   Prof. ChanakaEdirisinghe 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 ActiveFixedIncome Portfolios”
October 20, 2000
(Fri)		   Dr. Farid AitSahlia Financial Engines Fast and Accurate Valuation of American Barrier Options

 


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