| Date/Time | Place | Name | Afilliation | Presentation |
|---|---|---|---|---|
| February, 28 2011 (Tue), 4:05 PM – 4:55 PM | Weil Hall 303 | Peter Tsyurmasto | University of Florida | Implementation of CVaR-based Support Vector Machine with Portfolio Safeguard |
| February, 28 2011 (Tue), 3:00 PM – 3:50 PM | Weil Hall 303 | Dr. Pando Georgiev | University of Florida | Reproducing Kernel Banach Spaces and machine learning |
| February, 28 2011 (Tue), 1:55 PM – 2:45 PM | Weil Hall 303 | Prof. Akiko Takeda | Keio University | A Unified Classification Model Based on Robust Optimization |
| February, 28 2011 (Tue), 12:50 PM – 1:40 PM | Weil Hall 303 | Prof. Jun-ya Gotoh | Chuo University | On Interactions between Financial Risk Minimization and Statistical Learning |
| 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 WashingtonUniversity 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 | 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 | 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. 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. 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 ActiveFixedIncome Portfolios" | |
| October 20, 2000 (Fri) | Dr. Farid AitSahlia | Financial Engines | Fast and Accurate Valuation of American Barrier Options |