September 15 |
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The adaptive Poisson disorder problem: Part I
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September 22 |
David Kausch
Department of Mathematics, University of Michigan
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An analysis of US pension funding reform |
September 29 |
David Promislow
Department of Mathematics and Statistics, York University
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Comparison principles for nonlinear parabolic equations |
October 6 |
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Financial valuation of mortality risk using the instantaneous sharpe ratio
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October 13 |
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Solving optimal switching problems by simulation
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Virginia (Jenny) Young
Department of Mathematics, University of Michigan
Joint with Differential Equations Seminar
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Financial valuation of mortality risk: Pricing and hedging under stochastic hazard rates |
Friday
October 21 |
Steven Kou
Industrial Engineering and Operations Research
Columbia University Joint seminar with AIM |
Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump risk
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October 27 |
Not meeting this week |
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Friday
November 4 |
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Correspondence between lifetime minimum wealth and utility of consumption
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November 10 |
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Optimal and simple, nearly-optimal rules for minimizing the probability of financial ruin in retirement |
December 1 |
Ioannis Karatzas
Department of Mathematics, Department of Statistics
Columbia University
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Volatility stabilization, arbitrage, and Bessel processes |
December 8 |
Kay Giesecke
Department of Management Science and Engineering
Stanford University
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A top down approach to multi-name credit
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January 19 |
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Applying a comparison theorem for PDEs to the Black-Scholes equation
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January 26 |
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A direct solution method for optimal switching problems of one-dimensional diffusions
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February 2 |
Jussi Keppo
Department of Industrial and Operations Engineering
University of Michigan
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Does the market risk requirement affect bank behavior?
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February 9 |
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Pricing options from the point of view of a trader
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February 16 |
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Pricing annuities under stochastic mortality via the instantaneous Sharpe ratio
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February 23 |
Haitao Li
Department of Finance, Ross School of Business
University of Michigan
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Interest rate caps "smile" too! But can the LIBOR market models capture
it?
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March 2 |
Not meeting this week |
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March 9 |
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March 16 |
Not meeting this week |
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March 23 |
*** Postponed until 4/13/06 ***
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*** Postponed until 4/13/06 ***
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March 30 |
Andrew Lim
Department of Industrial Engineering and Operations Research
University of California, Berkeley
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A Relative performance approach to robust portfolio selection when there is model ambiguity
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April 6 |
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Time-consistency of indifference prices and monetary utility functions |
April 13 |
Tim Maull
Department of Industrial and Operations Engineering
University of Michigan
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Optimal firm employment under firing costs and delays
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