University of Minnesota
University of Minnesota
http://www.umn.edu/
IMA Web

Probability and Statistics in Complex Systems: Genomics, Networks, and Financial Engineering, September 1, 2003 - June 30, 2004

Material from IMA Talks

IMA Workshop:

Risk Management and Model Specifications Issues in Finance

April 12-16, 2004

Photo Gallery       Abstracts

Marco Avellaneda (Courant Institute of Mathematical Sciences (CIMS), New York University)
Slides:   PinningSlides.pdf
Paper:   qf3601.pdf
abstract

David S. Bates (University of Iowa and NBER)
Paper:
  pdf
abstract

Rama CONT (Centre de Mathematiques Appliquees, Ecole Polytechnique, France)
Paper:   pdf
abstract

Alexandre d'Aspremont (Department of Electrical Engineering and Computer Science, University of California, Berkeley)
Slides:   pdf
abstract

Nicole EL KAROUI (Centre de Mathématiques Appliquées Ecole Polytechnique) elkaroui@cmapx.polytechnique.fr
Slides:   IMA2004.pdf    IMARisk04_3.pdf
Paper:   pdf
abstract

Hans Föllmer (Institut für Mathematik, Humboldt Universität zu Berlin)
Slides:   pdf
abstract

Jean-Pierre Fouque (Department of Mathematics, North Carolina State University)
Slides:   pdf
abstract

Craig Alan Friedman (Standard and Poor's and New York University's Courant Institute of Mathematical Sciences)
Slides:   html   pdf    ps    ppt
abstract

Hélyette Geman (DESS 203 "Security Markets, Commodity Markets and Risk Management" University Paris Dauphine & ESSEC)
Articles:  Pure Jump Lévy Processes for Asset Price Modelling.pdf
Stochastic Volatility for Lévy Processes.pdf
abstract

Peter W. Glynn (Department of Management Science and Engineering, Stanford University)
Slides:   pdf
abstract

Chuan-Hsiang (Sean) Han (Institute for Mathematics and its Applications, University of Minnesota)
Slides:   pdf

Victor Isakov (Department of Mathematics and Statistics, Wichita State University)
Lecture:   pdf    ps
abstract

Kiseop Lee (University of Louisville) and Seongjoo Song (Purdue University)
Slides:   pdf    ps
abstract

Wei Li (Department of Finance, Henry B. Tippie College of Business, The University of Iowa)
Paper
:   pdf
abstract

Dilip B. Madan (Robert H Smith School of Business, University of Maryland)
Paper:   pdf
abstract

Francesco Rapisarda (Product and Business Development Group, Banca IMI - Milan (Italy))
Slides:   pdf
Papers:
  MultivariateSmile.pdf    UncertainVolModel.pdf
abstract

Rituparna Sen (Department of Statistics, University of Chicago)
Slides:   pdf    ps
abstract

Michael Stutzer (Burridge Center for Securities Analysis and Valuation, Leeds School of Business)
Slides:   pdf
abstract

Peter Tankov (Ecole Polytechnique, France)
Paper:
  pdf
Slides:   pdf    ps
abstract

Thaleia Zariphopoulou (Department of Mathematics, University of Texas at Austin)
Slides:   zariphopoulou1.pdf    zariphopoulou2.pdf
abstract

Yong Zeng (Department of Mathematics and Statistics, University of Missouri at Kansas City)
Slides:   pdf    ps
abstract

Gady Zohar (Faculty of IE & Management Technion - Israel Institute of Technology)
Paper:   pdf
abstract

 

Photo Gallery       Abstracts

Probability and Statistics in Complex Systems: Genomics, Networks, and Financial Engineering, September 1, 2003 - June 30, 2004