The Courant Institute of Mathematical Sciences,
New York University

Mathematical Finance Seminar
Fall Semester 2005

The seminar presents weekly lectures in financial modeling by leading researchers and practitioners. Meetings take place Thursdays from 5:30 to 7 p.m. in room 102 of Warren Weaver Hall, 251 Mercer St., at the NYU Washington Square campus. The seminar is free of charge and open to the public. This spring, the organizers are Marco Avellaneda, Peter Carr, Lilibeth Gecale, and Raphael Douady.

Selected lectures of the seminar are published periodically in a Proceedings Volume. For tables of contents, see Vol I , Vol II , Vol III

View past titles and abstracts from Fall 2000, Spring 2001, Fall 2001/Spring 2002, Spring 2003, and Fall 2003.

For information about the talks or to be included in our weekly e-mail list, please contact Lilibeth Gecale.

September 22, 2005 Claudio Albanese Imperial College
Functional lattice models for CDOs, CMSs, quantos and other hybrids (abstract)

September 29, 2005 Ales Cerny City University London
On the Structure of General Mean-Variance Hedging Strategies (abstract)

October 6, 2005 Sasha Stoikov Courant Institute
Pricing options from the point of view of a trader (abstract)

October 13, 2005 Lionel Martellini EDHEC
Dynamic Portfolio Choice with Parameter Uncertainty and
the Economic Value of Analysts' Recommendations (abstract)

October 20, 2005 Graciela Chichilnisky Columbia
Risk in Growth and Value Investment - An axiomatic approach (abstract)

November 10, 2005 George Skiadopolous University of Piraeus
Implied Volatility Processes: Evidence from the Volatility Derivatives Markets (abstract)