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Submitted by admin on Fri, 06/29/2007 - 4:27pm.

Taking Market Risk into Account in Portfolio Optimization

Submitted by jlongwor on Thu, 02/09/2012 - 1:21pm.
Feb 16 2012 - 12:00pm
Feb 16 2012 - 12:50pm
Speaker: 

Babacar Seck

Location: 
MS 431

We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in portfolio optimization problem.

Introduction to Bayesian Inference

Submitted by jlongwor on Tue, 02/07/2012 - 8:47am.
Feb 9 2012 - 4:00pm
Feb 9 2012 - 4:50pm
Speaker: 

Zheng Yuan (Icy)

Location: 
MS 365

This talk will give general audience a brief introduction to biography of Thomas Bayes, Bayes Theorem and Bayesian Inference. Detailed illustration using examples is provided with emphasis on data analysis.

An introduction to class field theory, concluded

Submitted by ccunning on Mon, 02/06/2012 - 1:41pm.
Feb 9 2012 - 4:00pm
Feb 9 2012 - 5:00pm
Clifton_at_TIFR.JPG
Speaker: 

Clifton Cunningham, University of Calgary

Location: 
Bio Sci 540 B in Calgary; joint with UofA and UBC

Seminar on Class Field Theory

Stein-like theory for Banach-valued holomorphic functions on the maximal ideal space of algebra of bounded holomorphic functions

Submitted by rmmoffat on Mon, 02/06/2012 - 10:50am.
Feb 9 2012 - 2:00pm
Feb 9 2012 - 2:50pm
Speaker: 

Alexander Brudnyi

Location: 
MS431

We study Banach-valued holomorphic functions defined on open subsets
of the maximal ideal space of the Banach algebra H of bounded holomorphic
functions on the unit disk D ⊂ C with pointwise multiplication and supremum
norm.

Smiling for the Delayed Volatility Swaps

Submitted by jlongwor on Fri, 02/03/2012 - 4:27pm.
Feb 9 2012 - 12:00pm
Feb 9 2012 - 12:50pm
Speaker: 

Nelson Vadori

Location: 
MS 431

Using change of time method, we derive a closed-form formula for the volatility swap in an adjusted version of the Heston model with stochastic volatility with delay. The numerical result is presented for underlying EURUSD on September 30th 2011. The novelty of the result is two-fold: application of change of time method to the delayed Heston model and calculation of the volatility swap for this model.