Seminars

Spring 2016

  • 2/11 Yacine Ait-Sahalia, Princeton
    Principal Components Analysis of High Frequency Data
  • 4/7 Pierre Spatz, Murex
    Effects of GPU, AAD and XVA on the Future Computing Architecture of Banks
  • 4/14  Shota Ishii, State Street Global Exchange, GX Labs
    Data Driven Analysis of Multi-Asset Class Portfolios
  • 4/21 Charles-Albert Lehalle, Capital Fund Management
    Optimal Trading
  • 4/28 Simon Scheidegger, Stanford Hoover
    Pricing American options under multi-factor models with recursive adaptive sparse expectations
  • 5/5 Eric Aldrich, UC Santa Cruz
    The Flash Crash: A New Deconstruction
  • 5/12 Robert Anderson, UC Berkeley
    PCA with Model Misspecification
  • 5/19 Mikhail Chernov, UCLA
    Macroeconomic-driven Prepayment Risk and the Valuation of Mortgage-Backed Securities
  • 5/26 Svetlana Bryzgalova, Stanford
    Spurious Factors in Linear Asset Pricing Models

 Fall 2015

  • 9/24 Bruce Cahan, Stanford
    Models of Ethical Leadership in Banking
  • 10/1 Markus Pelger, Stanford
    Understanding Systematic Risk: A High-Frequency Approach
  • 10/5 Peter Carr, Morgan Stanley
    Analogies between Bond Yields and Implied Volatilities
  • 10/15 Financial Technology Panel
    Evolution of Global Derivatives Capital Markets: Industry Practitioner’s Panel Discussion. 
  • 10/22 Philipp Strack, UC Berkeley
    Risk-Taking and Financial Competition: The impact of Fund Manager Compensation on Social Welfare
  • 10/26 Gustavo Schwenkler, Boston University
    Efficient Parameter Estimation for Multivariate Jump-Diffusions
  • 11/5 Ashby Monk, Stanford
    What’s Wrong with Finance and How to Fix It
  • 11/19 Andrew Lo, MIT
    Can Financial Engineering Cure Cancer?
  • 11/30 Torben Andersen, Northwestern University
    Pricing Short-Term Market Risk: Evidence from Weekly Options

Winter 2015

  • 2/11 Johan Walden, UC Berkeley
    Recovery with Unbounded Diffusion Processes
  • 2/18 Gustavo Schwenkler, Boston University
    The systemic externalities of benchmarking
  • 2/25 Alireza Tahbaz-Salehi, Columbia Business School
    Financial Intermediation Networks
  • 3/4 Samim Ghamami, Federal Reserve Board
    Derivatives Pricing under Bilateral Counterparty Default Risk: Path-Independent Probabilistic Valuation
  • 3/11 Agostino Capponi, Columbia University
    Price Contagion through Balance Sheet Linkages

Fall 2014

  • 9/11 Jin-Chuan Duan, National University of Singapore
    Actuarial Spread with Applications
  • 9/24 Stephan Ludwig, d-fine
    Change of financial networks through central clearing and collateralized banking
  • 10/1 Christopher Jones, Financial Engines
    Financial Engines and the scale economics of personalized wealth management
  • 10/8 Anders Trolle, EPFL Lausanne
    Liquidity Risk in Credit Default Swap Markets
  • 10/15 Romuald Elie, University Paris-Est
    A stochastic control approach to pricing and hedging in incomplete markets
  • 10/22 James Patterson, Capital One Labs
    Inventing the Future of Money
  • 11/5 Lisa Goldberg, UC Berkeley
    The Cost of Financing US Equity Through Futures
  • 11/12 Gerry Tsoukalas, Wharton
    Operationalizing Financial Covenants

Spring 2014

  • 5/28 Ronnie Sircar, Princeton University
    Energy Production and Mean Field Games
  • 5/21 Kenneth Judd, Stanford
    Numerical methods for solving dynamic portfolio problems
  • 5/14 Viktor Todorov, Northwestern University
    The Risk Premia Embedded in Index Options
  • 4/23 Paul Glasserman, Columbia Business School
    Robust Monte Carlo, Model Risk, and Counterparty Risk
  • 4/16 Timothy Levandoski, Eurex
    The Role of an International Derivatives Exchange: Futures & Options Products and Trading Technology
  • 4/9 Stefan Weber, Leibniz Universität Hannover
    Distribution-based Risk Measures and Their Implementation
  • 4/3 Jaksa Cvitanic, Caltech
    Moral Hazard in Dynamic Risk Management

Winter 2014

Fall 2013

  • 11/15 Tom Hurd, McMaster University
    Illiquidity and Insolvency Cascades in the Interbank Network
  • 11/6 Darrell Duffie, Stanford
    The Design of Libor and Other Interest Rate Benchmarks
  • 11/4 Nan Chen, Chinese University of Hong Kong
    Interconnected Balance Sheets, Market Liquidity, and the Amplification Effects in a Financial System
  • 10/30 Stan Uryasev, University of Florida
    The Fundamental Risk Quadrangle in Risk Management, Optimization, and Statistical Estimation