Financial Mathematics Seminars 2000-2001 sponsored
by
Organizing Committee
April 25, 2001
• Yisong Tian, Schulich School of Business, York University
Optimal
Contracting, Incentive Effects and the Valuation of Executive Stock
Options
• Tom McCurdy, University of Toronto
News Arrival, Jump Dynamics
and Volatility Components in Individual Stock Returns
March 28, 2001
• Tom Hurd, McMaster University
Pricing
in Markets Driven by General Processes with Independent Increments
• Robert Engle, Stern School of Business, New York University
Dynamic
Conditional Correlations
February 28, 2001
• Matt Davison, University of Western Ontario
Discrete and Continuous-Time
Approaches to Modelling Spot Electricity Prices
• Stathis Tompaidis, McCombs School of Business, University
of Texas at Austin
Market Imperfections, Investment
Optionality and Default Spreads
January 31, 2001
• Jean-Marie Dufour, Université de Montréal
Simulation-based finite-sample inference in multivariate regressions,
with applications to asset-pricing models
[paper1 - pdf] [paper2
- pdf] [paper1 - ps] [paper2
- ps]
• Raymond Kan, Joseph L. Rotman School of Management, University
of Toronto
Tests of Mean-Variance Spanning
November 22, 2000
• Peter Carr, Bank of America Securities
On the Nature of Options
• George Jiang, Schulich School of Business, York University
Estimation of Continuous
Time Processes via the Emperical Characteristic Function
October 25, 2000
• Marcel Rindisbacher, Joseph L. Rotman School of Management, University
of Toronto
Insider Information,
Arbitrage and Optimal Portfolio and Consumption Policies
• S. David Promislow, Department of Mathematics & Statistics,
York University
Mortality Derivatives
and the Option to Annuitize
September 27, 2000
• Raymond Ross - Ontario Power Generation
Dynamics of Electricity Spot
and Forward Prices and the Valuation of Contingent Claims
• Robert Almgren, University of Toronto
Optimal Execution with Liquidity
Risk
