UW Math-Finance Forum

Math Finance Coordinators:
Fred Sterbenz & S. S. Sritharan
Math-Finance Interdisciplinary Masters Degree Program -details forthcoming.

Spring 2008

All meetings will be held in Ross Hall 308.
Friday Feb 22	3.10-3.40pm: Pani Fernando, Math Dept.: “Stochastic Mean Reverting Processes”. 3.40-4:00pm: Discussion

All meetings will be held in Ross Hall 308.
Friday Nov 16 4:10pm	4.10-4:30pm: James Gunderson, Economics & Finance: “Information-Aggregation Bias in Representative Agent Pricing Models”. 4.30-4:35pm: Discussion 4:35-4:50: Gerhard Hambusch, Economics and Finance, UW "Wall Street 101: Financial Markets, Institutions and Indices" - Click here to view lecture slides. 4:50-5:00: Discussion


Friday Oct 26	3.10-3:25pm: Fred Sterbenz: “The Heston's Model for the Volatility of the underlying asset”. 3.25-3:45pm: S.S. Sritharan: “On the mathematics of Heston's Model" 3:45-4:00pm: Discussion


Friday Oct 5	3.10-3:35: Gerhard Hambusch (UW Economics and Finance): “Optimal execution and timing of Environmental policies-I”. - Click here to view lecture slides. 3.35-4:00: Charles Sims (UW Economics & Finance): “Optimal execution and timing of Environmental policies-II".


Friday Sept 14	3.10-4:00: Barbara Rudiger of University of Koblenz-Landau and University of Bonn will lead a presentation and discussion on "Stochastic Interest Rate Models".

All meetings will be held in Ross Hall 308.
Feb 2	3.10-3.20: The Concept of Option Pricing (Fred Sterbenz) 3.20 -3.30: The Black-Scholes model in option pricing (Sri) 3.30-4.00: Discussion


Feb 9	3.10-3.30: The Concept of Arbitrage (Fred Sterbenz) 3:30-3.50: Explicit Solution of the Black-Scholes Equation (Sri) 3.30-4.00: Discussion


Feb 16	3.10 -3.30: *Arbitrage & Equivalent Martingale Measures* (Sri) 3.30-4.00: Discussion


Feb 23	3.10-3.30: Interest Rate Forecasts in Affine Models (Silvia Popa) 3.30-4.00: Discussion


March 2	3.10-3.30: Introduction to *Girsanov transform* (Hakima Bessaih) 3.30-4.00: Discussion


March 9	3.10-3.30: Option Pricing with Discontinuous Stock Returns: Robert Merton 1976 and Beyond (Sri, Fred Sterbenz) 3.30-4.00: Discussion on Options


March 30	3.10-3.25: *Russian Option* (Pani Fernando) 3.25-3.45: Discussion on Exotic Options 3.45-4.00: Computational Simulation of Black-Scholes & Merton 1976 Models (David Anton)


April 13th	3.10-3.30: Fractional Brownian Motion and Arbitrage Opportunity (Chandana Wigeratne) 3.30-4.00: Discussion on Options


April 27th	3.10-3.25: Jump Processes in Market for Crude Oil (Neil Wilmot) 3.25-3.45: Discussion 3.45-4.00: Discontinuous Stock Returns and Incompleteness of the Market: Merton Meets Levy and Girsanov (Sri)