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About the Department |
Financial Mathematics Seminar ·
Dr. Kiseop Lee will speak on Wednesday, May 21, 2008, Abstract: The
liquidity risk is the additional risk due to the timing and size of the
trade. Since the traditional asset pricing theory is based on markets without
this risk, and this does, of course, exist, we need to consider a modified
market including liquidity effect. Based on the theory of Cetin et al (2004), we study an
asymptotically optimal hedging strategies and convergence rate. Also, we
discuss how to estimate the supply curve using the segmented regression and
the constraint least square method. . Financial Mathematics Seminar – Past Events: ·
Yan Yu, Semiparametric Estimation for
Time-Inhomogeneous Diffusion Processes, April 16,
2008 ·
Henrik Shahgholian,
A Free Boundary Approach to American-Type Problems, March 5, 2008 ·
Robert Kimmel, Series Solutions to Asset Pricing Problems, ·
Srdjan Stojanovic: Equity
Valuation and Market Share Dynamics, October 31st 2007 · Hui Gou: Idiosyncratic Stock Volatility and Foreign
Exchange Rates, October 17th 2007 · Srdjan Stojanovic: FX Rates, FX Derivatives, and Why the Japanese Yen Falls When Investors Ignore Risks, October 3rd 2007. |
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