I just received a copy of the special issue of the International Journal of Theoretical and Applied Finance dedicated to our workshop on Foundations of Mathematical Finance, for which yours truly served as a guest editor together with Marco Frittelli.
The special issue on Computational Finance is already completed and should go into production soon. The third and final special issue that IJTAF agreed to publish in connection with the thematic program, on Derivative and Risk Management, will appear early next year.
Thursday, May 19, 2011
Friday, May 6, 2011
Quantitative Finance Seminars - Season Finale
The last two talks in Quantitative Finance Seminar series for this academic year took place last Wednesday at the Fields Institute.
The first speaker with Xunyu Zhou (Oxford), who has been playing a key role in the field of behavioural finance in recent years. Specifically, while behavioural economists are busy finding and cataloguing all sorts of less than rational traits, XYZ (as he is affectively known) set himself the task of exploring the consequences of things like S-shaped utility functions and probability distortions in concrete problems in finance. Most importantly, he has devised methods for actually solving these non-standard optimization problems (most notably the quantile method), thereby turning what economists see as ugly pathologies into beautiful mathematics.
In the second talk, Patrick Cheridito (Princeton) proposed and analyzed a very general framework based on affine process where equity and credit risk problems can be treated in a unified manner, a hot topic that was central to one of the workshops held in our thematic program last year.
The seminar series will return in September for another year of high caliber talks. Stay tuned.
The first speaker with Xunyu Zhou (Oxford), who has been playing a key role in the field of behavioural finance in recent years. Specifically, while behavioural economists are busy finding and cataloguing all sorts of less than rational traits, XYZ (as he is affectively known) set himself the task of exploring the consequences of things like S-shaped utility functions and probability distortions in concrete problems in finance. Most importantly, he has devised methods for actually solving these non-standard optimization problems (most notably the quantile method), thereby turning what economists see as ugly pathologies into beautiful mathematics.
In the second talk, Patrick Cheridito (Princeton) proposed and analyzed a very general framework based on affine process where equity and credit risk problems can be treated in a unified manner, a hot topic that was central to one of the workshops held in our thematic program last year.
The seminar series will return in September for another year of high caliber talks. Stay tuned.
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