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.

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