The Financial Engineering

Brown Bag Lunch

Tuesdays, 12:00-1:00, 329 Uris Hall
 
 
 

All are welcome!


 
 
June 15, 12:00-1:00 Pricing American Options by Simulation, 

Zachary Ha, 

Goldman Sachs and Columbia B School
 
 
 


June 22, 12:30-1:30 American Barrier Options with Shortselling Constraints

Hui Wang, 

Statistics Dept
 
 
 


June 29, 12:00-1:00 Pricing American Options Using Integral Equations 

Chunli Hou, 

Statistics Dept
 
 


July 6, 12:00-1:00 Pricing of Real Options: A Jump Diffusion Approach 

Steve Kou

IEOR Dept
 


July 13, 12:00-1:00 Cost-Effective Variance Minimization as a Strategy for Pricing and Hedging in Incomplete Markets

Tim Klassen

Physics Dept
 
 


July 20, 12:00-1:00 Variance Reduction for Estimating Value-at-Risk

Phil Heidelberger

IBM Research
 


 July 27, 12:00-1:00 A PDE Method for Computing Moments

Vijay Pant

PriceWaterhouseCoopers
 
 
 
 


Aug 3, 12:00-1:00 Linear Programming Duality and Equivalent Martingale Measures

Dong Shaw

IEOR Dept
 
 
 


Aug 10,
12:00-1:00
Martingale on Trees : A Convex Programming Approach to Finance

Garud Iyengar

IEOR Dept
 
 
 


Aug 17,
12:00-1:00
Low Discrepancy Lattices for Pricing Multi-Dimensional American Options

Mark Broadie

Business School