Room 207
http://www.math.columbia.edu/~smirnov/PractSeminar04.html
Speakers for the dates not shown below will be announced during the semester in class and on this website.
January 20, Tuesday, Ali Hirsa (Morgan Stanley) Arbitrage between statistical and risk neutral distributions
January 22, Thursday, M.Smirnov, Discussion of Class Projects
January 27, Tuesday,
Ali Hirsa (Morgan Stanley)
January 20, Tuesday, Ali Hirsa (Morgan Stanley) Arbitrage between statistical and risk neutral distributions
January 29, Thursday, M.Smirnov, Methods of Risk Management
February 3, Tuesday, Ali
Hirsa (Morgan Stanley)
January 20, Tuesday, Ali Hirsa (Morgan Stanley) Arbitrage between statistical and risk neutral distributions
February 5, Thursday, Ali Hirsa (Morgan Stanley) TBA
February 10, Tuesday, Ali Hirsa (Morgan Stanley) TBA
February 12, Thursday, Darren Clipston (Drake Management) Methods and Techniques of Convertible
Arbitrage
February 17, Tuesday, Albert
Shiryayev, (
The Problems Of The Quickest And
Most Accurate Detection In The Technical Analysis Of The Financial Data
February 19, Thursday, Albert
Shiryayev, The best stopping of Brownian motion without anticipation (as
close as possible to its ultimate
maximum).
February 24, Tuesday, Albert
Shiryayev, Poisson and Levy models in the quickest detection problems
Mathematization of the Japanese
RENKO and KAGI charting techniques (S.Pastukhov's results)
February 25, Wednesday, MATHEMATICS COLLOQUIUM
Albert Shiryaev, Mathematics of
A.N.Kolmogorov
February 26, Thursday, Albert Shiryayev , Some recent
results on Brownian motion with
Drift. Extension of the Levy
characterization theorem. On the probability characteristics of values of
downfalls
(drawdown) of prices described by a
Brownian motion and a Brownian motion with drift
February 27, Friday,
Tea and Coffee will be served
before the seminar at
Albert Shiryaev, On
Some Striking Properties Of Brownian Motion:
An extension of P.Levy
distributional properties to the case of a Brownian motion with drift and Ito's
processes. Probability characteristics of downfalls in a Brownian motion and
Brownian motion with drift. Stochastic integral representation of some partial maximum
functionals for Brownian motion. The limit behavior of the horizontal-vertical
random walk (an extension of the Donsker—Prokhorov invariance principle). An
analogue of the Wald identity for non-Markov time.
March 2, Tuesday,
Albert Shiryayev, Change of
time and change of measure as methods of the construction of processes and
distributions in the financial modeling. General ideas of the construction of
processes with complex structure via a change of time of processes with simple
structure.
March 4, Thursday, Albert
Shiryayev, Some new results of stochastic calculus and their applications in
mathematical finance
March 8, Monday, Statistics
Seminar Room 520 Mathematics Building Tea and Coffee will be served before the
seminar at
Albert Shiryayev, Solving The Problem Of The Quickest Detection
Of Change Of Parameter Of Poisson Process
March 9, Tuesday, Albert
Shiryayev, Recent results on the ``Ito formula'' with application to the option
pricing on finite intervals
March 11, Thursday, Albert
Shiryayev, Survey lecture on the general theory of optimal stopping (martingale
and Markov settings, discrete and continuous time) Panorama of applications to
the stochastic calculus (maximal inequalities), mathematical statistics
(sequential analysis), financial mathematics (option pricing)
March 23, Tuesday, TBA
March 25, Thursday, Ronen Israel (AQR) TBA
April 6, Tuesday, TBA
April 27, Tuesday TBA
Rick Klotz (Managing Director and Senior Risk Manager, Greenwich Capital) Understanding US Fixed Income Market (Mini-course with slide demonstrations) Note that the order of topics can be changed.
March 30, Tuesday, Rick
Klotz, (
April 1, Thursday, Rick
Klotz, (
Apr. 8, Thursday, Rick Klotz, (Greenwich Capital) Spot, Forward rates and Options
Apr. 13, Tuesday, Rick
Klotz, (
Apr. 15, Thursday, Rick
Klotz, (
Apr. 20, Tuesday, Rick
Klotz, (
Apr. 22, Thursday, Rick
Klotz, (
There is no Midterm or Final exam in this class. 100% of the grade will be calculated on the basis of the Course Project. Project can be a group project (similar to MAT 4071) or individual. Students must form a group, select a topic either themselves or in consultation with prof. Smirnov, and e-mail group list, topic and proposal to prof. Smirnov by February 12
The projects are due April 29 and will be presented on April 29, May 4 and 6 in class.
Recommended books (these books are given for reference purposes, students are not required to purchase them)
1. Albert N. Shiryaev, Essentials of Stochastic Finance: Facts, Models, Theory
World Scientific Pub Co; ISBN: 9810236050
2. Christina
ASIN: 1556232896
3. Paul Wilmott, Paul Wilmott on Quantitative Finance, 2 Volume Set, John Wiley & Sons;
ISBN: 0471874388