VIGRE Financial Mathematics Seminar Series

Talks for Spring 2003

Date	Speaker	Title
Jan. 31	Cristian Tiu (UT Austin)	A Merton Problem with Partial Information
Feb. 14	Juyoung Lim (NYU Courant)	Pricing of Index Option and Average Implied Correlation
Feb. 21	Adam Oberman (UT Austin)	Convergent Explicit numerical schemes for American Options in Incomplete Markets
Feb. 28	Stathis Tompaidis (UT Austin)#	Valuation and Optimal Interruption for Interruptible Electricity Contracts
Mar. 7	Sasha Stoikov (UT Austin)	Optimal Investment in Market Environments with Stochastic Sharpe Ratios
Mar. 21	Peter Bank (Humboldt University)	Optimization Problems and Representation Theorems (Part I)
Mar. 28	Peter Bank (Humboldt University)	Optimization Problems and Representation Theorems (Part II)
Apr. 11	Andrew Lim (UC Berkeley)	Continuous Time Quadratic Hedging and Mean-Variance Portfolio Selection with Random Market Parameters
Apr. 18	Phil Dybvig (Washington University)*	To be announced
Apr. 18	Jan Vecer (Columbia University)	How to Beat a Stochastic Target
Apr. 21	William Zame (UCLA)*^	Prices and Portfolio Choices in Financial Markets: Theory and Experiment
May 2	Sergei Levendorskii (UT Austin)	Consistency conditions for affine term structure models

* Joint with the Finance Department Seminar.
# Joint with the Operations Research Department Seminar.
^ Joint with the Economics Department Seminar.

Talks for the current semester