Financial Mathematics Seminar |

Organizer: Scot Adams

Usual time for Junior Seminar: Tuesdays at 2:30 pm, probably starting in October.

Usual Place for Junior Seminar: Vincent Hall 570.

Usual time for Practitioner's Seminar: occasional Fridays at 5:30 pm.

Usual Place for Practitioner's Seminar: Vincent Hall 570.

Some useful links, including slide presentations connected to some of the letures below.

NOTE: I expect that there will be no Financial Math seminars in September 2007. I hope to start seminars again in October. - Scot

DATE, TIME, PLACE |
SPEAKER |
TITLE |
---|---|---|

Tuesday 2 October 2007 at 2:30pm. Location: Vincent 570 |
Scot Adams, UMN-TC-Math | The ABCDEFs of Financial Mathematics We'll cover material from the online lecture series. |

Wednesday 22 August 2007 at 5:30pm. Location: Vincent 570 |
Group Discussion on CDO papers |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Discussion material: Term structures of credit spreads with incomplete accounting information Discussion material: CDO Correlation Primer (by Dodson) |

Wednesday 15 August 2007 at 5:30pm. Location: Vincent 570 |
Philip Jones (Ameriprise Financial) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Phil Jones will discuss the Carr paper mentioned on the second page. Carr paper slides (by Jones) |

Wednesday 8 August 2007 at 5:30pm. Location: Vincent 570 |
Yoav Tamir (Ameriprise Financial) Philip Jones (Ameriprise Financial) |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Yoav Tamir will discuss the Carr paper mentioned on the second page. Carr paper slides (by Tamir and Jones) |

Wednesday 1 August 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos Tolmasky will discuss Chapter 10. Chapter 10 slides (by Tolmasky) |

Wednesday 25 July 2007 at 5:30pm. Location: Vincent 570 |
Chris Bemis (Whitebox) Bill Barr (Riversource) |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Chris Bemis plans to discuss Chapter 5. Chapter 5 slides (by Bemis) Bill Barr will discuss Chapter 9. Chapter 9 slides (by Barr) |

Wednesday 18 July 2007 at 5:30pm. Location: Vincent 6 |
John Dodson (RiverSource) John Baxter (UMN) |
Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher John Dodson plans to finish Chapter 7. Chapter 7 slides (by Dodson) John Baxter will discuss Chapter 8. Chapter 8 slides (by Baxter) |

Wednesday 11 July 2007 at 5:30pm. Location: Vincent 6 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to finish Chapter 4, and John Dodson may begin (on Chapter 7). Chapter 2 slides (by Tolmasky) Chapter 3 slides (by Tolmasky) Chapter 4 slides (by Tolmasky) Chapter 7 slides (by Dodson) |

Wednesday 4 July 2007
NO SEMINAR. |
NO SEMINAR | NO SEMINAR |

Wednesday 27 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to finish Chapter 4, and John Dodson may begin (on Chapter 7). Chapter 2 slides (by Tolmasky) Chapter 3 slides (by Tolmasky) Chapter 4 slides (by Tolmasky) Chapter 7 slides (by Dodson) |

Wednesday 20 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to continue (possibly to Chapter 4), and John Dodson may begin. Chapter 2 slides Chapter 3 slides Chapter 4 slides |

Wednesday 13 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to talk on Chapter 2 (and maybe Chapter 3) today. Chapter 2 slides Chapter 3 slides |

Wednesday 6 June 2007 at 5:30pm. Location: Vincent 570 |
Carlos Tolmasky (Cargill) | Organizational meeting for Seminar on Credit Derivatives Book: Credit Derivatives Pricing Models by P. Schoenbucher Carlos plans to talk on Chapter 2 (and maybe Chapter 3) today. Chapter 2 slides Chapter 3 slides |

Wednesday 30 May 2007 at 3:30pm. Location: Vincent 1(CANCELED) |
CANCELED | CANCELED |

Wednesday 23 May 2007 at 3:30pm. Location: Vincent 1(CANCELED) |
CANCELED | CANCELED |

Wednesday 16 May 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota | continuation of Junior seminar in Financial Math slides |

Wednesday 9 May 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |

Wednesday 2 May 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Jason Vinar, GMAC-RFC |
The Current Crisis in the Subprime Mortgage Market abstract slides |

Wednesday 25 April 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math slides |

Wednesday 18 April 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |

Wednesday 11 April 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math slides |

Wednesday 4 April 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Carlos Tolmasky, Cargill |
Principal Component Analysis in Term Structure Modeling abstract slides |

Wednesday 28 March 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |

Wednesday 21 March 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |

Wednesday 14 March 2007 at 3:30pm. Location: Vincent 1 NOTE: This is Spring Break. I'll do an optional topic. If you miss this, you won't lose the thread. |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |

Wednesday 7 March 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Ryan Williams, Cargill |
Option Replication and Model Risk abstract slides |

Wednesday 28 February 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
continuation of Junior seminar in Financial Math |

Wednesday 21 February 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Gary Nan Tie, St. Paul Travelers |
Pricing in
Incomplete Markets: Relating Actuarial and Financial Paradigms abstract notes |

Wednesday 14 February 2007 at 3:30pm. Location: Vincent 1 |
Scot Adams, University of Minnesota |
start of Junior seminar in Financial Math |

Wednesday 7 February 2007 at 6:30pm. Location: Vincent 570 NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
Gary Nan Tie, St. Paul Travelers |
Pricing in
Incomplete Markets: Relating Actuarial and Financial Paradigms abstract notes |

Tuesday 6 February 2007 at 3:35pm. Location: Vincent 16 NOTE: This is a Junior colloquium. Note special time and location. |
Scot Adams, University of Minnesota |
Financial Mathematics at the University of Minnesota abstract |

Wednesday 24 January 2007 at 6:30pm. Location: Room 1832, Ameriprise HQ 707 Second Ave S Parking: Across skyway at 225 Sixth St S Have security desk at skyway level contact John Dodson (251-7432) for access NOTE: This is a special PRACTITIONER LECTURE. Note special time and location. |
John Dodson, Ameriprise |
Some Potential Topics for Future Seminar Meetings abstract slides |

Monday 27 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Chris Bemis | Ito's Lemma and Deriving the Black-Scholes PDE abstract Presentation: The Black-Scholes PDE from Scratch |

Monday 20 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Girsanov's Theorem
OR The immutability of volatility (continued) New version of powerpoint presentation, Lecture 5 |

Monday 13 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Girsanov's Theorem
OR The immutability of volatility Powerpoint presentation, Lecture 5 |

Monday 6 November 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Closing in on Black-Scholes
OR Mathematicians got it all Powerpoint presentation, Lecture 5 |

Monday 30 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | The Central Limit Theorem
OR Mathematicians got coin-flipping PDF file of lecture notes, see esp. "Part B" which starts on p. 16 |

Monday 23 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Delta-Hedging
OR Pricers got hedge Powerpoint presentation, Lectures 1 and 2 |

Monday 16 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | The Risk-Neutral World
OR Coin-flippers got price Powerpoint presentation, Lectures 1 and 2 |

Monday 9 October 2006 at 3:30pm. Location: Vincent Hall 6 |
Scot Adams | Mathematicians Got It All Presentation (just under 30 minutes, with audio) |

Wednesday 4 October | Will not meet this week. | Will not meet this week. |

Wednesday 27 September | Will not meet this week. | Will not meet this week. |

Wednesday, 20 September 2006 at 6:30pm in Ford 115 | Chris Bemis (University of Minnesota) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Numerical Methods for American Options (Chris Bemis) |

Wednesday, 13 September 2006 at 6:30pm in Ford B60 | Chris Bemis (University of Minnesota) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Numerical Methods for a Certain PIDE (Chris Bemis) |

Wednesday, 23 August 2006 at 6pm in Vincent 1 | Lei (Nick) Guo (University of Minnesota) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 10 (Nick Guo) |

Wednesday, 16 August 2006 at 6pm in Vincent 1 | Ryan Williams (Cargill) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 11 (Ryan Williams) |

Wednesday, 9 August 2006 at 6pm in Vincent 1 | Carlos Tolmasky (Cargill) John Baxter (University of Minnesota) |
Material from R. Cont and P. Tankov Financial Modelling with Jump Processes John Baxter's presentation |

Wednesday, 2 August 2006 at 6pm in Vincent 1 | Carlos Tolmasky (Cargill) | Material from R. Cont and P. Tankov Financial Modelling with Jump Processes |

Wednesday, 26 July 2006 at 6pm in Vincent 6 | Carlos Tolmasky (Cargill) Ryan Williams (Cargill) |
Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 8 |

Wednesday, 19 July 2006 at 6pm in Vincent 570 | Carlos Tolmasky (Cargill) Ryan Williams (Cargill) |
Material from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 2 Chapter 3 Chapter 4 summary |

Wednesday, 12 July 2006 at 6pm in Vincent 570 | Carlos Tolmasky (Cargill) | Chapters 2 and 3 from R. Cont and P. Tankov Financial Modelling with Jump Processes Chapter 2 Chapter 3 Chapter 4 summary |

Wednesday, 5 July 2006 at 6pm in Vincent 570 | Carlos Tolmasky (Cargill) |
Introductory meeting on Levi processes |

Wednesday, 28 June 2006 at 6pm in Vincent 570 | John Baxter (University of Minnesota) |
Introductory meeting on Levi processes |

Wednesday, 7 June 2006 at 4:30pm in Vincent 570 | Scot Adams (University of Minnesota) |
SDE-PDE connections slides |

Wednesday, 31 May 2006 at 4:00pm in Vincent 570 | Scot Adams (University of Minnesota) |
Risk-Return Basics abstract slides |

Wednesday, 24 May 2006 at 4:00pm in Vincent 570 | Scot Adams (University of Minnesota) |
Risk-Return Basics abstract slides |

Archive of previous semesters

Seminars
in the School of Mathematics.

e-mail: `adams@math.umn.edu
`