|
VIGRE Introductory Seminar: Computational Finance |
Fall 2003: Upcoming Speakers
September
10: Donald
Williams “Derivative Financial Products”
September
17: Richard
Shek “Market Crashes Throughout History”
September
24: Rachel Gelman “Exchanges”
October 1: Chad Bhatti “Some Notes on Brownian Motion and Its
Relationship to Black-Scholes”
October 8: Gretchen Fix “A Brief Overview of Current Research on Dividends”
October
15: William
C. Wojciechowski “Common Risk Measures – Descriptions and Comparisons”
October
22: Wei Zhu “An Introduction to Econometrics”
October
29: William C. Wojciechowski “Beating the
Market: The struggle against efficiency, randomness, and friction.”
November
12: Amanda Geck “Evaluating
Credit Risk Models Using Loss Density Forecasts: A Synopsis.”
November
19: Lada Kyj “Bond
Risk Measures”
November
26: Ginger Davis “An
Introduction to Time Series”
December 3: Matthias Mathaes “Introduction to Derivatives”
Matthias Mathaes
STAT
Introduction
to Derivatives
This presentation will introduce examples of financial derivatives. The term financial derivative is a very broad term, which has come to mean any financial transaction whose value depends on the underlying value of the asset. A forward contract would be the simplest form of a financial derivative. The main part of the presentation focuses on the application and the pricing of forward contracts, future contracts and option contracts in simple settings.
Wednesday, December 03, 2003
12:00 –1:00pm
DH 1042
Ginger Davis
STAT
An Introduction to Time Series
This talk will introduce the topic of time series. We will define concepts important in time series analysis and examine and compare several time series processes--establishing the basic building blocks used in time series. We will then provide a motivating example using financial data, which will use these building blocks to construct a more complex model.
Wednesday, November 26, 2003
12:00 –1:00pm
DH 1042
Lada Kyj
STAT
Bond Risk Measures
This talk will introduce the basics of bond risk measures. It will identify and discuss the primary characteristics of a bond, as well as develop the basic framework for pricing. The relationship between price and yield will be discussed and common risk measures such as duration and convexity will be defined mathematically. The talk will conclude with curve fitting, an important research topic in yield curve estimation.
Wednesday, November 19, 2003
12:00 –1:00pm
DH 1042
Amanda Geck
CAAM
Evaluating Credit Risk Models Using Loss Density
Forecasts: A Synopsis
There has been very little research, empirical or theoretical, in evaluating the quality of current credit risk models. In their 2003 paper, Hergen Frerichs and Gunter Löffler test the power of asset value models considering the entire loss probability density using the Berkowitz test procedure and Monte Carlo simulations. Models both ignoring and accounting for recovery rate and migration risk are compared, and robustness to variations in parameters from the two-state base case is examined.
Wednesday, November 12, 2003
12:00 –1:00pm
DH 1042
William C. Wojciechowski
Post Doc
STAT
Beating
the Market: The struggle against efficiency, randomness, and friction
Efficient markets, random walks, and market friction imply that active investing is an exercise in futility. Thus, one should passively invest and that is the best one can do. On the other hand, many active investors feel that diligence and discipline enable one to obtain superior returns over the market. This debate has generated a large amount of discussion and no final verdict has been reached. We review the concepts that have fueled the controversy and provide some evidence that it is possible to beat the market.
Wednesday, October 29, 2003
12:00 –1:00pm
DH 1042
Wei Zhu
MATH
An Introduction to
Econometrics
Econometrics is the application of statistical theories to economics for the purpose of forecasting future trends. It tests economic models using statistical methods, and the results can be compared and contrasted against real life examples. In this talk, we will only cover some basic concepts and models of econometrics, such as demand, supply, the production function, and the Walrasian equilibrium. Mainly, we will use a very important theorem called the "Kuhn-Tucker Condition" to describe some properties when a nonlinear layout attains its optimum solution.
Wednesday, October 22, 2003
12:00 –1:00pm
DH 1042
William C. Wojciechowski
Post Doc
STAT
Common Risk
Measures – Descriptions and Comparisons
Market globalization, technology advancements, and the introduction of new financial instruments have opened new opportunities for world-wide capital markets. Because of these changes, it is now more imperative than ever that financial institutions understand and quantify their risks. As a result, practical and effective risk measures are necessary. Unfortunately, defining and quantifying risk is a daunting task. By describing and comparing several common risk measures, this talk demonstrates the challenge of finding an appropriate risk measure. Simulated scenarios facilitate the comparisons and demonstrate the rational and irrational behavior of the common risk measures.
Wednesday, October 15, 2003
12:00 –1:00pm
DH 1042
Gretchen Fix
STAT
A Brief Overview of Current Research on Dividends
This presentation will introduce the audience to the topic of dividends. The first part of the presentation will consist of summaries of four journal articles on the topic. A common theme will be the changing nature of dividend prevalence over the past twenty years. The second part of the presentation will introduce a statistical approach known as survival analysis and explore its implementation in the study of dividend payout policy.
Wednesday, October 8, 2003
12:00 –1:00pm
DH 1042
Chad Bhatti
STAT
Some Notes on
Brownian Motion and Its Relationship to Black-Scholes
This talk will begin in the first
seminar and conclude in the second seminar. We will develop the Brownian motion
process as the limit of a Random Walk and define the properties of Brownian
motion. We will examine the return process of the S&P 500 over
several time spans with monthly and daily sampling frequency and compare our
empirical findings with the Brownian motion hypothesis. We will discuss how
defining the price process as a geometric Brownian motion builds implicit
assumptions into the Black-Scholes model and how the Black-Scholes differential
equation is derived from a no arbitrage replicating portfolio.
This talk is titled "Notes" because we will offer no definitive
statements nor claim any original presentation or ideas. The purpose of
this talk is to introduce the student to a popular continuous time model and to
better develop a understanding of a popular and tractable but not the most
pliable option pricing model.
Wednesday, October 1, 2003
12:00 –1:00pm
DH 1042
Rachel Gelman
Sophmore
Exchanges
Without the active involvement of the nearly 85 million investors in the United States alone, the welfare of the economy would certainly be in jeopardy. Investor confidence in markets is crucial to maintaining the capital market system and its growth. In order for an investor to entrust any of their assets to the market, they must have access to up to date information, dependable assistance and contact with a fair playing field. Exchanges around the world are the fundamental tools for investors to trade stocks, securities, commodities, options and futures. These exchanges provide a wealth of information to the public and are accessible to virtually anyone with a computer. According to the basic economic laws of supply and demand, market professionals act for the wishes of buyers and sellers to determine commodity prices. Investors around the world can trade with confidence in exchanges including the NYSE, Amex, NASDAQ, London Stock Exchange and Tokyo Stock Exchange.
Wednesday, September 24, 2003
12:00 –1:00pm
DH 1042
Richard Shek
Senior
Market Crashes Throughout History
Although civilization has existed for thousands of years, sizable market economies have only existed in the last several hundred years. Nevertheless, from the beginning market crashes have occurred in various frequencies throughout the market economies of Europe and North America. Many market crashes can be attributed to hyped-up speculation bubbles, structural flaws, and weaknesses within the market mechanism. This presentation will skim through some of the most famous market crashes in history, from the earliest recorded speculation fever, the 17th century Tulipmania, to our latest bear market in 2000. Hopefully these historical case studies will help us dissect the causes, results, and lessons of these market crises.
Wednesday, September 17, 2003
12:00 –1:00pm
DH 1042
Donald Williams
Doctoral Candidate
CAAM
Derivative Financial Products
Over the past decade, financial derivatives have continued
to evolve and play a more integral role in global financial markets. For
example, the total estimated value of outstanding over-the-counter derivative
contracts stood at almost $128 trillion in 2002, up from an estimated $3
trillion in 1990. The complexity of new derivative product innovations driving the
unabated growth poses major challenges for conventional pricing algorithms and
can lead to unrealistic models and valuation inaccuracies. The economic
implications to financial risk management and corporate decision analytics are
far reaching. Fundamental to many
complex derivative financial products is the valuation and optimal exercise of
options with American-style exercise features. In this talk, some fundamental
notions are set forth regarding option contract
specifications and the mathematical machinery employed for the mathematical
modeling and valuation of these financial products.
Wednesday, September 10, 2003
12:00 –1:00pm
DH 1042