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Professional Mathematical Finance Seminar

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Professional Mathematical Finance Seminar Archive

Yuhua Yu, Ph.D. - Head of Quantitative Research
Feb 18, 2014 - 6:30pm to 7:30pm
Applied Mathematics - Seminar - Life Sciences 129
The central clearing mandate of the 2010 Dodd-Frank law has a fundamental impact on the interest rate swaps market, the most traded OTC derivative. It took the regulators a long time to implement the rule and the mandate didn't take effect until June 2013, with many months, if not years, left... read more
Tue.
Feb 18
John Dodson - Vice President, Quantitative Risk Management at Option Clearing Corporation
Oct 18, 2013 - 12:00pm to 1:00pm
Applied Mathematics - Seminar - E1 104
Abstract: A key part of experiment design is determining how much data to collect. When the data comes in the form of a time series, the sample size can be expressed by the count N of the observations and the duration T of the historical period. For forecasting the drift of an asset price process... read more
Fri.
Oct 18