News

Events

Change of Dimension for Pricing Asian Options

Title: Change of Dimension for Pricing Asian Options Date: December 3 2015, 4:30 pm Room: Hunter North 1000 C Abstract: Pricing Asian options remains a challenging problem. No closed formula is known and in practice one must approximate the values either (a) by Monte...

Convergence of Gram-Charlier series

Title: Convergence of Gram-Charlier series Date: December 14 2015, 4:30 pm Room: Hunter North 1000 C Abstract: Some time at the end of the 1980s, there appeared options with a payoff involving the average of a traded asset. They were traded in Japan, so the adjective...

Visitors

Dr. Shigeru Chiba, University of Tokyo (Feb 22-26)

Dr. Shigeru Chiba from Computer Software Group at the University of Tokyo has on-going collaboration with professor Khatchadourian regarding programming interfaces to libraries with a fluent-API by chaining method calls, which is also known as domain-specific...

Doctoral student from University of Aarhus

Helena is a Doctoral student from the university of Aarhus. She is a student of Andrew du Plessis and has been working on models of image segmentation, focusing on noisy images. It’s a combinatorial optimization problem with a good helping of geometry, statistics, and...