Seminars/Workshops/Lectures 2009

Research/Pedagogical Lectures

RMI Pedagogical Lecture Series Announcement

Prof. Paul Embrechts (ETH Zürich)
Lecture 1: 13 November 2009 (2.00pm-4.00pm)
~ An Introduction to Extreme Value Theory
[Slide 1] [Slide 2]
Lecture 2: 24 November 2009 (10.00am-12.00nn)
~ Statistics and Quantitative Risk Management
[Slide]

RMI Pedagogical Lecture Series Announcement

Prof. Yan Jiaan (Academy of Mathematics and Systems Science)
Lecture 1: 30 November 2009 (10.00am-12.00nn)
~ An Introduction to Mathematical Finance (I)
Lecture 2: 2 December 2009 (2.00pm-4.00pm)
~ An Introduction to Mathematical Finance (II)

Past Research/Pedagogical Lectures

RMI Pedagogical Lecture Series Announcement

Prof. Ruey S. Tsay (University of Chicago)
Lecture 1: 22 October 2009 (2.00pm-4.00pm)
~ Multivariate Volatility Modeling
[Paper 1] [Paper 2] [Slide 1] [Slide 2]
 Lecture 2: 28 October 2009 (10.00am-12.00nn)
~ Extreme Values and their Applications in Finance
[Paper]    [Slide]

RMI Research Lecture Series Announcement

Prof. Li Haitao (University of Michigan)
~ Option Pricing with Stochastic Volatility and Jumps
Lecture 1: 5 March 2009 (10.00am-12.00nn)
Lecture 2: 5 March 2009 (1.30pm-3.30pm)
[Slide]

RMI Research Lecture Series Announcement

Prof. Wolfgang Härdle (Humboldt University)
Lecture 1: 2 March 2009 (10.00am-12.00nn)
~ Extremes
Lecture 2: 2 March 2009 (2.00pm-4.00pm)
~ Joint Extremes, Copulae
Lecture 3: 3 March 2009 (10.00am-12.00nn)
~ Applications
[Slide]

RMI Research Lecture Series Announcement

Prof. Rene Garcia (EDHEC)
~ Performance Measurement for Hedge Funds: New Developments
Lecture 1: 4 February 2009 (9.00am-10.20am)
Lecture 2: 4 February 2009 ( 10.40am-12.00nn)
[Paper 1] [Paper 2] [Slide]