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Schedule, Notes/Handouts & Videos

MSRI-UP 2011: Mathematical Finance June 21, 2011 - July 24, 2011

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Jul 22, 2011
Friday
09:00 AM - 10:00 AM
  Modelling Volatility Derivatives
Nathan Belete, Raymond Perkins, Kendra Pleasant
10:00 AM - 11:00 AM
  Analyzing Intraday Movement of VIX Derivatives
Michelle Bongard, Joseph LaBriola, Vishnu Thaver
11:00 AM - 12:00 PM
  Semi-Dynamic Hedging With Transaction Costs
Andrea Arauza (University of California, Riverside), Jason Bello
01:00 PM - 02:00 PM
  Investigating the Use of Volatility Derivatives to Hedge Portfolios
Kerisha Burke, Nathan Lopez, Jasmine Osorio
02:00 PM - 03:00 PM
  Conditioning the Capital Asset Pricing Model with Volatility
Allyson Blizman, Elisa Rosales, Alejandro Samaniego
03:00 PM - 04:00 PM
  Pricing American Options using the Longstaff-Schwartz Algorithm
Daniel Matovu, Adrian Ochoa, Mike Osorio