Organizational Meeting --
Alec Kercheval, FSU -- The skewed-t distribution for portfolio credit risk (with W. Hu)
Alec Kercheval, FSU -- Optimal covariances in risk model aggregation
Andrew Culham, FSU -- Computational Lucas model
Andrew Culham, FSU -- Computational Lucas model, II
Paul Beaumont, FSU -- Rational Investment at Disequilibrium
Vladimir Boginski, FSU Dept of Industrial Engineering -- Network-based Techniques for the Analysis of Stock Market Data
Abstract: We consider a network representation of the stock market data referred to as the market graph, which is constructed by calculating cross-correlations between pairs of stocks based on the opening prices data over a certain period of time. We study the evolution of the structural properties of the market graph over time and draw conclusions regarding the dynamics of the stock market development based on the interpretation of the obtained results.
Yevgeny Goncharov, FSU -- Two functional equations in financial mathematics
Spring Break
Ahmet Goncu, FSU -- TBA
No meeting
Alec Kercheval, FSU -- Price dynamics in a heterogeneous agent Lucas model
Manan Shah, FSU -- Postponed -- no meeting
Kyounghee Kim, FSU -- The Greeks for a European Style Asian Call
Manan Shah, FSU -- Random and Deterministic Digit Scrambling for the Halton Sequence: An Empirical Comparison