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::: Humboldt-Princeton Conference
This is the podcast of the Humboldt-Princeton conference,
held at Humboldt-Universität zu Berlin on October 27-28, 2007.
Introduction by Wolfgang Haerdle
Homogeneous Groups and Multiscale Intensity Models for Multiname Credit Derivatives
Dynamic Semiparametric Factor Models
Modeling and monitoring of the high-frequency intraday data
Large Covariance Matrix Estimation for Portfolio Allocation and Risk Management
MPS-Risk-Aversion and Continuous-Time Mean-Variance Analysis
On the Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility
Equilibrium Pricing in Incomplete Markets
Statistics of Risk Aversion/Empirical Pricing Kernels and Investor Preferences
Adverse Selection and Risk Minimization in a Principal Agent Game
Convex Hedging in Incomplete Markets
Monte Carlo Pricing of Callable Derivatives
Testing Monotonicity of Pricing Kernels/Skew Hedging
A large investor trading at market indifference prices
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