Former Discussion Seminars on Finance

Paper & Lecture Notes

Date	Discussion leader	Topic	Major references
09/05/2008	Song Chen	Introduction to option pricing and related statistical issues	Sec. 1-2 of Merton (1973)
09/12/2008	Zheng Xu	Properties about European/American options	Sec. 2 of Merton (1973)
09/19/2008	Zheng Xu	Relationship between put and call options	Sec. 3-4 of Merton (1973)
09/26/2008	Shan Yang	Black-Scholes option price formula	Black-Scholes (1973) and Sec. 5-6 of Merton (1973)
10/03/2008	Hainan Huang	Empirical study about Black-Scholes formula	Black-Scholes (1972)
10/10/2008	Hainan Huang	Capital asset pricing model (CAPM)	Ch 2-3 of Pennacchi, Sharpe (1964), Lintner(1965), and Mossin(1966)
10/24/2008	Shan Yang	Option pricing for bond(outline, notes)	Vasicek (1977), CIR (1985) and Jamshidian (1989)
11/07/2008	Yili Hong Zheng Xu	Related financial statistics problems exploration	Ait-Sahalia and Duarte (2003)
11/14/2008	Yili Hong Zheng Xu	Related financial statistics problems exploration (continued)
11/21/2008	Yili Hong Hainan Huang Wen Li Shan Yang	Monotonicity State Price Density	Figlewski (2008), Hall and Keilegom (2005), Hardle and Yatchew (2003), Li and Zhao (2006)
2004-2006	Dian Zhu Juan Zhao Liqun Niu Shan Yang	The Black-Scholes model Option pricing and partial differential equations, part 1 Option pricing and partial differential equations, part 2 Interest rate model (Vasicek, CIR, HJM)	Lamberton, D. and Lapeyre, B. (1996): Introduction to Stochastic Calculus Applied to Finance, Chapman & Hall
2005 2003	Shan Yang Shan Yang	Optimal consumption under fractional Black-Scholes Model Black-Scholes Formula (review)

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