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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