Event: IAFE /Thalesians Seminar Series
Date: Wednesday, May 15, 2013
Time: 5:45pm Registration, 6:00pm Seminar, 7:30pm Reception
NYU Kimmel Center
60 Washington Square South
New York, NY 10012
The International Association of Financial Engineers is pleased to invite you to
Recent advances in the mathematical modeling of financial bubbles has led to the observation that bubble detection often boils down to determining if, under the risk neutral measure, a process is a strict local martingale or a true martingale. Bubbles are fairly easily recognizable after the fact, once they have run their course, but it is often difficult to detect their presence in real time. There are few tools available to distinguish a martingale from a strict local martingale, and it seems that determining which is the case from data is a delicate procedure. Indeed, one can argue that in principle it is impossible. Nevertheless in this talk we will explain how, in a special case, there is hope that one can determine when a bubble is present, and when it is not, in real time. The talk is based on joint work with Robert Jarrow and Younes Kchia.
Philip Protter works in probability theory, with specialties in stochastic calculus, weak convergence and limit theorems, stochastic differential equations and Markov processes, stochastic numerics, and mathematical finance. He is the author of one book and the co-author of three more, and he has published more than 100 research papers. He was a visiting member of the Institute for Advanced Study in 1978, a National Science Foundation/Centre National de la Recherche Scientifique (NSF/CNRS) Exchange Scientist (to France) in 1980, and a Fulbright - Tocqueville Distinguished Chaired Professor in Paris in 2007. He gave the inaugural R. Von Mises Lecture at Humboldt Universitšt, Berlin, in 2007 and the Bullitt Lecture at the University of Louisville in 2009. This Spring he will give the Karl Menger Lecture at IIT in Chicago. He is a Fellow of the Institute of Mathematical Studies (IMS). Currently he is a Professor of Statistics at Columbia University. Before Columbia, he held positions at Cornell University, Purdue University, and Duke University.
ABOUT THE SERIES
The IAFE's Thalesians Seminar Series is a joint effort on the part of the IAFE (www.iafe.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion. Click here for information on the IAFE/Thalesian Seminar Series.