July, 1996- June , 1997
May 28, 1997
• Benoit Mandelbrot, "Fractals and Scaling
in Finance: Discontinuity, Concentration and Risk"
• Andrew Lo, "Nonparametric Estimation
of State-Price Densities Implicit in Financial Asset Prices"
April 30, 1997
• Michel Crouhy, "Volatility Clustering,
Asymmetry and Hysteresis in Stock Returns"
• Bjorn Flesaker, "Pricing Derivatives
in the Positive Interest Framework"
March 26, 1997
• Frank Milne, "Financial Engineering,
General Equilibrium and Transaction Costs"
• George Constantinides, "Transaction
Costs and the Implied Volatility Smile"
February 26, 1997
• Dilip Madan, "Optimal Positioning in
Derivatives when Asset Prices are Adapted to Order Flows"
• H. Mete Soner, "Pricing Contingent
Claims in the Presence of Portfolio Constraints"
January 29, 1997
• Luis Seco, "An X-ray Value at Risk"
• James Redekop, "High-Low-Close Diagnostics
for a Class of Stochastic Volatility Models"
