[Cti_finance] Official Organization Request

[Steven Major]

Dear fellow Finance Students:


      Next week we will start the process for becoming an official Graduate 
Student Organizatiion. I will be attending two orientation seminars, one on 
the 24th of October and one on the 2nd of November.

Basically, we need a total of 8 students, a faculty sponser and a 
constitution. Once we have this we can apply and vote for our officers.

If this sounds good to you all, please let myself and Massimo know before 
our next meeting.

Sincerely,

Steven A. Major
708-543-0400





>From: cti_finance-request at mailman.depaul.edu
>Reply-To: cti_finance at mailman.depaul.edu
>To: cti_finance at mailman.depaul.edu
>Subject: Cti_finance Digest, Vol 23, Issue 7
>Date: Fri, 20 Oct 2006 12:00:04 -0500 (CDT)
>
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>Today's Topics:
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>    1. Talk tomorrow (DiPierro, Massimo)
>
>
>----------------------------------------------------------------------
>
>Date: Thu, 19 Oct 2006 22:52:27 -0500
>From: "DiPierro, Massimo" <MDiPierro at cti.depaul.edu>
>To: <cti_finance at mailman.depaul.edu>
>Subject: [Cti_finance] Talk tomorrow
>Message-ID: <6BE417C96732934A83E4BBBB3B7FF2F40478116B at haydn.cti.depaul.edu>
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>Friday 20 in Room 6306 DePaul Center at 5:30pm
>
>Gurupdesh Pandher will talk about
>
>"Arbitrage-Free Valuation of Interest Rate Securities under Forward =
>Curves with Stochastic Speed & Acceleration"=20
>
>Abstract=20
>
>Arbitrage-free models for valuing interest rate securities posit that =
>stochastic changes in spot or forward interest rates (forward rate =
>"speed") follow a diffusion process.  This paper extends the Heath, =
>Jarrow and Morton (1992, HJM) framework by allowing diffusive shocks to =
>both the "speed" and "acceleration" of forward rates. The arbitrage-free =
>restriction on forward rates is identified and involves volatilities of =
>the speed and acceleration dynamics and their correlation. While the =
>extended forward curve remains in the diffusive framework and evolves =
>continuously, it can exhibit large changes over a given time interval =
>(as with jumps) due to stochastic "acceleration". Numerical and =
>empirical comparisons of bond valuation show that the proposed diffusive =
>acceleration HJM (DA-HJM) model generates more complex and realistic =
>shapes for the restricted forward curve with the same number of =
>stochastic factors. DA-HJM zero-coupon bond prices display a relative =
>"hump" at moderate maturities between 2-5 years and its direction and =
>size is determined by the forward rate speed-acceleration correlation. A =
>simple moment-based method for jointly estimating speed and acceleration =
>volatilities from zero-libor curve data is also presented.     =20
>
>Thanks to Jack for bringing this talk to our attention.
>
>Massimo
>
>=20
>Massimo Di Pierro=20
>CTI DePaul University, 243 S Wabash Ave, Chicago, IL 60604
>Tel. +1-312-362-5173, Fax. +1-312-362-6116=20
>Email: mdipierro at cs.depaul.edu <mailto:mdipierro at cs.depaul.edu> =20
>Web page: http://www.metacryption.com/mdp/
>------------------------------
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>End of Cti_finance Digest, Vol 23, Issue 7
>******************************************

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