Interest rates

Wednesday, May 9, 2012 - 3:00pm - 4:00pm
Frank Shipman (Texas A & M University)
User interest modeling attempts to represent user interests in a form that can be used to improve system support when users are searching for, selecting from, and browsing documents or other resources. Work on recognizing user interests based on their prior activities, such as their browsing behavior, is a common approach to implicit user interest modeling. The work presented expands on this approach by aggregating activity across multiple end-user applications.
Saturday, May 19, 2012 - 2:15pm - 3:00pm
Nicole El Karoui (École Polytechnique)
A large debate is open for several years within mathematical nance
about the criterion to optimise, in particular for long term policy. From
the perspective of public decision, such strategy must be time consistent.
Moreover the use of adaptative criterion is necessary to integrate some major
variation in the environment. A typical example is the forward utilities
introduced by M. Musiela and T. Zariphopoulou in 2003, for which there is
no-prespecied trading horizon.
Thursday, May 17, 2012 - 1:30pm - 2:15pm
Motohiro Yogo (Federal Reserve Bank of Minneapolis)
Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find that movements in open interest are highly pro-cyclical, correlated with both macroeconomic activity and movements in asset prices.
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