25th January 2005 
11:00 to 12:00 
T Bjork 
Good deal bounds 

27th January 2005 
17:00 to 18:00 
A Cairns 
Optimal investment for defined contribution pension plans 

31st January 2005 
11:15 to 12:15 
N Shephard & O BarndorffNielsen & K Sato 
Continuous time processes based on infinite activity innovations 

1st February 2005 
10:00 to 12:00 
J Woerner 
Power variation 

1st February 2005 
17:00 to 18:00 
Y Kabanov 
The FTAP in the twoasset model under transaction costs (a result of Grigoriev) 

2nd February 2005 
10:00 to 11:00 
A Shiryaev 
Towards the mathematization of some practical methods of the financial "technical analysis" 

2nd February 2005 
11:00 to 11:30 
J Rosinski 
Multidimensional tempered stable processes: representations and method of simulation 

2nd February 2005 
11:30 to 12:00 
C Kluppelberg 
CoGARCH 

3rd February 2005 
10:00 to 11:00 
P Brockwell 
Levydriven CARMA processes, stochastic volatility and CoGARCH models 

3rd February 2005 
11:00 to 11:30 
M Sorensen 
Multivariate diffusion modelling 

3rd February 2005 
11:30 to 12:00 
F Hubalek 
Three problems in infinite divisibility 

4th February 2005 
10:00 to 11:00 
E Eberlein 
Symmetries and pricing of exotic options in Levy models 

4th February 2005 
11:00 to 12:00 
C Mancini 
Estimating the integrated volatility in stochastic volatility models with Levy jumps 

8th February 2005 
15:45 to 16:45 
J Tysk 
FeynmanKac formulae for blackscholes type operators 

8th February 2005 
17:00 to 18:00 
M Hashem Pesaran 
Forecasting time series subject to multiple structural breaks 

9th February 2005 
10:00 to 11:00 
D Hobson 
Local martingales, bubbles and option prices 

10th February 2005 
11:15 to 12:15 
M Davis 
A problem of optimal investment with randomly terminating income 

14th February 2005 
15:00 to 16:15 
S Basak & B Croitoru 
On the role of arbitrageurs in rational markets 

15th February 2005 
15:45 to 16:45 
N Webber 
The joy of objects, or 'so you thought you knew how to code the BlackScholes formula' 

15th February 2005 
17:00 to 18:00 
M Monoyios 
Martingale measures, Esscher transforms, indifference pricing and hedging in incomplete diffusion models 

16th February 2005 
10:00 to 11:00 
X Mao 
Numerical simulation of the meanreverting square root process with applications to option valuation 

16th February 2005 
11:15 to 12:15 
A Neuberger 
Strategic trading with public revelation 

21st February 2005 
11:15 to 12:15 
M Davis 
A survey of credit risk 

21st February 2005 
14:00 to 16:00 
P Schoenbucher & K Giesecke 
Current problems in credit risk 

22nd February 2005 
10:00 to 11:00 
E Eberlein 
The defaultable Levy term structure 

22nd February 2005 
11:00 to 12:00 
W Schoutens 
A Levydriven firm value model 

22nd February 2005 
17:00 to 18:00 
V Henderson 
The curious incident of the investment in the market 

23rd February 2005 
10:00 to 11:00 
T Schmidt 
Locationbased mortgage risk and a note on incomplete information 

23rd February 2005 
11:00 to 12:00 
M Walker 
Arbitragefee prize ranges for n'thtodefault baskets 

24th February 2005 
10:00 to 11:00 
JP Fouque 
Default and volatility time scales 

24th February 2005 
11:00 to 12:00 
L Overbeck 
Some valuation models for CDOs 

24th February 2005 
15:00 to 16:00 
K Giesecke 
Credit/equity hybrids 

24th February 2005 
16:00 to 17:00 
S Weber 
Distributioninvariant risk measures: information and dynamic consistency 

24th February 2005 
17:00 to 18:00 
P Artzner 
Currencyinvariant risk measures 

28th February 2005 
11:15 to 12:15 
K Rudiger 
Modelling CDOs 

1st March 2005 
17:00 to 18:00 
P Laurence 
Hedging basket options without distributional assumption 

3rd March 2005 
11:30 to 12:30 
RG Smith 
Using structural default models to price equity default swaps 

7th March 2005 
11:15 to 12:15 
P Artzner 
Remarks on risk management and risk measurement 

7th March 2005 
14:30 to 15:30 
A Cerny 
Good deal bounds 

7th March 2005 
16:00 to 17:00 
C Rogers 
Dynamic convex risk measures and pricing operators 

8th March 2005 
11:15 to 12:15 
A Cairns 
Pricing death 

8th March 2005 
15:45 to 16:45 
A Schied 
Optimising under model uncertainty 

8th March 2005 
17:00 to 18:00 
S Bond 
Smoothing, nonsynchronous appraisal and crosssectional aggregation in real estate price indices 

9th March 2005 
11:15 to 12:15 
P Barrieu 
Optimal derivative design and risk measures 

9th March 2005 
15:45 to 16:45 
D Tasche 
The multifactor version of the Basel II credit risk model 

11th March 2005 
13:30 to 15:00 
S Hodges 
Discussions on hedge funds 

14th March 2005 
13:00 to 13:30 
R Uppal 
Overview of international finance 

14th March 2005 
13:30 to 14:45 
KA Froot & T Ramadorai 
The information content of international portfolio flows 

14th March 2005 
15:00 to 16:15 
S Basak & B Croitoru 
On the role of arbitrageurs in rational markets 

15th March 2005 
09:30 to 10:45 
A Pavlova & R Rigobon 
Flight to quality, contagion and portfolio constraints 

15th March 2005 
11:00 to 12:15 
HS Bhamra 
International stock market integration: a dynamic general equilibrium approach 

15th March 2005 
13:45 to 15:00 
H Tang & Y Xia 
An international examination of affine term structure models and the expectations hypothesis 

15th March 2005 
15:15 to 16:30 
R Albuquerque & A Bris & M Schneider 
Equity home bias and individual behaviour 

15th March 2005 
17:00 to 18:15 
AV DeMiguel & R Uppal & L Garlappi 
How inefficient are simple assetallocation strategies? 

16th March 2005 
11:15 to 12:15 
R Sircar 
Valuation of employee stock options 

21st March 2005 
11:15 to 12:15 
H Föllmer 
Robust preferences and worst case martingale measures 

22nd March 2005 
15:45 to 16:45 
D Hernandez 
On the characterization of the optimal growth rate of investment portfolios 

22nd March 2005 
17:00 to 18:00 
G Dibeh 
Nonlinearities and time delays in economic and financial modelling 

23rd March 2005 
11:15 to 12:15 
T Rheinlander 
Arbitrage opportunities in a market with a large trader 

29th March 2005 
17:00 to 18:00 
S Fedotov 
An adaptive method for valuing derivatives on assets with stochastic volatility 

31st March 2005 
11:15 to 12:15 
M Kijima 
Valueatrisk in a market subject to regime switching 

6th April 2005 
17:00 to 18:00 
D Hobson 
Optimal timing for an asset sale 

12th April 2005 
11:15 to 12:15 
P Friz 
Introduction to Malliavin calculus 

12th April 2005 
15:45 to 16:45 
P Friz 
Computation of Greeks via Monte Carlo methods: improvements with and without Malliavin calculus 

12th April 2005 
17:00 to 18:00 
S Hodges 
The value of a storage facility 

14th April 2005 
11:15 to 12:15 
P Dybvig 
Lifecycle consumption and investment 

19th April 2005 
15:45 to 16:45 
A Cerny 
On the structure of general meanvariance hedging strategies 

19th April 2005 
17:00 to 18:00 
A Pagan 
Some econometric analysis of constructed binary series 

20th April 2005 
10:00 to 11:00 
O Menkens 
Crash hedging strategies and optimal portfolios 

20th April 2005 
11:15 to 12:15 
A Wiese 
High order stochastic integrators 

21st April 2005 
10:00 to 11:00 
D Lamberton 
A duality approach for the analysis of weak convergence of the Euler Scheme 

21st April 2005 
11:15 to 12:15 
C Potter 
Completing stochastic volatility models with variance swaps 

25th April 2005 
11:15 to 12:00 
W Schachermayer 
Optimal risk sharing for law invariant monetary utility function 

25th April 2005 
14:30 to 15:15 
M Frittelli 
A unifying framework for utility maximisation 

25th April 2005 
16:00 to 16:45 
L Campi 
Superreplication with transaction costs 

26th April 2005 
14:00 to 15:30 
L Foldes 
Boundary value problems in optimal investment 

26th April 2005 
17:00 to 18:00 
D Hobson 
Optimal timing for an asset sale 

27th April 2005 
11:15 to 12:00 
M Davis 
The range of traded option prices 

27th April 2005 
14:00 to 14:45 
M Rasonyi 
Convergence of utility prices 

27th April 2005 
16:00 to 17:15 
D Kramkov 
Sensitivity analysis of utility  based prices and risk tolerance wealth processes 

28th April 2005 
14:00 to 14:45 
L Campi 
Superreplication with transaction costs in continuous time 

29th April 2005 
14:00 to 15:15 
G Scandolo 
Conditional convex risk measures 

3rd May 2005 
15:45 to 16:45 
M Zervos 
A model for reversible investment capacity expansion 

3rd May 2005 
17:00 to 18:00 
L Hughston 
A class of exactly solvable credit models 

4th May 2005 
10:00 to 11:00 
M Owen 
Duality of cones and utilitybased superreplication prices 

4th May 2005 
11:15 to 12:15 
A Cox 
Skorokhod embeddings in finance 

5th May 2005 
11:15 to 12:15 
S Kou 
Credit spread, endogenous default and implied volatility with jump risk 

9th May 2005 
11:15 to 12:15 
M Broadie & P Glasserman 
Computational finance, introductory meeting 

10th May 2005 
17:00 to 18:00 
T Hurd 
CDO computations in the affine Markov chain credit model 

16th May 2005 
11:15 to 12:15 
V Bally 
Sensitivity computation in jump models 

16th May 2005 
15:30 to 16:30 
T Hurd 
A Monte Carlo method for exponential hedging of contingent claims 

16th May 2005 
17:00 to 18:00 
S Pliska 
Portfolio optimization: The quest for useful mathematics 

17th May 2005 
11:15 to 12:15 
N Touzi 
Towards Monte Carlo methods for fully nonlinear parabolic second order PDE's 

17th May 2005 
15:45 to 16:45 
J Cvitanic 
Estimation of volatility values from discretely observed diffusion data 

17th May 2005 
17:00 to 18:00 
R Carmona 
Applications of optimal switching to energy tolling agreements 

18th May 2005 
09:00 to 17:00 

Monte Carlo Methods 

19th May 2005 
09:00 to 17:00 

Monte Carlo Methods 

20th May 2005 
09:00 to 17:00 

Monte Carlo Methods 

25th May 2005 
11:15 to 12:15 
M Grasselli 
Indifference pricing in two factor models: new results for stochastic volatility and real options 

26th May 2005 
11:15 to 12:15 
J Gatheral 
Valuation of volatility derivatives 

27th May 2005 
09:00 to 17:00 

Agent Interactions/Capital Market Theory 

31st May 2005 
15:45 to 16:45 
D Challet 
Interpattern speculation: beyond minority, majority and {\sl\$}games 

31st May 2005 
17:00 to 18:00 
S Jacka 
Decomposing financial and other monetary risk 

1st June 2005 
11:15 to 12:15 
G Peskir 
The trap of complacency in predicting the maximum 

2nd June 2005 
11:15 to 12:15 
M Tehranchi 
A term structure approach to volatility 

2nd June 2005 
15:45 to 16:45 
J Vecer 
Crash options and rally options 

7th June 2005 
17:00 to 18:00 
B Mandelbrot 
Fractal and multifractal finance: key ideas and tools 

8th June 2005 
15:45 to 16:45 
M Frittelli 
Capital requirements for processes 

8th June 2005 
17:00 to 18:00 
D Hernandez 
On relations between risk sensitive control, indifference pricing and the growth rate of portfolios 

13th June 2005 
09:00 to 17:00 

Econometrics 

13th June 2005 
11:00 to 12:00 
L Hansen 
Long run risk 

14th June 2005 
09:00 to 17:00 

Econometrics 

14th June 2005 
17:00 to 18:00 
S Honkapohja 
Nearrational exuberence 

21st June 2005 
17:00 to 18:00 
E Platen 
Understanding implied volatility surfaces 

22nd June 2005 
11:15 to 12:15 
S Shreve 
Minimising convex risk measures by trading 

22nd June 2005 
15:30 to 16:00 
D Hobson 
Executive stock options revisited 

23rd June 2005 
11:15 to 12:15 
F Oertel 
The stochastic logarithm of semimartingales and market prices of risk 

28th June 2005 
14:30 to 15:00 
P Bank 
On Gittin's theorem in continuous time 

28th June 2005 
15:30 to 16:00 
D Hobson 
Executive stock options revisited 

29th June 2005 
14:00 to 14:50 
X Guo 
Information reduction in credit risk models 

29th June 2005 
14:50 to 15:35 
Y Elouerkhaoui 
Hedging basket credit derivative claims: a local riskminimisation approach 

29th June 2005 
16:15 to 17:05 
L Hughston 
Beyond hazard rates 

29th June 2005 
17:05 to 18:00 
G di Graziano 
A new approach to the modelling of default correlation 

30th June 2005 
14:30 to 15:30 
S Pliska 
Morgate valuation and optimal refinancing 

12th July 2005 
17:00 to 18:00 
A Cherny 
Pricing, optimality and equilibrium based on coherent risk measures 

14th July 2005 
11:15 to 12:15 
M Dempster 
Dynamic correlation intensity modelling for portfolio credit risk 

15th July 2005 
11:15 to 12:15 
W Tian 
Default and capital structure with equitylinked debt securities 

15th July 2005 
14:30 to 15:30 
L Zhang 
Estimating volatility with noisy high frequency data 

19th July 2005 
15:45 to 16:45 
A Lim 
An alternative formulation of the robust portfolio selection problem 

19th July 2005 
17:00 to 18:00 
P Mykland 
Volatility and options hedging 
