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Seminars (DQF)

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Date Time Speaker Title Presentation Material
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 Barndorff-Nielsen & 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 two-asset 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 Levy-driven 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 Feynman-Kac formulae for black-scholes 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 Black-Scholes 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 mean-reverting 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 Levy-driven 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 Location-based mortgage risk and a note on incomplete information
23rd February 2005 11:00 to 12:00 M Walker Arbitrage-fee prize ranges for n'th-to-default 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 Distribution-invariant risk measures: information and dynamic consistency
24th February 2005 17:00 to 18:00 P Artzner Currency-invariant 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, non-synchronous appraisal and cross-sectional 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 multi-factor 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 A-V DeMiguel & R Uppal & L Garlappi How inefficient are simple asset-allocation 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 Value-at-risk 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 Life-cycle consumption and investment
19th April 2005 15:45 to 16:45 A Cerny On the structure of general mean-variance 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 Super-replication 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 Super-replication 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 utility-based super-replication 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 non-linear 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 Inter-pattern 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 multi-fractal 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 Near-rational 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 risk-minimisation 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 equity-linked 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
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons