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25th January 2005 |
11:00 to 12:00 |
T Bjork |
Good deal bounds |
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27th January 2005 |
17:00 to 18:00 |
A Cairns |
Optimal investment for defined contribution pension plans |
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31st January 2005 |
11:15 to 12:15 |
N Shephard & O Barndorff-Nielsen & K Sato |
Continuous time processes based on infinite activity innovations |
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1st February 2005 |
10:00 to 12:00 |
J Woerner |
Power variation |
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1st February 2005 |
17:00 to 18:00 |
Y Kabanov |
The FTAP in the two-asset model under transaction costs (a result of Grigoriev) |
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2nd February 2005 |
10:00 to 11:00 |
A Shiryaev |
Towards the mathematization of some practical methods of the financial "technical analysis" |
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2nd February 2005 |
11:00 to 11:30 |
J Rosinski |
Multidimensional tempered stable processes: representations and method of simulation |
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2nd February 2005 |
11:30 to 12:00 |
C Kluppelberg |
CoGARCH |
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3rd February 2005 |
10:00 to 11:00 |
P Brockwell |
Levy-driven CARMA processes, stochastic volatility and CoGARCH models |
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3rd February 2005 |
11:00 to 11:30 |
M Sorensen |
Multivariate diffusion modelling |
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3rd February 2005 |
11:30 to 12:00 |
F Hubalek |
Three problems in infinite divisibility |
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4th February 2005 |
10:00 to 11:00 |
E Eberlein |
Symmetries and pricing of exotic options in Levy models |
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4th February 2005 |
11:00 to 12:00 |
C Mancini |
Estimating the integrated volatility in stochastic volatility models with Levy jumps |
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8th February 2005 |
15:45 to 16:45 |
J Tysk |
Feynman-Kac formulae for black-scholes type operators |
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8th February 2005 |
17:00 to 18:00 |
M Hashem Pesaran |
Forecasting time series subject to multiple structural breaks |
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9th February 2005 |
10:00 to 11:00 |
D Hobson |
Local martingales, bubbles and option prices |
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10th February 2005 |
11:15 to 12:15 |
M Davis |
A problem of optimal investment with randomly terminating income |
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14th February 2005 |
15:00 to 16:15 |
S Basak & B Croitoru |
On the role of arbitrageurs in rational markets |
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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' |
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15th February 2005 |
17:00 to 18:00 |
M Monoyios |
Martingale measures, Esscher transforms, indifference pricing and hedging in incomplete diffusion models |
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16th February 2005 |
10:00 to 11:00 |
X Mao |
Numerical simulation of the mean-reverting square root process with applications to option valuation |
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16th February 2005 |
11:15 to 12:15 |
A Neuberger |
Strategic trading with public revelation |
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21st February 2005 |
11:15 to 12:15 |
M Davis |
A survey of credit risk |
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21st February 2005 |
14:00 to 16:00 |
P Schoenbucher & K Giesecke |
Current problems in credit risk |
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22nd February 2005 |
10:00 to 11:00 |
E Eberlein |
The defaultable Levy term structure |
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22nd February 2005 |
11:00 to 12:00 |
W Schoutens |
A Levy-driven firm value model |
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22nd February 2005 |
17:00 to 18:00 |
V Henderson |
The curious incident of the investment in the market |
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23rd February 2005 |
10:00 to 11:00 |
T Schmidt |
Location-based mortgage risk and a note on incomplete information |
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23rd February 2005 |
11:00 to 12:00 |
M Walker |
Arbitrage-fee prize ranges for n'th-to-default baskets |
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24th February 2005 |
10:00 to 11:00 |
JP Fouque |
Default and volatility time scales |
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24th February 2005 |
11:00 to 12:00 |
L Overbeck |
Some valuation models for CDOs |
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24th February 2005 |
15:00 to 16:00 |
K Giesecke |
Credit/equity hybrids |
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24th February 2005 |
16:00 to 17:00 |
S Weber |
Distribution-invariant risk measures: information and dynamic consistency |
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24th February 2005 |
17:00 to 18:00 |
P Artzner |
Currency-invariant risk measures |
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28th February 2005 |
11:15 to 12:15 |
K Rudiger |
Modelling CDOs |
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1st March 2005 |
17:00 to 18:00 |
P Laurence |
Hedging basket options without distributional assumption |
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3rd March 2005 |
11:30 to 12:30 |
RG Smith |
Using structural default models to price equity default swaps |
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7th March 2005 |
11:15 to 12:15 |
P Artzner |
Remarks on risk management and risk measurement |
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7th March 2005 |
14:30 to 15:30 |
A Cerny |
Good deal bounds |
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7th March 2005 |
16:00 to 17:00 |
C Rogers |
Dynamic convex risk measures and pricing operators |
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8th March 2005 |
11:15 to 12:15 |
A Cairns |
Pricing death |
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8th March 2005 |
15:45 to 16:45 |
A Schied |
Optimising under model uncertainty |
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8th March 2005 |
17:00 to 18:00 |
S Bond |
Smoothing, non-synchronous appraisal and cross-sectional aggregation in real estate price indices |
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9th March 2005 |
11:15 to 12:15 |
P Barrieu |
Optimal derivative design and risk measures |
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9th March 2005 |
15:45 to 16:45 |
D Tasche |
The multi-factor version of the Basel II credit risk model |
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11th March 2005 |
13:30 to 15:00 |
S Hodges |
Discussions on hedge funds |
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14th March 2005 |
13:00 to 13:30 |
R Uppal |
Overview of international finance |
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14th March 2005 |
13:30 to 14:45 |
KA Froot & T Ramadorai |
The information content of international portfolio flows |
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14th March 2005 |
15:00 to 16:15 |
S Basak & B Croitoru |
On the role of arbitrageurs in rational markets |
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15th March 2005 |
09:30 to 10:45 |
A Pavlova & R Rigobon |
Flight to quality, contagion and portfolio constraints |
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15th March 2005 |
11:00 to 12:15 |
HS Bhamra |
International stock market integration: a dynamic general equilibrium approach |
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15th March 2005 |
13:45 to 15:00 |
H Tang & Y Xia |
An international examination of affine term structure models and the expectations hypothesis |
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15th March 2005 |
15:15 to 16:30 |
R Albuquerque & A Bris & M Schneider |
Equity home bias and individual behaviour |
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15th March 2005 |
17:00 to 18:15 |
A-V DeMiguel & R Uppal & L Garlappi |
How inefficient are simple asset-allocation strategies? |
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16th March 2005 |
11:15 to 12:15 |
R Sircar |
Valuation of employee stock options |
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21st March 2005 |
11:15 to 12:15 |
H Föllmer |
Robust preferences and worst case martingale measures |
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22nd March 2005 |
15:45 to 16:45 |
D Hernandez |
On the characterization of the optimal growth rate of investment portfolios |
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22nd March 2005 |
17:00 to 18:00 |
G Dibeh |
Nonlinearities and time delays in economic and financial modelling |
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23rd March 2005 |
11:15 to 12:15 |
T Rheinlander |
Arbitrage opportunities in a market with a large trader |
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29th March 2005 |
17:00 to 18:00 |
S Fedotov |
An adaptive method for valuing derivatives on assets with stochastic volatility |
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31st March 2005 |
11:15 to 12:15 |
M Kijima |
Value-at-risk in a market subject to regime switching |
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6th April 2005 |
17:00 to 18:00 |
D Hobson |
Optimal timing for an asset sale |
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12th April 2005 |
11:15 to 12:15 |
P Friz |
Introduction to Malliavin calculus |
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12th April 2005 |
15:45 to 16:45 |
P Friz |
Computation of Greeks via Monte Carlo methods: improvements with and without Malliavin calculus |
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12th April 2005 |
17:00 to 18:00 |
S Hodges |
The value of a storage facility |
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14th April 2005 |
11:15 to 12:15 |
P Dybvig |
Life-cycle consumption and investment |
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19th April 2005 |
15:45 to 16:45 |
A Cerny |
On the structure of general mean-variance hedging strategies |
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19th April 2005 |
17:00 to 18:00 |
A Pagan |
Some econometric analysis of constructed binary series |
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20th April 2005 |
10:00 to 11:00 |
O Menkens |
Crash hedging strategies and optimal portfolios |
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20th April 2005 |
11:15 to 12:15 |
A Wiese |
High order stochastic integrators |
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21st April 2005 |
10:00 to 11:00 |
D Lamberton |
A duality approach for the analysis of weak convergence of the Euler Scheme |
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21st April 2005 |
11:15 to 12:15 |
C Potter |
Completing stochastic volatility models with variance swaps |
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25th April 2005 |
11:15 to 12:00 |
W Schachermayer |
Optimal risk sharing for law invariant monetary utility function |
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25th April 2005 |
14:30 to 15:15 |
M Frittelli |
A unifying framework for utility maximisation |
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25th April 2005 |
16:00 to 16:45 |
L Campi |
Super-replication with transaction costs |
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26th April 2005 |
14:00 to 15:30 |
L Foldes |
Boundary value problems in optimal investment |
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26th April 2005 |
17:00 to 18:00 |
D Hobson |
Optimal timing for an asset sale |
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27th April 2005 |
11:15 to 12:00 |
M Davis |
The range of traded option prices |
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27th April 2005 |
14:00 to 14:45 |
M Rasonyi |
Convergence of utility prices |
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27th April 2005 |
16:00 to 17:15 |
D Kramkov |
Sensitivity analysis of utility - based prices and risk tolerance wealth processes |
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28th April 2005 |
14:00 to 14:45 |
L Campi |
Super-replication with transaction costs in continuous time |
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29th April 2005 |
14:00 to 15:15 |
G Scandolo |
Conditional convex risk measures |
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3rd May 2005 |
15:45 to 16:45 |
M Zervos |
A model for reversible investment capacity expansion |
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3rd May 2005 |
17:00 to 18:00 |
L Hughston |
A class of exactly solvable credit models |
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4th May 2005 |
10:00 to 11:00 |
M Owen |
Duality of cones and utility-based super-replication prices |
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4th May 2005 |
11:15 to 12:15 |
A Cox |
Skorokhod embeddings in finance |
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5th May 2005 |
11:15 to 12:15 |
S Kou |
Credit spread, endogenous default and implied volatility with jump risk |
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9th May 2005 |
11:15 to 12:15 |
M Broadie & P Glasserman |
Computational finance, introductory meeting |
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|
10th May 2005 |
17:00 to 18:00 |
T Hurd |
CDO computations in the affine Markov chain credit model |
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16th May 2005 |
11:15 to 12:15 |
V Bally |
Sensitivity computation in jump models |
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16th May 2005 |
15:30 to 16:30 |
T Hurd |
A Monte Carlo method for exponential hedging of contingent claims |
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16th May 2005 |
17:00 to 18:00 |
S Pliska |
Portfolio optimization: The quest for useful mathematics |
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17th May 2005 |
11:15 to 12:15 |
N Touzi |
Towards Monte Carlo methods for fully non-linear parabolic second order PDE's |
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17th May 2005 |
15:45 to 16:45 |
J Cvitanic |
Estimation of volatility values from discretely observed diffusion data |
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17th May 2005 |
17:00 to 18:00 |
R Carmona |
Applications of optimal switching to energy tolling agreements |
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18th May 2005 |
09:00 to 17:00 |
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Monte Carlo Methods |
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|
19th May 2005 |
09:00 to 17:00 |
|
Monte Carlo Methods |
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20th May 2005 |
09:00 to 17:00 |
|
Monte Carlo Methods |
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25th May 2005 |
11:15 to 12:15 |
M Grasselli |
Indifference pricing in two factor models: new results for stochastic volatility and real options |
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26th May 2005 |
11:15 to 12:15 |
J Gatheral |
Valuation of volatility derivatives |
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27th May 2005 |
09:00 to 17:00 |
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Agent Interactions/Capital Market Theory |
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31st May 2005 |
15:45 to 16:45 |
D Challet |
Inter-pattern speculation: beyond minority, majority and {\sl\$}-games |
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31st May 2005 |
17:00 to 18:00 |
S Jacka |
Decomposing financial and other monetary risk |
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1st June 2005 |
11:15 to 12:15 |
G Peskir |
The trap of complacency in predicting the maximum |
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2nd June 2005 |
11:15 to 12:15 |
M Tehranchi |
A term structure approach to volatility |
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|
2nd June 2005 |
15:45 to 16:45 |
J Vecer |
Crash options and rally options |
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|
7th June 2005 |
17:00 to 18:00 |
B Mandelbrot |
Fractal and multi-fractal finance: key ideas and tools |
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|
8th June 2005 |
15:45 to 16:45 |
M Frittelli |
Capital requirements for processes |
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|
8th June 2005 |
17:00 to 18:00 |
D Hernandez |
On relations between risk sensitive control, indifference pricing and the growth rate of portfolios |
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|
13th June 2005 |
09:00 to 17:00 |
|
Econometrics |
|
|
13th June 2005 |
11:00 to 12:00 |
L Hansen |
Long run risk |
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|
14th June 2005 |
09:00 to 17:00 |
|
Econometrics |
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|
14th June 2005 |
17:00 to 18:00 |
S Honkapohja |
Near-rational exuberence |
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|
21st June 2005 |
17:00 to 18:00 |
E Platen |
Understanding implied volatility surfaces |
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|
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 |
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29th June 2005 |
14:50 to 15:35 |
Y Elouerkhaoui |
Hedging basket credit derivative claims: a local risk-minimisation approach |
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|
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 |
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