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Seminars (DQF)

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Event When Speaker Title Presentation Material
DQF 25th January 2005
11:00 to 12:00
Good deal bounds
DQF 27th January 2005
17:00 to 18:00
Optimal investment for defined contribution pension plans
DQF 31st January 2005
11:15 to 12:15
Continuous time processes based on infinite activity innovations
DQF 1st February 2005
10:00 to 12:00
Power variation
DQF 1st February 2005
17:00 to 18:00
Y Kabanov The FTAP in the two-asset model under transaction costs (a result of Grigoriev)
DQF 2nd February 2005
10:00 to 11:00
Towards the mathematization of some practical methods of the financial "technical analysis"
DQF 2nd February 2005
11:00 to 11:30
Multidimensional tempered stable processes: representations and method of simulation
DQF 2nd February 2005
11:30 to 12:00
CoGARCH
DQF 3rd February 2005
10:00 to 11:00
Levy-driven CARMA processes, stochastic volatility and CoGARCH models
DQF 3rd February 2005
11:00 to 11:30
Multivariate diffusion modelling
DQF 3rd February 2005
11:30 to 12:00
Three problems in infinite divisibility
DQF 4th February 2005
10:00 to 11:00
E Eberlein Symmetries and pricing of exotic options in Levy models
DQF 4th February 2005
11:00 to 12:00
Estimating the integrated volatility in stochastic volatility models with Levy jumps
DQF 8th February 2005
15:45 to 16:45
Feynman-Kac formulae for black-scholes type operators
DQF 8th February 2005
17:00 to 18:00
Forecasting time series subject to multiple structural breaks
DQF 9th February 2005
10:00 to 11:00
D Hobson Local martingales, bubbles and option prices
DQF 10th February 2005
11:15 to 12:15
M Davis A problem of optimal investment with randomly terminating income
DQF 14th February 2005
15:00 to 16:15
On the role of arbitrageurs in rational markets
DQF 15th February 2005
15:45 to 16:45
The joy of objects, or 'so you thought you knew how to code the Black-Scholes formula'
DQF 15th February 2005
17:00 to 18:00
Martingale measures, Esscher transforms, indifference pricing and hedging in incomplete diffusion models
DQF 16th February 2005
10:00 to 11:00
X Mao Numerical simulation of the mean-reverting square root process with applications to option valuation
DQF 16th February 2005
11:15 to 12:15
Strategic trading with public revelation
DQF 21st February 2005
11:15 to 12:15
M Davis A survey of credit risk
DQF 21st February 2005
14:00 to 16:00
P Schoenbucher & K Giesecke Current problems in credit risk
DQF 22nd February 2005
10:00 to 11:00
E Eberlein The defaultable Levy term structure
DQF 22nd February 2005
11:00 to 12:00
A Levy-driven firm value model
DQF 22nd February 2005
17:00 to 18:00
The curious incident of the investment in the market
DQF 23rd February 2005
10:00 to 11:00
Location-based mortgage risk and a note on incomplete information
DQF 23rd February 2005
11:00 to 12:00
Arbitrage-fee prize ranges for n'th-to-default baskets
DQF 24th February 2005
10:00 to 11:00
Default and volatility time scales
DQF 24th February 2005
11:00 to 12:00
Some valuation models for CDOs
DQF 24th February 2005
15:00 to 16:00
Credit/equity hybrids
DQF 24th February 2005
16:00 to 17:00
Distribution-invariant risk measures: information and dynamic consistency
DQF 24th February 2005
17:00 to 18:00
P Artzner Currency-invariant risk measures
DQFW04 25th February 2005
10:00 to 11:00
Stochastic network methods in portfolio credit risk
DQFW04 25th February 2005
11:00 to 12:00
The gaussian copula model and beyond
DQFW04 25th February 2005
13:30 to 14:30
Hedging Credit Risk: theory and practice
DQFW04 25th February 2005
14:30 to 15:30
Matching base correlation skew with a naturally time-homogeneous model
DQFW04 25th February 2005
16:00 to 17:00
Dependent defaults and changes of time
DQFW04 25th February 2005
17:00 to 18:00
A McNeil Statistical inference for dependent default and dependent migration models
DQFW04 26th February 2005
08:30 to 09:30
Modelling correlation skew via mixing copulae and uncertain loss at default (Venue: Centre for Mathematical Sciences)
DQFW04 26th February 2005
09:30 to 10:30
Pricing of basket default swaps and CDO tranches Venue: Centre for Mathematical Sciences
DQFW04 26th February 2005
11:00 to 12:00
Extensions of the gaussian copula Venue: Centre for Mathematical Sciences
DQFW04 26th February 2005
13:30 to 14:30
The pricing of options on individual CDS and CDS indices Venue: Centre for Mathematical Sciences
DQFW04 26th February 2005
14:30 to 15:30
Valuing CDOs Venue: Centre for Mathematical Sciences
DQF 28th February 2005
11:15 to 12:15
Modelling CDOs
DQF 1st March 2005
17:00 to 18:00
P Laurence Hedging basket options without distributional assumption
DQF 3rd March 2005
11:30 to 12:30
Using structural default models to price equity default swaps
DQF 7th March 2005
11:15 to 12:15
Remarks on risk management and risk measurement
DQF 7th March 2005
14:30 to 15:30
Good deal bounds
DQF 7th March 2005
16:00 to 17:00
Dynamic convex risk measures and pricing operators
DQF 8th March 2005
11:15 to 12:15
Pricing death
DQF 8th March 2005
15:45 to 16:45
Optimising under model uncertainty
DQF 8th March 2005
17:00 to 18:00
Smoothing, non-synchronous appraisal and cross-sectional aggregation in real estate price indices
DQF 9th March 2005
11:15 to 12:15
Optimal derivative design and risk measures
DQF 9th March 2005
15:45 to 16:45
The multi-factor version of the Basel II credit risk model
DQFW03 10th March 2005
10:30 to 11:30
R Uppal What to do about excessive volatility
DQFW03 10th March 2005
12:00 to 13:00
Risk modelling and monitoring within a systematic CTA
DQFW03 10th March 2005
14:00 to 15:00
C Beckers A multi-factor approach to hedge fund risk modelling
DQFW03 10th March 2005
15:00 to 16:00
W Fung Pricing extreme market event risk: theory and evidence from traded options and trend-following hedge funds
DQFW03 10th March 2005
16:30 to 17:30
S Hodges An economist's view of risk management of hedge funds
DQF 11th March 2005
13:30 to 15:00
Discussions on hedge funds
DQF 14th March 2005
13:00 to 13:30
R Uppal Overview of international finance
DQF 14th March 2005
13:30 to 14:45
The information content of international portfolio flows
DQF 14th March 2005
15:00 to 16:15
On the role of arbitrageurs in rational markets
DQF 15th March 2005
09:30 to 10:45
A Pavlova & R Rigobon Flight to quality, contagion and portfolio constraints
DQF 15th March 2005
11:00 to 12:15
International stock market integration: a dynamic general equilibrium approach
DQF 15th March 2005
13:45 to 15:00
An international examination of affine term structure models and the expectations hypothesis
DQF 15th March 2005
15:15 to 16:30
Equity home bias and individual behaviour
DQF 15th March 2005
17:00 to 18:15
How inefficient are simple asset-allocation strategies?
DQF 16th March 2005
11:15 to 12:15
Valuation of employee stock options
DQFW05 18th March 2005
10:00 to 11:00
A family of term structure models with stochastic volatility
DQFW05 18th March 2005
11:30 to 12:30
Beyond predictor- corrector: better discretisations of the LIBOR market model
DQFW05 18th March 2005
13:30 to 14:30
Applications of financial mathematics to trading
DQFW05 18th March 2005
14:30 to 15:30
A Savine Smile consistent term structure models
DQFW05 18th March 2005
16:00 to 17:00
One for all: the potential approach to hedging and pricing
DQF 21st March 2005
11:15 to 12:15
Robust preferences and worst case martingale measures
DQF 22nd March 2005
15:45 to 16:45
On the characterization of the optimal growth rate of investment portfolios
DQF 22nd March 2005
17:00 to 18:00
Nonlinearities and time delays in economic and financial modelling
DQF 23rd March 2005
11:15 to 12:15
Arbitrage opportunities in a market with a large trader
DQF 29th March 2005
17:00 to 18:00
S Fedotov An adaptive method for valuing derivatives on assets with stochastic volatility
DQF 31st March 2005
11:15 to 12:15
Value-at-risk in a market subject to regime switching
DQF 6th April 2005
17:00 to 18:00
D Hobson Optimal timing for an asset sale
DQF 12th April 2005
11:15 to 12:15
Introduction to Malliavin calculus
DQF 12th April 2005
15:45 to 16:45
Computation of Greeks via Monte Carlo methods: improvements with and without Malliavin calculus
DQF 12th April 2005
17:00 to 18:00
The value of a storage facility
DQF 14th April 2005
11:15 to 12:15
Life-cycle consumption and investment
DQF 19th April 2005
15:45 to 16:45
On the structure of general mean-variance hedging strategies
DQF 19th April 2005
17:00 to 18:00
A Pagan Some econometric analysis of constructed binary series
DQF 20th April 2005
10:00 to 11:00
Crash hedging strategies and optimal portfolios
DQF 20th April 2005
11:15 to 12:15
High order stochastic integrators
DQF 21st April 2005
10:00 to 11:00
A duality approach for the analysis of weak convergence of the Euler Scheme
DQF 21st April 2005
11:15 to 12:15
Completing stochastic volatility models with variance swaps
DQFW06 22nd April 2005
10:00 to 11:00
On modelling for equity derivatives
DQFW06 22nd April 2005
11:30 to 12:30
The black art of FX modelling
DQFW06 22nd April 2005
13:30 to 14:30
Modelling incomplete markets for long term asset liability management
DQFW06 22nd April 2005
14:30 to 15:30
Mindless fitting?
DQFW06 22nd April 2005
16:00 to 17:00
Meta modelling
DQF 25th April 2005
11:15 to 12:00
Optimal risk sharing for law invariant monetary utility function
DQF 25th April 2005
14:30 to 15:15
A unifying framework for utility maximisation
DQF 25th April 2005
16:00 to 16:45
Super-replication with transaction costs
DQF 26th April 2005
14:00 to 15:30
Boundary value problems in optimal investment
DQF 26th April 2005
17:00 to 18:00
D Hobson Optimal timing for an asset sale
DQF 27th April 2005
11:15 to 12:00
M Davis The range of traded option prices
DQF 27th April 2005
14:00 to 14:45
Convergence of utility prices
DQF 27th April 2005
16:00 to 17:15
Sensitivity analysis of utility - based prices and risk tolerance wealth processes
DQF 28th April 2005
14:00 to 14:45
Super-replication with transaction costs in continuous time
DQF 29th April 2005
14:00 to 15:15
Conditional convex risk measures
DQF 3rd May 2005
15:45 to 16:45
A model for reversible investment capacity expansion
DQF 3rd May 2005
17:00 to 18:00
A class of exactly solvable credit models
DQF 4th May 2005
10:00 to 11:00
Duality of cones and utility-based super-replication prices
DQF 4th May 2005
11:15 to 12:15
Skorokhod embeddings in finance
DQF 5th May 2005
11:15 to 12:15
S Kou Credit spread, endogenous default and implied volatility with jump risk
DQF 9th May 2005
11:15 to 12:15
Computational finance, introductory meeting
DQF 10th May 2005
17:00 to 18:00
CDO computations in the affine Markov chain credit model
DQFW07 13th May 2005
10:00 to 11:00
Pricing volatility derivatives as inverse problem
DQFW07 13th May 2005
11:30 to 12:30
A class of stochatic volatility models and EMM
DQFW07 13th May 2005
13:30 to 14:30
Uncertain volatility approach to smile modelling
DQFW07 13th May 2005
14:30 to 15:30
Stochastic volatility and local levy processess on lattices
DQFW07 13th May 2005
16:00 to 17:00
R Rebonato Why neither time-homogeneity nor time-dependance will do: theoretical implications and empirical evidence from the US dollars option market
DQFW07 13th May 2005
17:00 to 18:00
Unifying volatility models
DQFW07 14th May 2005
09:00 to 10:00
Modelling hybrids with jumps and stochastic volatility at CMS, room MR2
DQFW07 14th May 2005
10:00 to 11:00
Solving the stochastic volatility/jumps dilemna: mapping technique and subordinators - at CMS, room MR2
DQFW07 14th May 2005
11:30 to 12:30
Some forward volatility approximations at CMS, room MR2
DQFW07 14th May 2005
13:30 to 14:30
R Cont Hedging in models with jumps at CMS, room MR2
DQFW07 14th May 2005
14:30 to 15:30
R Lee From generalized put-call symmetry to robust hedges of volatility derivatives - at CMS, room MR2
DQF 16th May 2005
11:15 to 12:15
V Bally Sensitivity computation in jump models
DQF 16th May 2005
15:30 to 16:30
A Monte Carlo method for exponential hedging of contingent claims
DQF 16th May 2005
17:00 to 18:00
Portfolio optimization: The quest for useful mathematics
DQF 17th May 2005
11:15 to 12:15
Towards Monte Carlo methods for fully non-linear parabolic second order PDE's
DQF 17th May 2005
15:45 to 16:45
Estimation of volatility values from discretely observed diffusion data
DQF 17th May 2005
17:00 to 18:00
R Carmona Applications of optimal switching to energy tolling agreements
DQF 18th May 2005
09:00 to 17:00
Monte Carlo Methods
DQF 19th May 2005
09:00 to 17:00
Monte Carlo Methods
DQF 20th May 2005
09:00 to 17:00
Monte Carlo Methods
DQFW08 23rd May 2005
10:00 to 11:00
Higher order expectations in economics and finance: an overview
DQFW08 23rd May 2005
11:30 to 12:30
The more we know, the less we agree: public announcements and higher-order expectations
DQFW08 23rd May 2005
14:00 to 15:00
Crises and prices: information aggregation, multiplicity and volatility
DQFW08 23rd May 2005
15:30 to 16:30
Higher order expectations in asset pricing
DQFW08 24th May 2005
09:00 to 10:00
C Hellwig Self-fulfilling currency crises: the role of interest rates
DQFW08 24th May 2005
10:00 to 11:00
A Pavan The social value of information and coordination
DQFW08 24th May 2005
11:30 to 12:30
B Guimaraes Good Ponzi schemes and the price of debt
DQFW08 24th May 2005
14:00 to 15:00
Imperfect information, consumers expectations and business cycles
DQF 25th May 2005
11:15 to 12:15
Indifference pricing in two factor models: new results for stochastic volatility and real options
DQF 26th May 2005
11:15 to 12:15
Valuation of volatility derivatives
DQF 27th May 2005
09:00 to 17:00
Agent Interactions/Capital Market Theory
DQF 31st May 2005
15:45 to 16:45
Inter-pattern speculation: beyond minority, majority and {\sl\$}-games
DQF 31st May 2005
17:00 to 18:00
Decomposing financial and other monetary risk
DQF 1st June 2005
11:15 to 12:15
G Peskir The trap of complacency in predicting the maximum
DQF 2nd June 2005
11:15 to 12:15
A term structure approach to volatility
DQF 2nd June 2005
15:45 to 16:45
Crash options and rally options
DQF 7th June 2005
17:00 to 18:00
Fractal and multi-fractal finance: key ideas and tools
DQF 8th June 2005
15:45 to 16:45
Capital requirements for processes
DQF 8th June 2005
17:00 to 18:00
On relations between risk sensitive control, indifference pricing and the growth rate of portfolios
DQF 13th June 2005
09:00 to 17:00
Econometrics
DQF 13th June 2005
11:00 to 12:00
Long run risk
DQF 14th June 2005
09:00 to 17:00
Econometrics
DQF 14th June 2005
17:00 to 18:00
S Honkapohja Near-rational exuberence
DQF 21st June 2005
17:00 to 18:00
Understanding implied volatility surfaces
DQF 22nd June 2005
11:15 to 12:15
S Shreve Minimising convex risk measures by trading
DQF 22nd June 2005
15:30 to 16:00
D Hobson Executive stock options revisited
DQF 23rd June 2005
11:15 to 12:15
F Oertel The stochastic logarithm of semimartingales and market prices of risk
DQF 28th June 2005
14:30 to 15:00
On Gittin's theorem in continuous time
DQF 28th June 2005
15:30 to 16:00
D Hobson Executive stock options revisited
DQF 29th June 2005
14:00 to 14:50
Information reduction in credit risk models
DQF 29th June 2005
14:50 to 15:35
Hedging basket credit derivative claims: a local risk-minimisation approach
DQF 29th June 2005
16:15 to 17:05
Beyond hazard rates
DQF 29th June 2005
17:05 to 18:00
A new approach to the modelling of default correlation
DQF 30th June 2005
14:30 to 15:30
Morgate valuation and optimal refinancing
DQFW02 4th July 2005
10:20 to 11:10
Futures trading model with transaction costs
DQFW02 4th July 2005
11:40 to 12:30
Comparisons of P - densities obtained from historical asset prices, option prices and risk transformations
DQFW02 4th July 2005
14:00 to 14:50
M Zervos A discretionary stopping problem with applications to the optimal timing of investment decisions
DQFW02 4th July 2005
14:50 to 15:40
A Neuberger The value of being American
DQFW02 4th July 2005
16:10 to 17:00
U Wystup On the cost of delayed fixing announcements and it's impact on FX exotic options
DQFW02 5th July 2005
09:30 to 10:20
H Geman Different approaches to the volatility surface: from Levy processes to local Levy
DQFW02 5th July 2005
10:20 to 11:10
R Frey Pricing portfolio credit derivatives in a Markovian model of default interaction
DQFW02 5th July 2005
11:40 to 12:30
A unified framework for portfolio optimization and asset pricing
DQFW02 5th July 2005
14:00 to 14:50
An economic motivation for variance contracts
DQFW02 5th July 2005
14:50 to 15:40
Mean-- Semivariance portfolio selection: single periods vs continuous time
DQFW02 5th July 2005
16:10 to 17:00
Mathematical issues with volatility modelling
DQFW02 6th July 2005
09:30 to 10:20
Ultra high frequency data, volatility estimation and market microstructure noise
DQFW02 6th July 2005
10:20 to 11:10
Valuation of credit derivatives
DQFW02 6th July 2005
11:40 to 12:30
S Kou Modelling growth stocks
DQFW02 7th July 2005
09:30 to 10:20
Decomposing swap spreads
DQFW02 7th July 2005
10:20 to 11:10
Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models
DQFW02 7th July 2005
11:40 to 12:30
Backward SDE's with jumps and applications in utility optimisation
DQFW02 7th July 2005
14:00 to 14:50
Sensitivity analysis of utility based prices and risk-tolerance wealth processes
DQFW02 7th July 2005
14:50 to 15:40
Optimal process approximation: application to delta hedging and technical analysis
DQFW02 7th July 2005
16:10 to 17:00
Correlation, skew and target redemption inverse floaters
DQFW02 8th July 2005
09:30 to 10:20
An information-based approach to asset-pricing dynamics
DQFW02 8th July 2005
10:20 to 11:10
Irreversible investments under dynamic capacity constraints
DQFW02 8th July 2005
11:40 to 12:30
Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model
DQFW02 8th July 2005
14:00 to 14:50
M Davis Complete-market models of stochastic volatility
DQFW02 8th July 2005
15:20 to 16:10
A neoclassical look at behavioural finance
DQF 12th July 2005
17:00 to 18:00
Pricing, optimality and equilibrium based on coherent risk measures
DQF 14th July 2005
11:15 to 12:15
Dynamic correlation intensity modelling for portfolio credit risk
DQF 15th July 2005
11:15 to 12:15
Default and capital structure with equity-linked debt securities
DQF 15th July 2005
14:30 to 15:30
Estimating volatility with noisy high frequency data
DQF 19th July 2005
15:45 to 16:45
An alternative formulation of the robust portfolio selection problem
DQF 19th July 2005
17:00 to 18:00
Volatility and options hedging
OFB002 2nd June 2009
14:00 to 14:30
The limits to rational expectations equilibrium and market efficiency
OFB002 2nd June 2009
14:30 to 15:00
How are practitioners dealing with the issues now?
OFB002 2nd June 2009
15:00 to 15:30
How can we deal with herding and other behaviourial issues?
OFB002 2nd June 2009
15:30 to 16:00
The regulation of risk and the risk of regulation
OFB002 2nd June 2009
16:30 to 18:00
Panel discussion: D Farmer, W Janeway (Warburg Pincus), M Musiela, H Pesaran, X Vives.
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons