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 twoasset 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 

Levydriven 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 

FeynmanKac formulae for blackscholes 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 BlackScholes 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 meanreverting 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 Levydriven 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 

Locationbased mortgage risk and a note on incomplete information 

DQF 
23rd February 2005 11:00 to 12:00 

Arbitragefee prize ranges for n'thtodefault 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 

Distributioninvariant risk measures: information and dynamic consistency 

DQF 
24th February 2005 17:00 to 18:00 
P Artzner 
Currencyinvariant 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 timehomogeneous 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, nonsynchronous appraisal and crosssectional 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 multifactor 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 multifactor 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 trendfollowing 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 assetallocation 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 

Valueatrisk 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 

Lifecycle consumption and investment 

DQF 
19th April 2005 15:45 to 16:45 

On the structure of general meanvariance 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 

Superreplication 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 

Superreplication 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 utilitybased superreplication 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 timehomogeneity nor timedependance 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 putcall 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 nonlinear 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 higherorder 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 
Selffulfilling 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 

Interpattern 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 multifractal 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 
Nearrational 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 riskminimisation 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 risktolerance 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 informationbased approach to assetpricing 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 BarndorffNielsen and Shephard stochastic volatility model 

DQFW02 
8th July 2005 14:00 to 14:50 
M Davis 
Completemarket 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 equitylinked 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. 
