Videos and presentation materials from other INI events are also available.
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 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 Modelling the default performance of a large heterogeneous portfolio is a major topic in credit risk. One approach is to derive analytic or partly analytic approximations based on the law of large numbers and/or central limit theorem; examples are Vasiceks large homogeneous portfolio model or the saddle point approximations used in CreditRisk+. Here we introduce an approach based on ideas from stochastic networks. The portfolio members are thought of as particles that move around a number of credit risk states (credit ratings) before eventually defaulting. The transition rates are supposed to depend on an external environment process, thus introducing dependence between the particles. We study the limiting behaviour of this system as the number of particles increases, obtaining conditional fluid and diffusion limits from which portfolio performance can be predicted. 

DQFW04 
25th February 2005 11:00 to 12:00 
The gaussian copula model and beyond The Gaussian copula model has become an industry standard in the pricing of multiname credit derivative products. Whilst the model has highly questionable dynamics, it has given the theoretical foundations for a huge growth in credit correlation products over the last few years. We describe the current situation regarding the use of this model and highlight some of the challenges currently faced by practitioners such as parametrisation, efficient calculation of greeks and modelling of the correlation skew. 

DQFW04 
25th February 2005 13:30 to 14:30 
Hedging Credit Risk: theory and practice We discuss recent theoretical progress in hedging and managing credit risk together with issues of practical implementation with respect to specific products. 

DQFW04 
25th February 2005 14:30 to 15:30 
Matching base correlation skew with a naturally timehomogeneous model We introduce a new financially motivated model for pricing portfolio credit derivatives. It naturally matches the base correlation skew whilst achieving timehomogeneity; two features lacking in the marketstandard Gaussian copula model. The model is easily calibrated and allows effective pricing of exotic credit derivatives such as CDOsquareds. 

DQFW04 
25th February 2005 16:00 to 17:00 
Dependent defaults and changes of time We propose a dynamic multiname credit model framework based on time changed point processes. At the center of our approach is the sequence of unpredictable defaults and losses, which we represent as a rescaled marked Poisson process. We construct the stochastic time change through the compensator of the default counting process. This yields algorithms for the simulation of dependent defaults and losses that start with a simple Poisson sequence. The dynamics of dependent defaults are governed by the evolution of observable information. Specific information structures lead to the known multiname models and a great deal more. We characterize a new class of flexible selfexciting default processes as timechanged Poisson processes. Applications include the pricing and risk management of multiname credit products such as basket CDS, CDO's and tranches. 

DQFW04 
25th February 2005 17:00 to 18:00 
A McNeil 
Statistical inference for dependent default and dependent migration models Any portfolio credit risk model that is to be used to calculate a loss distribution associated with defaults and changes in rating must address the challenge of modelling dependent defaults and dependent rating migrations. Most industry models (such as KMV, CreditMetrics, CreditRisk+) incorporate mechanisms for modelling this dependence, generally by assuming conditional independence of defaults and migrations given common economic factors. However, the calibration of these mechanisms is often quite ad hoc, despite the fact that the tail of the portfolio loss distribution is extremely sensitive to small changes in the parameters governing dependence. We consider the problem of making formal statistical inference for such models based on historical default and rating migration data. In the solution we propose portfolio credit models are represented as generalized linear mixed models (GLMMs) and inference is made using Markov chain Monte Carlo (MCMC) techniques. This general framework allows quite complex models with a latent random effects structure to represent unobserved common factors that influence default and migration. 

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) We discuss aspects of the correlation skew in portfolio credit derivatives, in particular the relationship between implied and base correlation for tranches. We present a model which generates correlation skews by mixing copulae and introducing stochastic loss given default variables. This allows us to present a whole range of arbitragefree base correlation curves. 

DQFW04 
26th February 2005 09:30 to 10:30 
Pricing of basket default swaps and CDO tranches Venue: Centre for Mathematical Sciences The choice of a dependence structure between default times drives the prices of basket default swaps and CDO tranches. We therefore assess the model risk associated with the pricing of multiname credit derivatives. We discuss the comparison methodology and consequently we consider different pricing models associated with different copulas of default times: Gaussian, Student t, Clayton, MarshallOlkin, double t. We emphasize the use of stochastic orders to derive some properties of CDO tranche premiums. It can be shown that base correlation tranches premiums increase with some dependence parameters. We also compare semiexplicit pricing approaches and the use of large portfolio approximation techniques. 

DQFW04 
26th February 2005 11:00 to 12:00 
Extensions of the gaussian copula Venue: Centre for Mathematical Sciences With the dual pourpose of investigating shortcomings of the Gaussian copula model and of modelling the correlation "skew" observed in the CDO market, we describe extensions to the Gaussian copula model which incorporate random recovery and random (level dependent) factor loadings, respectively. We discuss the calibration of these new models and their respective impact on CDO tranche prices. The main conclusion is that when properly calibrated, the random recovery extension does not give rise to a significant skew, whereas the random factor loading model can generate a wide range of skews, including those observed in the market. 

DQFW04 
26th February 2005 13:30 to 14:30 
The pricing of options on individual CDS and CDS indices Venue: Centre for Mathematical Sciences While options on singlename CDS can be priced quite efficiently by using the "survival measure" to remove all explicit reference to the obligor's default risk, the pricing of options on CDS indices pose some new, interesting challenges to the credit risk modeller. Essentially, options on CDS indices require the formulation of a dynamic default dependency model on the whole underlying credit index. In this paper we discuss the possibility of pricing such options using frailty models of default dependency and furthermore analyse the extent to which survivalmeasure based techniques can be used to find approximate option prices. 

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 Our objective in this paper is to determine and analyze the trading strategy that would allow an investor such as a hedge fund to take advantage of the excessive stock price volatility that has been documented in the empirical literature on asset pricing. To achieve our objective, we first construct a general equilibrium model where stock prices are excessively volatile. We do this using the same device as in Scheinkman and Xiong (2003) where there are two classes of agents and one class is overconfident about the value of the signal. We then analyze the trading strategy of the rational investors who is not overconfident about the the signal. We find that the portfolio of rational investors consists of three components: a static (i.e., Markowitz) component based only on current expected stock returns and risk, a component that hedges the investor against future revisions in the market's expected dividend growth, and a component that hedges against future disagreement in revisions of expected dividend growth. That is, while rational riskarbitrageurs find it beneficial to trade on their belief that the market is being foolish, when doing so they must hedge future fluctuations in the market's foolishness. Thus, our analysis illustrates that risk arbitrage cannot be based on just a current price divergence; the risk arbitrage must include also a protection in case there is a deviation from that prediction. We also find that the presence of a few rational traders is not sufficient to eliminate the effect of overconfident investors on excess volatility. Moreover, overconfident investors may survive for a long time before being driven out of the market by rational investors. 

DQFW03 
10th March 2005 12:00 to 13:00 
Risk modelling and monitoring within a systematic CTA In this talk I will give an overview of the key features of a systematic trading model that aims to capitalize on a particular type of pricing inefficiency in order to generate returns whilst at the same time controlling for risk. 

DQFW03 
10th March 2005 14:00 to 15:00 
C Beckers 
A multifactor approach to hedge fund risk modelling Multifactor risk modelling is well established within the equity world. With its theoretical foundations in Arbitrage Pricing Theory, the practical implementation has either relied upon investment practice (fundamental factor models) or statistical data analysis (factor analysis). Academic research so far has amply proven that systematic risk factors are also present in hedge funds. However the identification of these factors has been hampered by  lack of reliable and high frequency return data  a lack of transparency of the underlying investment strategy  the widespread presence of derivative based (sub)strategies that are harder to capture In our talk we will briefly review which 'factors' have so far been identified within the various hedge fund strategies. We will review their (in and out of sample) explanatory power and draw inferences for hedge fund portfolio construction. 

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 I will speak on the modelling issues in Equity Derivatives with emphasis on the recent development of the Local Levy Process. 

DQFW06 
22nd April 2005 11:30 to 12:30 
The black art of FX modelling The FX market place is the largest but least studied area of mathematical finance, primarily as the vast majority of trades are overthecounter, but also because of the arcanery of FX quoting conventions. After demystifying the FX market it will be apparent that there is a rich source of option pricing information which can be used for model fitting. This talk will describe some of the in vogue approaches to solving the pricing problem for vanilla and exotics options and discuss some of the realworld issues facing FX quants. Additionally the future directions of FX modelling are pondered. 

DQFW06 
22nd April 2005 13:30 to 14:30 
Modelling incomplete markets for long term asset liability management After evaluating the strengths and weaknesses of alternative models for real world probabilities in real (incomplete) markets with unpriced uncertainties, this talk will report on current progress of the structural economic/capital market approach to asset class returns pioneered by Wilkie (1986) for this situation. This flexible approach is a natural complement to the use of dynamic stochastic programming (DSP) techniques for solving long term asset liability problems for pension, insurance and hedge fund management. A brief overview of DSP techniques will be followed by some illustrative real world case studies. 

DQFW06 
22nd April 2005 14:30 to 15:30 
Mindless fitting? We are required to marktomarket nonplain (exotic) products in a way that is consistent with the observed market prices of liquid vanilla products. This means that for each exotic we must have a onetoone mapping between vanilla prices and the exotic's price. Such mapping is called the marktomarket model as it produces marktomarket price and risk exposure for each exotic. Risk management policies (risk limits, desire to minimise volatility of the marktomarket P&L) typically compel traders to hedge exotics with vanillas such that the combined risk exposure, measured by the marktomarket model, is close to zero. In the traditional approach we set the exotics price equal to its' value given by a valuation model that assumes a certain stochastic evolution of the relevant risk factors. In order to fit vanilla prices practitioners use, are forced to use, overparameterised models (models with local volatility surfaces is one example) whose resulting risk factor dynamics could be counterintuitive. Does this make a good model, i.e., does hedging to such models risk exposure result in realised replication cost (derivatives actual manufacturing cost) that is close to the initial exotics price the model produces? We cannot be sure of that!!! What are the alternatives? Can we start with a price of an exotic produced by a standard derivatives valuation model, with risk factors dynamics that makes sense (who is to judge?), and somehow, externally, adjust this price to reflect the difference between market and model prices of relevant vanilla options? Would the resulting mapping produce a hedging model that is better than the one based on the above traditional approach? In this presentation we provide an example of such an alternative mapping based on external price adjustors. We show how external price adjustors modifiy the risk exposure produced by the underlying derivatives pricing model. It is likely that the simple externaladjustors method is used by some practitioners (see Pat Hagans paper in Wilmott Magazine entitled Adjusters: Turning Good Prices into Great Prices). This work is an extension of earlier joint work with Thierry Bollier and Craig Fithian (MarkingtoMarket NonPlain Products, Citigroup, June 2000). 

DQFW06 
22nd April 2005 16:00 to 17:00 
Meta modelling We model the process by which we choose the process for the model. In particular, we model the options for modelling options. 

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 Many smile consistent volatility models are scale invariant, including jump diffusions, standard stochastic volatility models, mixture models and sticky delta local volatility models. Sticky tree local volatility models and the SABR model are not scale invariant. The shortcomings of scale invariant models motivates the specification of a general parametric stochastic local volatility model which we show is equivalent to the market model of implied volatilities introduced by Schönbucher (1999). When volatility is scale invariant the price sensitivities are model free, the only differences between the models being their quality of fit to the market. In stochastic volatility models where pricevolatility correlation is nonzero we show how this model free price sensitivity is adjusted to obtain the correct delta. Similar adjustments to obtain the delta for sticky tree and stochastic local volatility models are derived. Our theoretical and empirical results illustrate the inferior hedging performance of mixture models and sticky delta local volatility in equity index markets, even compared with the BlackScholes model. The best hedging results are obtained with stochastic (local) volatility models. The last part of the talk introduces the GARCH Jump model as the continuous limit of normal mixture GARCH, a discrete time model that provides the most flexible and intuitive view of skew dynamics and the closest fit to historical data in both equity and FX markets. This is a stochastic local volatility model, but not one with parameter diffusions. The parameters simply jump (occasionally, and simultaneously) between two states. This highlights the fact that the hedging failure of mixture models can be attributed to the fixed parameters that are commonly applied. By introducing parameter uncertainty the GARCH Jump model provides a tractable, flexible and intuitive tool for capturing regime specific meanreversion and leverage mechanisms and a skew term structure that persists into long maturities. However, its hedging performance has yet to be studied. 

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. 