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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

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 Vasicek’s 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 multi-name 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 time-homogeneous model

We introduce a new financially motivated model for pricing portfolio credit derivatives. It naturally matches the base correlation skew whilst achieving time-homogeneity; two features lacking in the market-standard Gaussian copula model. The model is easily calibrated and allows effective pricing of exotic credit derivatives such as CDO-squareds.

DQFW04 25th February 2005
16:00 to 17:00
Dependent defaults and changes of time

We propose a dynamic multi-name 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 multi-name models and a great deal more. We characterize a new class of flexible self-exciting default processes as time-changed Poisson processes. Applications include the pricing and risk management of multi-name 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 arbitrage-free 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, Marshall-Olkin, 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 semi-explicit 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 short-comings 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 single-name 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 survival-measure 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, 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

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 risk-arbitrageurs 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 multi-factor approach to hedge fund risk modelling

Multi-factor 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 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

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 over-the-counter, 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 real-world 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 mark-to-market non-plain (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 one-to-one mapping between vanilla prices and the exotic's price. Such mapping is called the mark-to-market model as it produces mark-to-market price and risk exposure for each exotic. Risk management policies (risk limits, desire to minimise volatility of the mark-to-market P&L) typically compel traders to hedge exotics with vanillas such that the combined risk exposure, measured by the mark-to-market 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, over-parameterised models (models with local volatility surfaces is one example) whose resulting risk factor dynamics could be counter-intuitive. Does this make a good model, i.e., does hedging to such model’s risk exposure result in realised replication cost (derivative’s actual “manufacturing cost”) that is close to the initial exotic’s 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 external-adjustors method is used by some practitioners (see Pat Hagan’s 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 (“Marking-to-Market Non-Plain 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
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

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 short-comings 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 price-volatility correlation is non-zero 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 Black-Scholes 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 mean-reversion 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 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