Videos and presentation materials from other INI events are also available.
Event | When | Speaker | Title | Presentation Material |
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DQF |
25th January 2005 11:00 to 12:00 |
Good deal bounds |
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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 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. |
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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. |
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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. |
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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. |
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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. |
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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. |
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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. |
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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. |
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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. |
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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. |
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DQFW04 |
26th February 2005 14:30 to 15:30 |
Valuing CDOs Venue: Centre for Mathematical Sciences |
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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. |
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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. |
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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. |
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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 |
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DQFW03 |
10th March 2005 16:30 to 17:30 |
S Hodges | An economist's view of risk management of hedge funds |
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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 |
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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 |
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DQF |
15th March 2005 15:15 to 16:30 |
Equity home bias and individual behaviour |
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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 |
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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 |
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DQFW05 |
18th March 2005 14:30 to 15:30 |
A Savine | Smile consistent term structure models |
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DQFW05 |
18th March 2005 16:00 to 17:00 |
One for all: the potential approach to hedging and pricing |
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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. |
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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. |
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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. |
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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 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 external-adjustors 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 (Marking-to-Market Non-Plain Products, Citigroup, June 2000). |
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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. |
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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 |
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DQFW07 |
13th May 2005 11:30 to 12:30 |
A class of stochatic volatility models and EMM |
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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 |
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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. |
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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 |
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DQF |
29th June 2005 14:50 to 15:35 |
Hedging basket credit derivative claims: a local risk-minimisation approach |
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DQF |
29th June 2005 16:15 to 17:05 |
Beyond hazard rates |
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DQF |
29th June 2005 17:05 to 18:00 |
A new approach to the modelling of default correlation |
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DQF |
30th June 2005 14:30 to 15:30 |
Morgate valuation and optimal refinancing |
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DQFW02 |
4th July 2005 10:20 to 11:10 |
Futures trading model with transaction costs |
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DQFW02 |
4th July 2005 11:40 to 12:30 |
Comparisons of P - densities obtained from historical asset prices, option prices and risk transformations |
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DQFW02 |
4th July 2005 14:00 to 14:50 |
M Zervos | A discretionary stopping problem with applications to the optimal timing of investment decisions |
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DQFW02 |
4th July 2005 14:50 to 15:40 |
A Neuberger | The value of being American |
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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 |
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DQFW02 |
5th July 2005 09:30 to 10:20 |
H Geman | Different approaches to the volatility surface: from Levy processes to local Levy |
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DQFW02 |
5th July 2005 10:20 to 11:10 |
R Frey | Pricing portfolio credit derivatives in a Markovian model of default interaction |
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DQFW02 |
5th July 2005 11:40 to 12:30 |
A unified framework for portfolio optimization and asset pricing |
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DQFW02 |
5th July 2005 14:00 to 14:50 |
An economic motivation for variance contracts |
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DQFW02 |
5th July 2005 14:50 to 15:40 |
Mean-- Semivariance portfolio selection: single periods vs continuous time |
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DQFW02 |
5th July 2005 16:10 to 17:00 |
Mathematical issues with volatility modelling |
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DQFW02 |
6th July 2005 09:30 to 10:20 |
Ultra high frequency data, volatility estimation and market microstructure noise |
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DQFW02 |
6th July 2005 10:20 to 11:10 |
Valuation of credit derivatives |
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DQFW02 |
6th July 2005 11:40 to 12:30 |
S Kou | Modelling growth stocks |
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DQFW02 |
7th July 2005 09:30 to 10:20 |
Decomposing swap spreads |
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DQFW02 |
7th July 2005 10:20 to 11:10 |
Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models |
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DQFW02 |
7th July 2005 11:40 to 12:30 |
Backward SDE's with jumps and applications in utility optimisation |
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DQFW02 |
7th July 2005 14:00 to 14:50 |
Sensitivity analysis of utility based prices and risk-tolerance wealth processes |
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DQFW02 |
7th July 2005 14:50 to 15:40 |
Optimal process approximation: application to delta hedging and technical analysis |
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DQFW02 |
7th July 2005 16:10 to 17:00 |
Correlation, skew and target redemption inverse floaters |
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DQFW02 |
8th July 2005 09:30 to 10:20 |
An information-based approach to asset-pricing dynamics |
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DQFW02 |
8th July 2005 10:20 to 11:10 |
Irreversible investments under dynamic capacity constraints |
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DQFW02 |
8th July 2005 11:40 to 12:30 |
Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model |
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DQFW02 |
8th July 2005 14:00 to 14:50 |
M Davis | Complete-market models of stochastic volatility |
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DQFW02 |
8th July 2005 15:20 to 16:10 |
A neoclassical look at behavioural finance |
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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 |
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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 |
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OFB002 |
2nd June 2009 14:30 to 15:00 |
How are practitioners dealing with the issues now? |
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OFB002 |
2nd June 2009 15:00 to 15:30 |
How can we deal with herding and other behaviourial issues? |
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OFB002 |
2nd June 2009 15:30 to 16:00 |
The regulation of risk and the risk of regulation |
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OFB002 |
2nd June 2009 16:30 to 18:00 |
Panel discussion: D Farmer, W Janeway (Warburg Pincus), M Musiela, H Pesaran, X Vives. |
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