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DQFW02 |
4th July 2005
10:20 to 11:10 |
S Shreve |
Futures trading model with transaction costs |
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DQFW02 |
4th July 2005
11:40 to 12:30 |
S Taylor |
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 |
E Platen |
A unified framework for portfolio optimization and asset pricing |
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DQFW02 |
5th July 2005
14:00 to 14:50 |
N Branger |
An economic motivation for variance contracts |
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DQFW02 |
5th July 2005
14:50 to 15:40 |
XY Zhou |
Mean-- Semivariance portfolio selection: single periods vs continuous time |
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DQFW02 |
5th July 2005
16:10 to 17:00 |
M Musiela |
Mathematical issues with volatility modelling |
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DQFW02 |
6th July 2005
09:30 to 10:20 |
Y Ait-Sahalia |
Ultra high frequency data, volatility estimation and market microstructure noise |
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DQFW02 |
6th July 2005
10:20 to 11:10 |
R Sircar |
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 |
D Lando |
Decomposing swap spreads |
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DQFW02 |
7th July 2005
10:20 to 11:10 |
M Monoyios |
Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models |
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DQFW02 |
7th July 2005
11:40 to 12:30 |
D Becherer |
Backward SDE's with jumps and applications in utility optimisation |
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DQFW02 |
7th July 2005
14:00 to 14:50 |
D Kramkov |
Sensitivity analysis of utility based prices and risk-tolerance wealth processes |
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DQFW02 |
7th July 2005
14:50 to 15:40 |
B Dupire |
Optimal process approximation: application to delta hedging and technical analysis |
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DQFW02 |
7th July 2005
16:10 to 17:00 |
M Baxter |
Correlation, skew and target redemption inverse floaters |
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DQFW02 |
8th July 2005
09:30 to 10:20 |
L Hughston |
An information-based approach to asset-pricing dynamics |
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DQFW02 |
8th July 2005
10:20 to 11:10 |
P Bank |
Irreversible investments under dynamic capacity constraints |
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DQFW02 |
8th July 2005
11:40 to 12:30 |
F Benth |
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 |
S Ross |
A neoclassical look at behavioural finance |
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