skip to content
 

Seminars (DQFW02)

Videos and presentation materials from other INI events are also available.

Search seminar archive

Event When Speaker Title Presentation Material
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
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons