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Seminars (DQFW02)

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