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Seminars (DQFW02)

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Date Time Speaker Title Presentation Material
4th July 2005 10:20 to 11:10 S Shreve Futures trading model with transaction costs
4th July 2005 11:40 to 12:30 S Taylor Comparisons of P - densities obtained from historical asset prices, option prices and risk transformations
4th July 2005 14:00 to 14:50 M Zervos A discretionary stopping problem with applications to the optimal timing of investment decisions
4th July 2005 14:50 to 15:40 A Neuberger The value of being American
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
5th July 2005 09:30 to 10:20 H Geman Different approaches to the volatility surface: from Levy processes to local Levy
5th July 2005 10:20 to 11:10 R Frey Pricing portfolio credit derivatives in a Markovian model of default interaction
5th July 2005 11:40 to 12:30 E Platen A unified framework for portfolio optimization and asset pricing
5th July 2005 14:00 to 14:50 N Branger An economic motivation for variance contracts
5th July 2005 14:50 to 15:40 XY Zhou Mean-- Semivariance portfolio selection: single periods vs continuous time
5th July 2005 16:10 to 17:00 M Musiela Mathematical issues with volatility modelling
6th July 2005 09:30 to 10:20 Y Ait-Sahalia Ultra high frequency data, volatility estimation and market microstructure noise
6th July 2005 10:20 to 11:10 R Sircar Valuation of credit derivatives
6th July 2005 11:40 to 12:30 S Kou Modelling growth stocks
7th July 2005 09:30 to 10:20 D Lando Decomposing swap spreads
7th July 2005 10:20 to 11:10 M Monoyios Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models
7th July 2005 11:40 to 12:30 D Becherer Backward SDE's with jumps and applications in utility optimisation
7th July 2005 14:00 to 14:50 D Kramkov Sensitivity analysis of utility based prices and risk-tolerance wealth processes
7th July 2005 14:50 to 15:40 B Dupire Optimal process approximation: application to delta hedging and technical analysis
7th July 2005 16:10 to 17:00 M Baxter Correlation, skew and target redemption inverse floaters
8th July 2005 09:30 to 10:20 L Hughston An information-based approach to asset-pricing dynamics
8th July 2005 10:20 to 11:10 P Bank Irreversible investments under dynamic capacity constraints
8th July 2005 11:40 to 12:30 F Benth Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model
8th July 2005 14:00 to 14:50 M Davis Complete-market models of stochastic volatility
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 The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons