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Timetable (DQFW02)

Quantitative Finance: Developments, Applications and Problems

Monday 4th July 2005 to Friday 8th July 2005

Monday 4th July 2005
08:30 to 10:20 Registration
09:00 to 18:00 Exhibition
10:15 to 10:20 Welcome INI 1
10:20 to 11:10 S Shreve ([Carnegie-Mellon])
Futures trading model with transaction costs
INI 1 ,
11:10 to 11:40 Coffee
11:40 to 12:30 S Taylor ([Lancaster])
Comparisons of P - densities obtained from historical asset prices, option prices and risk transformations
INI 1 ,
12:30 to 13:30 Lunch at Wolfson Court
14:00 to 14:50 M Zervos ([King's College, London])
A discretionary stopping problem with applications to the optimal timing of investment decisions
INI 1 ,
14:50 to 15:40 A Neuberger ([Warwick])
The value of being American
INI 1 ,
15:40 to 16:10 Tea
16:10 to 17:00 U Wystup ([HfB, Frankfurt])
On the cost of delayed fixing announcements and it's impact on FX exotic options
INI 1 ,
17:00 to 18:00 Wine and Beer reception
18:45 to 19:30 Dinner at Wolfson Court (Residents only)
Tuesday 5th July 2005
09:00 to 18:00 Exhibition
09:30 to 10:20 H Geman ([ESSEC])
Different approaches to the volatility surface: from Levy processes to local Levy
INI 1 ,
10:20 to 11:10 R Frey ([Leipzig])
Pricing portfolio credit derivatives in a Markovian model of default interaction
INI 1 ,
11:10 to 11:40 Coffee
11:40 to 12:30 E Platen ([University of Technology, Sydney])
A unified framework for portfolio optimization and asset pricing
INI 1 ,
12:30 to 13:30 Lunch at Wolfson Court
14:00 to 14:50 N Branger ([Goethe University, Frankfurt])
An economic motivation for variance contracts
INI 1 ,
14:50 to 15:40 XY Zhou (Chinese University of Hong Kong)
Mean-- Semivariance portfolio selection: single periods vs continuous time
INI 1 ,
15:40 to 16:10 Tea
16:10 to 17:00 M Musiela ([BNP Paribas])
Mathematical issues with volatility modelling
INI 1 ,
18:45 to 19:30 Dinner at Wolfson Court (Residents only)
Wednesday 6th July 2005
09:00 to 18:00 Exhibition
09:30 to 10:20 Y Ait-Sahalia (Princeton University)
Ultra high frequency data, volatility estimation and market microstructure noise
INI 1 ,
10:20 to 11:10 R Sircar ([Princeton])
Valuation of credit derivatives
INI 1 ,
11:10 to 11:40 Coffee
11:40 to 12:30 S Kou ([Columbia])
Modelling growth stocks
INI 1 ,
12:30 to 13:30 Lunch at Wolfson Court
20:00 to 18:00 Conference Dinner at St Johns College (Dining Hall)
Thursday 7th July 2005
09:00 to 18:00 Exhibition
09:30 to 10:20 D Lando ([Copenhagen])
Decomposing swap spreads
INI 1 ,
10:20 to 11:10 M Monoyios ([Brunel])
Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models
INI 1 ,
11:10 to 11:40 Coffee
11:40 to 12:30 D Becherer ([Imperial])
Backward SDE's with jumps and applications in utility optimisation
INI 1 ,
12:30 to 13:30 Lunch at Wolfson Court
14:00 to 14:50 D Kramkov ([Carnegie-Mellon])
Sensitivity analysis of utility based prices and risk-tolerance wealth processes
INI 1 ,
14:50 to 15:40 B Dupire ([Bloomberg])
Optimal process approximation: application to delta hedging and technical analysis
INI 1 ,
15:40 to 16:10 Tea
16:10 to 17:00 M Baxter (Nomura)
Correlation, skew and target redemption inverse floaters
INI 1 ,
18:45 to 19:30 Dinner at Wolfson Court (Residents only)
Friday 8th July 2005
09:00 to 18:00 Exhibition
09:30 to 10:20 L Hughston ([King's College, London])
An information-based approach to asset-pricing dynamics
INI 1 ,
10:20 to 11:10 P Bank ([Columbia])
Irreversible investments under dynamic capacity constraints
INI 1 ,
11:10 to 11:40 Coffee
11:40 to 12:30 F Benth (University of Oslo)
Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model
INI 1 ,
12:30 to 13:30 Lunch at Wolfson Court
14:00 to 14:50 M Davis ([Imperial])
Complete-market models of stochastic volatility
INI 1 ,
14:50 to 15:20 Tea
15:20 to 16:10 S Ross ([MIT])
A neoclassical look at behavioural finance
INI 1 ,
18:45 to 19:30 Dinner at Wolfson Court (Residents only)
University of Cambridge Research Councils UK
    Clay Mathematics Institute The Leverhulme Trust London Mathematical Society Microsoft Research NM Rothschild and Sons