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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 Futures trading model with transaction costs INI 1
11:10 to 11:40 Coffee
11:40 to 12:30 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 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 An economic motivation for variance contracts INI 1
14:50 to 15:40 Mean-- Semivariance portfolio selection: single periods vs continuous time INI 1
15:40 to 16:10 Tea
16:10 to 17:00 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 Ultra high frequency data, volatility estimation and market microstructure noise INI 1
10:20 to 11:10 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 Decomposing swap spreads INI 1
10:20 to 11:10 Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models INI 1
11:10 to 11:40 Coffee
11:40 to 12:30 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 Sensitivity analysis of utility based prices and risk-tolerance wealth processes INI 1
14:50 to 15:40 Optimal process approximation: application to delta hedging and technical analysis INI 1
15:40 to 16:10 Tea
16:10 to 17:00 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 An information-based approach to asset-pricing dynamics INI 1
10:20 to 11:10 Irreversible investments under dynamic capacity constraints INI 1
11:10 to 11:40 Coffee
11:40 to 12:30 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 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 London Mathematical Society NM Rothschild and Sons