Workshop Programme
for period 4-8 July
Quantitative Finance: Developments, Applications and Problems
4-8 July
Timetable
| Monday 04 July | ||
| 08:30-10:20 | Registration | DQF |
| 09:00-18:00 | Exhibition | DQF |
| 10:15-10:20 | Welcome | DQF |
| 10:20-11:10 | Shreve, S (Carnegie-Mellon) | DQF |
| Futures trading model with transaction costs | Sem 1 | |
| 11:10-11:40 | Coffee | DQF |
| 11:40-12:30 | Taylor, S (Lancaster) | DQF |
| Comparisons of P - densities obtained from historical asset prices, option prices and risk transformations | Sem 1 | |
| 12:30-13:30 | Lunch at Wolfson Court | DQF |
| 14:00-14:50 | Zervos, M (King's College, London) | DQF |
| A discretionary stopping problem with applications to the optimal timing of investment decisions | Sem 1 | |
| 14:50-15:40 | Neuberger, A (Warwick) | DQF |
| The value of being American | Sem 1 | |
| 15:40-16:10 | Tea | DQF |
| 16:10-17:00 | Wystup, U (HfB, Frankfurt) | DQF |
| On the cost of delayed fixing announcements and it's impact on FX exotic options | Sem 1 | |
| 17:00-18:00 | Wine and Beer reception | DQF |
| 18:45-19:30 | Dinner at Wolfson Court (Residents only) | DQF |
| Tuesday 05 July | ||
| 09:00-18:00 | Exhibition | DQF |
| 09:30-10:20 | Geman, H (ESSEC) | DQF |
| Different approaches to the volatility surface: from Levy processes to local Levy | Sem 1 | |
| 10:20-11:10 | Frey, R (Leipzig) | DQF |
| Pricing portfolio credit derivatives in a Markovian model of default interaction | Sem 1 | |
| 11:10-11:40 | Coffee | DQF |
| 11:40-12:30 | Platen, E (University of Technology, Sydney) | DQF |
| A unified framework for portfolio optimization and asset pricing | Sem 1 | |
| 12:30-13:30 | Lunch at Wolfson Court | DQF |
| 14:00-14:50 | Branger, N (Goethe University, Frankfurt) | DQF |
| An economic motivation for variance contracts | Sem 1 | |
| 14:50-15:40 | Zhou, XY (Chinese University of Hong Kong) | DQF |
| Mean-- Semivariance portfolio selection: single periods vs continuous time | Sem 1 | |
| 15:40-16:10 | Tea | DQF |
| 16:10-17:00 | Musiela, M (BNP Paribas) | DQF |
| Mathematical issues with volatility modelling | Sem 1 | |
| 18:45-19:30 | Dinner at Wolfson Court (Residents only) | DQF |
| Wednesday 06 July | ||
| 09:00-18:00 | Exhibition | DQF |
| 09:30-10:20 | Ait-Sahalia, Y (Princeton University) | DQF |
| Ultra high frequency data, volatility estimation and market microstructure noise | Sem 1 | |
| 10:20-11:10 | Sircar, R (Princeton) | DQF |
| Valuation of credit derivatives | Sem 1 | |
| 11:10-11:40 | Coffee | DQF |
| 11:40-12:30 | Kou, S (Columbia) | DQF |
| Modelling growth stocks | Sem 1 | |
| 12:30-13:30 | Lunch at Wolfson Court | DQF |
| 20:00-18:00 | Conference Dinner at St Johns College (Dining Hall) | DQF |
| Thursday 07 July | ||
| 09:00-18:00 | Exhibition | DQF |
| 09:30-10:20 | Lando, D (Copenhagen) | DQF |
| Decomposing swap spreads | Sem 1 | |
| 10:20-11:10 | Monoyios, M (Brunel) | DQF |
| Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models | Sem 1 | |
| 11:10-11:40 | Coffee | DQF |
| 11:40-12:30 | Becherer, D (Imperial) | DQF |
| Backward SDE's with jumps and applications in utility optimisation | Sem 1 | |
| 12:30-13:30 | Lunch at Wolfson Court | DQF |
| 14:00-14:50 | Kramkov, D (Carnegie-Mellon) | DQF |
| Sensitivity analysis of utility based prices and risk-tolerance wealth processes | Sem 1 | |
| 14:50-15:40 | Dupire, B (Bloomberg) | DQF |
| Optimal process approximation: application to delta hedging and technical analysis | Sem 1 | |
| 15:40-16:10 | Tea | DQF |
| 16:10-17:00 | Baxter, M (Nomura) | DQF |
| Correlation, skew and target redemption inverse floaters | Sem 1 | |
| 18:45-19:30 | Dinner at Wolfson Court (Residents only) | DQF |
| Friday 08 July | ||
| 09:00-18:00 | Exhibition | DQF |
| 09:30-10:20 | Hughston, L (King's College, London) | DQF |
| An information-based approach to asset-pricing dynamics | Sem 1 | |
| 10:20-11.10 | Bank, P (Columbia) | DQF |
| Irreversible investments under dynamic capacity constraints | Sem 1 | |
| 11:10-11:40 | Coffee | DQF |
| 11:40-12:30 | Benth, F (University of Oslo) | DQF |
| Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model | Sem 1 | |
| 12:30-13:30 | Lunch at Wolfson Court | DQF |
| 14:00-14:50 | Davis, M (Imperial) | DQF |
| Complete-market models of stochastic volatility | Sem 1 | |
| 14:50-15:20 | Tea | DQF |
| 15:20-16:10 | Ross, S (MIT) | DQF |
| A neoclassical look at behavioural finance | Sem 1 | |
| 18:45-19:30 | Dinner at Wolfson Court (Residents only) | DQF |
| Other Seminars |
|
Seminars in the University National and International Scientific Research Meetings |