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Workshop Programme

for period 4 - 8 July 2005

Quantitative Finance: Developments, Applications and Problems

4 - 8 July 2005

Timetable

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

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