An Isaac Newton Institute Event

Spitalfields Day

Risk Management of Hedge Funds

Thursday 10 March 2005

Organisers: Philippe Artzner (University of Strasbourg) and Paul Embrechts (ETH Zürich).

London Mathematical Society

in association with the Newton Institute programme entitled Developments in Quantitative Finance

Full Programme

The Isaac Newton Institute will be holding a programme entitled Developments in Quantitative Finance from January to July 2005. There will be a special week, 7 - 11 March, devoted to Risk Management, organised by Professors Philippe Artzner (Strasbourg) and Paul Embrechts (ETH Zürich). This week will bring together a number of prominent academics in this developing area.

Thursday 10 March has been designated as a Spitalfields Day devoted to risk management of hedge funds and alternative investments, with speakers and attendees from both academia and the finance industry. One goal is exploring the potential role of mathematics in this topical and important field. Planned speakers are:

10:30 11:30
Raman Uppal (London Business School) What to do about excessive volatility more info
11:30 12:00
Coffee
12:00 13:00
Anthony Ledford (Man Investments) Risk modelling and monitoring within a systematic CTA more info
13:00 14:00
Lunch
14:00 15:00
Constant Beckers (Barclays Global Investors) A multi-factor approach to hedge fund risk modelling more info
15:00 16:00
William Fung (London Business School, Centre for Hedge Fund Research and Education) Pricing extreme market event risk: theory and evidence from traded options and trend-following hedge funds
16:00 16:30
Tea
16:30 17:30
Julien Hugonnier (Ecole des Hautes Etudes Commerciales, Lausanne) Mutual fund portfolio choice in the presence of dynamic flows more info
17:30 18:00
Stewart Hodges (Warwick Business School) An economist's view of risk management of hedge funds
18:00 18:30
Wine and Beer Reception

Anyone interested is welcome to attend; talks will be aimed at a general mathematical audience. Please let Tracey Andrew at the Institute know by 25 February 2005 if you intend to come, to help us plan for lunch: telephone (01223) 335984; fax: (01223) 330508; e-mail: t.andrew@newton.ac.uk

There are limited funds available to assist research students to attend, please apply by 25 February 2005 to Tracey Andrew by email or post at the Newton Institute, 20 Clarkson Road, Cambridge, CB3 0EH.

Scientific enquiries may be addressed to Professor Artzner, Université Louis Pasteur (tel: +33-3-90-240-204, fax: +33-3-90-240-328)

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