DQF Seminar List
for period 24 January to 22 July 2005
| Tuesday 25 January | ||
| 11:00-12:00 | Bjork, T (Stockholm) | |
| Good deal bounds | Sem 2 | |
| Thursday 27 January | ||
| 17:00-18:00 | Cairns, A (Heriot-Watt) | |
| Optimal investment for defined contribution pension plans | Sem 2 | |
| Monday 31 January | ||
| 11:15-12:15 | Shephard, N, Barndorff-Nielsen, O, Sato, K (Oxford/Aarhus/Nagoya) | |
| Continuous time processes based on infinite activity innovations | Sem 1 | |
| Tuesday 01 February | ||
| 10:00-12:00 | Woerner, J (Goettingen) | |
| Power variation | Sem 2 | |
| 17:00-18:00 | Kabanov, Y (Bescancon) | |
| The FTAP in the two-asset model under transaction costs (a result of Grigoriev) | Sem 2 | |
| Wednesday 02 February | ||
| 10:00-11.00 | Shiryaev, A (Moscow) | |
| Towards the mathematization of some practical methods of the financial "technical analysis" | Sem 2 | |
| 11:00-11:30 | Rosinski, J (Tennessee) | |
| Multidimensional tempered stable processes: representations and method of simulation | Sem 2 | |
| 11:30-12:00 | Kluppelberg, C (Munchen) | |
| CoGARCH | Sem 2 | |
| Thursday 03 February | ||
| 10:00-11:00 | Brockwell, P (Colorado State) | |
| Levy-driven CARMA processes, stochastic volatility and CoGARCH models | Sem 2 | |
| 11:00-11:30 | Sorensen, M (Universitetsparken 5) | |
| Multivariate diffusion modelling | Sem 2 | |
| 11:30-12.00 | Hubalek, F ( Aarhus) | |
| Three problems in infinite divisibility | Sem 2 | |
| Friday 04 February | ||
| 10:00-11.00 | Eberlein, E (Freiburg) | |
| Symmetries and pricing of exotic options in Levy models | Sem 2 | |
| 11:00-12.00 | Mancini, C (Italy) | |
| Estimating the integrated volatility in stochastic volatility models with Levy jumps | Sem 2 | |
| Tuesday 08 February | ||
| 15:45-16:45 | Tysk, J (Uppsala) | |
| Feynman-Kac formulae for black-scholes type operators | Sem 1 | |
| 17:00-18:00 | Hashem Pesaran, M (Cambridge) | |
| Forecasting time series subject to multiple structural breaks | Sem 1 | |
| Wednesday 09 February | ||
| 10:00-11:00 | Hobson, D (Bath) | |
| Local martingales, bubbles and option prices | Sem 2 | |
| Thursday 10 February | ||
| 11:15-12:15 | Davis, M (Imperial) | |
| A problem of optimal investment with randomly terminating income | Sem 2 | |
| Monday 14 February | ||
| 15:00-16:15 | Basak, S, Croitoru, B (London Business School, McGill) | |
| On the role of arbitrageurs in rational markets | Sem 1 | |
| Tuesday 15 February | ||
| 15:45-16:45 | Webber, N (Warwick) | |
| The joy of objects, or 'so you thought you knew how to code the Black-Scholes formula' | Sem 1 | |
| 17:00-18:00 | Monoyios, M (Brunel) | |
| Martingale measures, Esscher transforms, indifference pricing and hedging in incomplete diffusion models | Sem 1 | |
| Wednesday 16 February | ||
| 10:00-11:00 | Mao, X (Strathclyde) | |
| Numerical simulation of the mean-reverting square root process with applications to option valuation | Sem 2 | |
| 11:15-12:15 | Neuberger, A (Warwick Business School) | |
| Strategic trading with public revelation | Sem 2 | |
| Monday 21 February | ||
| 11:15-12:15 | Davis, M (Imperial) | |
| A survey of credit risk | Sem 1 | |
| 14:00-16:00 | Schoenbucher, P, Giesecke, K (ETH Zurich, Cornell) | |
| Current problems in credit risk | Sem 2 | |
| Tuesday 22 February | ||
| 10:00-11:00 | Eberlein, E (Freiburg) | |
| The defaultable Levy term structure | Sem 1 | |
| 11:00-12:00 | Schoutens, W (UCS) | |
| A Levy-driven firm value model | Sem 1 | |
| 17:00-18:00 | Henderson, V (Princeton) | |
| The curious incident of the investment in the market | Sem 1 | |
| Wednesday 23 February | ||
| 10:00-11:00 | Schmidt, T (Leipzig) | |
| Location-based mortgage risk and a note on incomplete information | Sem 2 | |
| 11:00-12:00 | Walker, M (Toronto) | |
| Arbitrage-fee prize ranges for n'th-to-default baskets | Sem 2 | |
| Thursday 24 February | ||
| 10:00-11:00 | Fouque, JP (North Carolina State University) | |
| Default and volatility time scales | Sem 2 | |
| 11:00-12:00 | Overbeck, L (Giessen) | |
| Some valuation models for CDOs | Sem 2 | |
| 15:00-16:00 | Giesecke, K (Cornell) | |
| Credit/equity hybrids | Sem 2 | |
| 16:00-17:00 | Weber, S (Humboldt) | |
| Distribution-invariant risk measures: information and dynamic consistency | Sem 2 | |
| 17:00-18:00 | Artzner, P (Louis Pasteur) | |
| Currency-invariant risk measures | Sem 2 | |
| Friday 25 February | ||
| 10:00-11:00 | Davis, MHA (Imperial) | |
| Stochastic network methods in portfolio credit risk | Sem 1 | |
| 11:00-12:00 | Gregory, J (BNP Paribas) | |
| The gaussian copula model and beyond | Sem 1 | |
| 13:30-14:30 | Hutt, S (BNP Paribas) | |
| Hedging Credit Risk: theory and practice | Sem 1 | |
| 14:30-15:30 | Joshi, M (Royal Bank of Scotland) | |
| Matching base correlation skew with a naturally time-homogeneous model | Sem 1 | |
| 16:00-17:00 | Giesecke, K (Cornell) | |
| Dependent defaults and changes of time | Sem 1 | |
| 17:00-18:00 | McNeil, A (ETH Zurich) | |
| Statistical inference for dependent default and dependent migration models | Sem 1 | |
| Saturday 26 February | ||
| 08:30-09:30 | Schloegl, L (Lehman Brothers) | |
| Modelling correlation skew via mixing copulae and uncertain loss at default (Venue: Centre for Mathematical Sciences) | Sem 1 | |
| 09:30-10:30 | Laurent, JP (BNP Paribas) | |
| Pricing of basket default swaps and CDO tranches Venue: Centre for Mathematical Sciences | Sem 1 | |
| 11:00-12:00 | Sidenius, J (Bank of America) | |
| Extensions of the gaussian copula Venue: Centre for Mathematical Sciences | Sem 1 | |
| 13:30-14:30 | Schoenbucher, PJ (ETH Zurich) | |
| The pricing of options on individual CDS and CDS indices Venue: Centre for Mathematical Sciences | Sem 1 | |
| 14:30-15:30 | Hull, J | |
| Valuing CDOs Venue: Centre for Mathematical Sciences | Sem 1 | |
| Monday 28 February | ||
| 11:15-12:15 | Rudiger, K (Ulm) | |
| Modelling CDOs | Sem 1 | |
| Tuesday 01 March | ||
| 17:00-18:00 | Laurence, P (Roma) | |
| Hedging basket options without distributional assumption | Sem 1 | |
| Thursday 03 March | ||
| 11:30-12:30 | Smith, RG (Judge Institute, Cambridge) | |
| Using structural default models to price equity default swaps | Sem 2 | |
| Monday 07 March | ||
| 11:15-12:15 | Artzner, P (Strasbourg) | |
| Remarks on risk management and risk measurement | Sem 1 | |
| 14:30-15:30 | Cerny, A (Imperial) | |
| Good deal bounds | Sem 1 | |
| 16:00-17:00 | Rogers, C (Cambridge) | |
| Dynamic convex risk measures and pricing operators | Sem 1 | |
| Tuesday 08 March | ||
| 11:15-12:15 | Cairns, A (Heriot-Watt) | |
| Pricing death | Sem 1 | |
| 15:45-16:45 | Schied, A (TU Berlin) | |
| Optimising under model uncertainty | Sem 1 | |
| 17:00-18:00 | Bond, S (Cambridge) | |
| Smoothing, non-synchronous appraisal and cross-sectional aggregation in real estate price indices | Sem 1 | |
| Wednesday 09 March | ||
| 11:15-12:15 | Barrieu, P (LSE) | |
| Optimal derivative design and risk measures | Sem 2 | |
| 15:45-16:45 | Tasche, D (Deutsche Bundesbank) | |
| The multi-factor version of the Basel II credit risk model | Sem 2 | |
| Thursday 10 March | ||
| 10:30-11:30 | Uppal, R (London Business School) | |
| What to do about excessive volatility | Sem 1 | |
| 12:00-13:00 | Ledford, A (Management Investments) | |
| Risk modelling and monitoring within a systematic CTA | Sem 1 | |
| 14:00-15:00 | Beckers, C (Barclays Global Investors) | |
| A multi-factor approach to hedge fund risk modelling | Sem 1 | |
| 15:00-16:00 | Fung, W (London Business School) | |
| Pricing extreme market event risk: theory and evidence from traded options and trend-following hedge funds | Sem 1 | |
| 16:30-17:30 | Hodges, S (Warwick Business School) | |
| An economist's view of risk management of hedge funds | Sem 1 | |
| Friday 11 March | ||
| 13:30-15:00 | Hodges, S | |
| Discussions on hedge funds | Sem 1 | |
| Monday 14 March | ||
| 13:00-13:30 | Uppal, R (London Business School) | |
| Overview of international finance | Sem 1 | |
| 13:30-14:45 | Froot, KA, Ramadorai, T (Harvard, Oxford) | |
| The information content of international portfolio flows | Sem 1 | |
| 15:00-16:15 | Basak, S, Croitoru, B (London Business School, McGill) | |
| On the role of arbitrageurs in rational markets | Sem 1 | |
| Tuesday 15 March | ||
| 09:30-10:45 | Pavlova, A, Rigobon, R (MIT) | |
| Flight to quality, contagion and portfolio constraints | Sem 1 | |
| 11:00-12:15 | Bhamra, HS (British Columbia) | |
| International stock market integration: a dynamic general equilibrium approach | Sem 1 | |
| 13:45-15:00 | Tang, H, Xia, Y (Pennsylvania) | |
| An international examination of affine term structure models and the expectations hypothesis | Sem 1 | |
| 15:15-16:30 | Albuquerque, R, Bris, A, Schneider, M (Rochester, Yale, NYU) | |
| Equity home bias and individual behaviour | Sem 1 | |
| 17:00-18:15 | DeMiguel, A-V, Uppal, R, Garlappi, L (London Business School, Austin) | |
| How inefficient are simple asset-allocation strategies? | Sem 1 | |
| Wednesday 16 March | ||
| 11:15-12:15 | Sircar, R (Princeton) | |
| Valuation of employee stock options | Sem 2 | |
| Friday 18 March | ||
| 10:00-11:00 | Cairns, A (Heriot-Watt) | |
| A family of term structure models with stochastic volatility | Sem 1 | |
| 11:30-12:30 | Joshi, M, Stacey, A (Royal Bank of Scotland) | |
| Beyond predictor- corrector: better discretisations of the LIBOR market model | Sem 1 | |
| 13:30-14:30 | Hunter, C (BNP Paribas) | |
| Applications of financial mathematics to trading | Sem 1 | |
| 14:30-15:30 | Savine, A (BNP Paribas) | |
| Smile consistent term structure models | Sem 1 | |
| 16:00-17:00 | Rogers, C (Cambridge) | |
| One for all: the potential approach to hedging and pricing | Sem 1 | |
| Monday 21 March | ||
| 11:15-12:15 | F\"ollmer, H (Humboldt) | |
| Robust preferences and worst case martingale measures | Sem 1 | |
| Tuesday 22 March | ||
| 15:45-16:45 | Hernandez, D (CIMAT) | |
| On the characterization of the optimal growth rate of investment portfolios | Sem 1 | |
| 17:00-18:00 | Dibeh, G (Lebanese American University) | |
| Nonlinearities and time delays in economic and financial modelling | Sem 1 | |
| Wednesday 23 March | ||
| 11:15-12:15 | Rheinlander, T (LSE) | |
| Arbitrage opportunities in a market with a large trader | Sem 1 | |
| Tuesday 29 March | ||
| 17:00-18:00 | Fedotov, S (Manchester) | |
| An adaptive method for valuing derivatives on assets with stochastic volatility | Sem 2 | |
| Thursday 31 March | ||
| 11:15-12:15 | Kijima, M (Kyoto) | |
| Value-at-risk in a market subject to regime switching | Sem 2 | |
| Wednesday 06 April | ||
| 17:00-18.0 | Hobson, D (Bath) | |
| Optimal timing for an asset sale | Sem 1 | |
| Tuesday 12 April | ||
| 11:15-12:15 | Friz, P (Cambridge) | |
| Introduction to Malliavin calculus | Sem 1 | |
| 15:45-16:45 | Friz, P (Cambridge) | |
| Computation of Greeks via Monte Carlo methods: improvements with and without Malliavin calculus | Sem 1 | |
| 17:00-18:00 | Hodges, S (Warwick) | |
| The value of a storage facility | Sem 1 | |
| Thursday 14 April | ||
| 11:15-12:15 | Dybvig, P (Washington) | |
| Life-cycle consumption and investment | Sem 1 | |
| Tuesday 19 April | ||
| 15:45-16:45 | Cerny, A (Imperial) | |
| On the structure of general mean-variance hedging strategies | Sem 1 | |
| 17:00-18.00 | Pagan, A (ANU) | |
| Some econometric analysis of constructed binary series | Sem 1 | |
| Wednesday 20 April | ||
| 10:00-11:00 | Menkens, O | |
| Crash hedging strategies and optimal portfolios | Sem 1 | |
| 11:15-12.15 | Wiese, A (Heriot-Watt) | |
| High order stochastic integrators | Sem 1 | |
| Thursday 21 April | ||
| 10:00-11.00 | Lamberton, D (Marne-la-Vallee) | |
| A duality approach for the analysis of weak convergence of the Euler Scheme | Sem 2 | |
| 11:15-12.15 | Potter, C (Oxford) | |
| Completing stochastic volatility models with variance swaps | Sem 2 | |
| Friday 22 April | ||
| 10:00-11:00 | Madan , D (Maryland) | |
| On modelling for equity derivatives | Sem 1 | |
| 11:30-12:30 | Walton, J (BNP Paribas) | |
| The black art of FX modelling | Sem 1 | |
| 13:30-14:30 | Dempster , M (Cambridge) | |
| Modelling incomplete markets for long term asset liability management | Sem 1 | |
| 14:30-15:30 | Karasinski, P (HSBC) | |
| Mindless fitting? | Sem 1 | |
| 16:00-17:00 | Carr, P (Bloomberg) | |
| Meta modelling | Sem 1 | |
| Monday 25 April | ||
| 11:15-12:00 | Schachermayer, W (Vienna) | |
| Optimal risk sharing for law invariant monetary utility function | Sem 1 | |
| 14:30-15:15 | Frittelli, M (Firenze) | |
| A unifying framework for utility maximisation | Sem 1 | |
| 16:00-16:45 | Campi, L (Vienna) | |
| Super-replication with transaction costs | Sem 1 | |
| Tuesday 26 April | ||
| 14:00-15:30 | Foldes, L (LSE) | |
| Boundary value problems in optimal investment | Sem 1 | |
| 17:00-18:00 | Hobson, D (Bath) | |
| Optimal timing for an asset sale | Sem 1 | |
| Wednesday 27 April | ||
| 11:15-12:00 | Davis, M (Imperial) | |
| The range of traded option prices | Sem 2 | |
| 14:00-14:45 | Rasonyi, M (Budapest) | |
| Convergence of utility prices | Sem 1 | |
| 16:00-17:15 | Kramkov, D (Carnegie-Mellon) | |
| Sensitivity analysis of utility - based prices and risk tolerance wealth processes | Sem 2 | |
| Thursday 28 April | ||
| 14:00-14:45 | Campi, L (Vienna) | |
| Super-replication with transaction costs in continuous time | Sem 2 | |
| Friday 29 April | ||
| 14:00-15:15 | Scandolo, G (University of Firenze) | |
| Conditional convex risk measures | Sem 1 | |
| Tuesday 03 May | ||
| 15:45-16:45 | Zervos, M (Kings College London) | |
| A model for reversible investment capacity expansion | Sem 1 | |
| 17:00-18:00 | Hughston, L (Kings College London) | |
| A class of exactly solvable credit models | Sem 1 | |
| Wednesday 04 May | ||
| 10:00-11:00 | Owen, M (Heriot Watt) | |
| Duality of cones and utility-based super-replication prices | Sem 2 | |
| 11:15-12:15 | Cox, A (York) | |
| Skorokhod embeddings in finance | Sem 2 | |
| Thursday 05 May | ||
| 11:15-12:15 | Kou, S (Columbia) | |
| Credit spread, endogenous default and implied volatility with jump risk | Sem 1 | |
| Monday 09 May | ||
| 11:15-12:15 | Broadie, M, Glasserman, P (Columbia) | |
| Computational finance, introductory meeting | Sem 1 | |
| Tuesday 10 May | ||
| 17:00-18:00 | Hurd, T (McMaster) | |
| CDO computations in the affine Markov chain credit model | Sem 1 | |
| Friday 13 May | ||
| 10:00-11:00 | Friz, P (Cambridge) | |
| Pricing volatility derivatives as inverse problem | Sem 1 | |
| 11:30-12:30 | Sabanis, S (Edinburgh) | |
| A class of stochatic volatility models and EMM | Sem 1 | |
| 13:30-14:30 | Gatarek, D (Numerix) | |
| Uncertain volatility approach to smile modelling | Sem 1 | |
| 14:30-15:30 | Albanese, C (Imperial) | |
| Stochastic volatility and local levy processess on lattices | Sem 1 | |
| 16:00-17:00 | Rebonato, R (Royal Bank of Scotland) | |
| Why neither time-homogeneity nor time-dependance will do: theoretical implications and empirical evidence from the US dollars option market | Sem 1 | |
| 17:00-18:00 | Alexander, C (ISMA Centre) | |
| Unifying volatility models | Sem 1 | |
| Saturday 14 May | ||
| 09:00-10:00 | Galluccio, S (BNP Paribas) | |
| Modelling hybrids with jumps and stochastic volatility at CMS, room MR2 | Sem 1 | |
| 10:00-11:00 | Bonnaud, J (BNP Paribas) | |
| Solving the stochastic volatility/jumps dilemna: mapping technique and subordinators - at CMS, room MR2 | Sem 1 | |
| 11:30-12:30 | Rasmussen, H (Oxford) | |
| Some forward volatility approximations at CMS, room MR2 | Sem 1 | |
| 13:30-14:30 | Cont, R (Paris) | |
| Hedging in models with jumps at CMS, room MR2 | Sem 1 | |
| 14:30-15:30 | Lee, R (Chicago) | |
| From generalized put-call symmetry to robust hedges of volatility derivatives - at CMS, room MR2 | Sem 1 | |
| Monday 16 May | ||
| 11:15-12:15 | Bally, V (Paris) | |
| Sensitivity computation in jump models | Sem 1 | |
| 15:30-16:30 | Hurd, T (McMaster) | |
| A Monte Carlo method for exponential hedging of contingent claims | Sem 1 | |
| 17:00-18:00 | Pliska, S (Chicago) | |
| Portfolio optimization: The quest for useful mathematics | Sem 1 | |
| Tuesday 17 May | ||
| 11:15-12:15 | Touzi, N (CREST) | |
| Towards Monte Carlo methods for fully non-linear parabolic second order PDE's | Sem 1 | |
| 15:45-16:45 | Cvitanic, J (UCLA) | |
| Estimation of volatility values from discretely observed diffusion data | Sem 1 | |
| 17:00-18:00 | Carmona, R (Princeton) | |
| Applications of optimal switching to energy tolling agreements | Sem 1 | |
| Wednesday 18 May | ||
| 09:00-17:00 | ||
| Monte Carlo Methods | Sem 1 | |
| Thursday 19 May | ||
| 09:00-17:00 | ||
| Monte Carlo Methods | Sem 1 | |
| Friday 20 May | ||
| 09:00-17:00 | ||
| Monte Carlo Methods | Sem 1 | |
| Monday 23 May | ||
| 10:00-11:00 | Morris, S (Yale) | |
| Higher order expectations in economics and finance: an overview | Sem 1 | |
| 11:30-12:30 | Kondor, P (LSE) | |
| The more we know, the less we agree: public announcements and higher-order expectations | Sem 1 | |
| 14:00-15:00 | Angeletos, G-M (MIT) | |
| Crises and prices: information aggregation, multiplicity and volatility | Sem 1 | |
| 15:30-16:30 | Bacchetta, P (Studienzentrum Gerzensee) | |
| Higher order expectations in asset pricing | Sem 1 | |
| Tuesday 24 May | ||
| 09:00-10:00 | Hellwig, C (UCLA) | |
| Self-fulfilling currency crises: the role of interest rates | Sem 1 | |
| 10:00-11:00 | Pavan, A (Northwestern) | |
| The social value of information and coordination | Sem 1 | |
| 11:30-12:30 | Guimaraes, B (LSE) | |
| Good Ponzi schemes and the price of debt | Sem 1 | |
| 14:00-15:00 | Lorenzoni, G (MIT) | |
| Imperfect information, consumers expectations and business cycles | Sem 1 | |
| Wednesday 25 May | ||
| 11:15-12:15 | Grasselli, M (McMaster University) | |
| Indifference pricing in two factor models: new results for stochastic volatility and real options | Sem 1 | |
| Thursday 26 May | ||
| 11:15-12:15 | Gatheral, J (New York University) | |
| Valuation of volatility derivatives | Sem 1 | |
| Friday 27 May | ||
| 09:00-17:00 | ||
| Agent Interactions/Capital Market Theory | Sem 1 | |
| Tuesday 31 May | ||
| 15:45-16:45 | Challet, D (Oxford) | |
| Inter-pattern speculation: beyond minority, majority and {\sl\$}-games | Sem 1 | |
| 17:00-18:00 | Jacka, S (Warwick) | |
| Decomposing financial and other monetary risk | Sem 1 | |
| Wednesday 01 June | ||
| 11:15-12:15 | Peskir, G (Aarhus) | |
| The trap of complacency in predicting the maximum | Sem 2 | |
| Thursday 02 June | ||
| 11:15-12:15 | Tehranchi, M (Texas) | |
| A term structure approach to volatility | Sem 2 | |
| 15:45-16:45 | Vecer, J (Columbia) | |
| Crash options and rally options | Sem 1 | |
| Tuesday 07 June | ||
| 17:00-18:00 | Mandelbrot, B (Yale) | |
| Fractal and multi-fractal finance: key ideas and tools | Sem 1 | |
| Wednesday 08 June | ||
| 15:45-16:45 | Frittelli, M (Firenze) | |
| Capital requirements for processes | Sem 1 | |
| 17:00-18:00 | Hernandez, D (CIMAT) | |
| On relations between risk sensitive control, indifference pricing and the growth rate of portfolios | Sem 1 | |
| Monday 13 June | ||
| 09:00-17:00 | ||
| Econometrics | Sem 1 | |
| 11:00-12:00 | Hansen, L (Chicago) | |
| Long run risk | Sem 1 | |
| Tuesday 14 June | ||
| 09:00-17:00 | ||
| Econometrics | Sem 1 | |
| 17:00-18:00 | Honkapohja, S (Cambridge) | |
| Near-rational exuberence | Sem 1 | |
| Tuesday 21 June | ||
| 17:00-18:00 | Platen, E (University of Technology, Sydney) | |
| Understanding implied volatility surfaces | Sem 1 | |
| Wednesday 22 June | ||
| 11:15-12:15 | Shreve, S (Carnegie Mellon) | |
| Minimising convex risk measures by trading | Sem 2 | |
| 15:30-16:00 | Hobson, D (Bath) | |
| Executive stock options revisited | Sem 1 | |
| Thursday 23 June | ||
| 11:15-12:15 | Oertel, F (Heriot Watt) | |
| The stochastic logarithm of semimartingales and market prices of risk | Sem 1 | |
| Tuesday 28 June | ||
| 14:30-15:00 | Bank, P (Columbia) | |
| On Gittin's theorem in continuous time | Sem 1 | |
| 15:30-16:00 | Hobson, D (Bath) | |
| Executive stock options revisited | Sem 1 | |
| Wednesday 29 June | ||
| 14:00-14:50 | Guo, X (Cornell) | |
| Information reduction in credit risk models | Sem 1 | |
| 14:50-15:35 | Elouerkhaoui, Y (Citigroup) | |
| Hedging basket credit derivative claims: a local risk-minimisation approach | Sem 1 | |
| 16:15-17:05 | Hughston, L (King's) | |
| Beyond hazard rates | Sem 1 | |
| 17:05-18:00 | di Graziano, G (Cambridge) | |
| A new approach to the modelling of default correlation | Sem 1 | |
| Thursday 30 June | ||
| 14:30-15:30 | Pliska, S (Chicago) | |
| Morgate valuation and optimal refinancing | Sem 1 | |
| Monday 04 July | ||
| 10:20-11:10 | Shreve, S (Carnegie-Mellon) | |
| Futures trading model with transaction costs | Sem 1 | |
| 11:40-12:30 | Taylor, S (Lancaster) | |
| Comparisons of P - densities obtained from historical asset prices, option prices and risk transformations | Sem 1 | |
| 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 | |
| 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 | |
| Tuesday 05 July | ||
| 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 | |
| 11:40-12:30 | Platen, E (University of Technology, Sydney) | |
| A unified framework for portfolio optimization and asset pricing | Sem 1 | |
| 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 | |
| 16:10-17:00 | Musiela, M (BNP Paribas) | |
| Mathematical issues with volatility modelling | Sem 1 | |
| Wednesday 06 July | ||
| 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 | |
| 11:40-12:30 | Kou, S (Columbia) | |
| Modelling growth stocks | Sem 1 | |
| Thursday 07 July | ||
| 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 | |
| 11:40-12:30 | Becherer, D (Imperial) | |
| Backward SDE's with jumps and applications in utility optimisation | Sem 1 | |
| 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 | |
| 16:10-17:00 | Baxter, M (Nomura) | |
| Correlation, skew and target redemption inverse floaters | Sem 1 | |
| Friday 08 July | ||
| 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 | |
| 11:40-12:30 | Benth, F (University of Oslo) | |
| Option pricing in the Barndorff-Nielsen and Shephard stochastic volatility model | Sem 1 | |
| 14:00-14:50 | Davis, M (Imperial) | |
| Complete-market models of stochastic volatility | Sem 1 | |
| 15:20-16:10 | Ross, S (MIT) | |
| A neoclassical look at behavioural finance | Sem 1 | |
| Tuesday 12 July | ||
| 17:00-18:00 | Cherny, A (Moscow State) | |
| Pricing, optimality and equilibrium based on coherent risk measures | Sem 2 | |
| Thursday 14 July | ||
| 11:15-12:15 | Dempster, M | |
| Dynamic correlation intensity modelling for portfolio credit risk | Sem 2 | |
| Friday 15 July | ||
| 11:15-12:15 | Tian, W (Waterloo) | |
| Default and capital structure with equity-linked debt securities | Sem 2 | |
| 14:30-15:30 | Zhang, L (Carnegie-Mellon) | |
| Estimating volatility with noisy high frequency data | Sem 2 | |
| Tuesday 19 July | ||
| 15:45-16:45 | Lim, A (Berkeley) | |
| An alternative formulation of the robust portfolio selection problem | Sem 2 | |
| 17:00-18:00 | Mykland, P (Chicago) | |
| Volatility and options hedging | Sem 2 | |
| Other Seminars |
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Seminars in the University National and International Scientific Research Meetings |