Isaac Newton Institute for Mathematical Sciences

Annual Report 2004/2005

Appendices: Statistical Information

 

Seminars given Outside the Institute 2004/05 - Developments in Quantitative Finance

 

DATE NAME TITLE INSTITUTION
20/01/2005 Wolff, R Some bootstrap tests for non-linearity and long memory University of Warwick
28/01/2005 Wolff, R Some bootstrap tests for non-linearity and long memory London School of Economics
28/01/2005 Henderson, V Valuing the option to invest in an incomplete market University of Manchester
17/02/2005 Kabanov, Y HJB equations arising in models with transaction costs University of Edinburgh
18/02/2005 Cairns, A Modelling the mortality term structure City University
18/02/2005 Kabanov, Y Recent progress in theory of financial markets with transaction costs Heriot-Watt University
01/03/2005 Monoyios, M Esscher transforms, martingale measures and optimal hedging King's College London
03/03/2005 Henderson, V Valuing the option to invest in an incomplete market University of Warwick
11/03/2005 Monoyios, M Esscher transforms, martingale measures and optimal hedging University of Oxford
16/03/2005 Henderson, V The curious incident of the investment in the market: real options and a fair gamble Lancaster University 
17/03/2005 Hobson, D Embeddings via pictures Lancaster University
18/03/2005 Monoyios, M Esscher transforms, martingale measures and optimal hedging Heriot-Watt University
05/04/2005 Webber, N  Reducing dimensionality in interest- rate models University of Warwick 
06/04/2005 Monoyios, M Esscher transforms and martingale measures in incomplete diffusion models Brunel University
06/04/2005 Forfar, D Guarantee annuity rate options Heriot-Watt University
06/04/2005 Davis, H Complete-market models of stochastic volatility University of Liverpool
07/04/2005 Barrieu, P Transfer of non-tradeable risk  London School of Economics
07/04/2005 Becherer, D Solutions to hedging problems with interacting Ito and point processes Imperial College London 
08/04/2005 Kyprianou, A Levy processes in insurance Heriot-Watt University
13/04/2005 Cont, R Recovering Levy processes from option prices  University of Oxford
20/04/2005 Hurd, T CDO computations with affine Markov chain model Imperial College London
04/05/2005 Hobson, D Optimal timing for an asset sale Imperial College London
17/05/2005 Zervos, M A discretionary stopping problem with applications to the optimal timing of investment decisions Imperial College London
18/05/2005 Heath, D Coherent measures of risk Brunel University
18/05/2005 Cont, R Designing stable algorithms for model calibration University of Reading
18/05/2005 Heath, D Coherent measures of risk Brunel University
25/05/2005 Henderson, V Valuing the option to invest in an incomplete market City University
31/05/2005 Shreve, S Minimizing convex risk by trading King's College London
31/05/2005 Vecer, J Crash options, rally options Imperial College London
01/06/2005 Shreve, S A two-person game for pricing convertible bonds Imperial College London
01/06/2005 Hurd, T CDO computations with affine Markov chain model University of Warwick
02/06/2005 Henderson, V The curious incident of the investment in the market: real options and a fair gamble LSE
03/06/2005 Shreve, S A two-person game for pricing convertible bonds University of Oxford
03/06/2005 Vecer, J Crash options, rally options King's College London
07/06/2005 Platen, E A benchmark approach to finance King's College London
08/06/2005 Pliska, S Portfolio optimization: the quest for useful mathematics University of Reading
10/06/2005 Grasselli, M Utility based methods for stochastic volatility and real options Heriot-Watt University
10/06/2005 Shreve, S A two person game for convertible bonds University of Cambridge
10/06/2005 Platen, E A benchmark approach to finance University of Edinburgh
15/06/2005 Henderson, V The curious incident of the investment in the market: real options and a fair gamble Imperial College London
15/06/2005 Grasselli, M Open questions in quantum information geometry Imperial College London
15/06/2005 Pliska, S Mortgage valuation and optimal refinancing University of Warwick
17/06/2005 Kou, S Credit spreads, optimal capital structure and implied volatility with endogeous default and jump risk University of Oxford
21/06/2005 Guo, X Information reduction in credit risk King's College London
23/06/2005 Kou, S Credit spreads, optimal capital structure and implied volatility with endogeous default and jump risk. University of Essex
24/06/2005 Kou, S Credit spreads, optimal capital structure and implied volatility with endogeous default and jump risk. University of Cambridge
24/06/2005 Hobson, D The irreversible sale of an indivisible asset in an incomplete market University of Cambridge
28/06/2005 Guo, X Information reduction in credit risk Lings College London
29/06/2005 Platen, E A benchmark approach to finance Imperial College London
29/06/2005 Pliska, S Mortgage valuation and optimal refinancing Imperial College London


| Home | Statistical appendices |