DQF
24 January 2005 to 22 July 2005
The field of mathematical finance is comparatively young, and the modern theory can be traced back to the Black-Scholes-Merton solution of the problem of how to price a call option, a financial security whose payoff is contingent on the behaviour of an underlying asset. Over the past three decades the explosive growth in trading of financial derivatives has been reflected in a commensurate growth in the study of financial mathematics, which in turn has helped to support the increasing sophistication of financial markets.
As a branch of mathematics, finance is extremely diverse, and the subject has attracted the interest of, and generated research problems for, researchers from a broad spectrum of mathematical disciplines. The theory is based on stochastic models, and there are obvious applications from statistical analysis, but there have also been significant contributions from functional and convex analysis. There are also strong connections with numerical analysis and computational methods, not least because many of the equations which arise have long been studied by applied mathematicians. The healthy development of the subject also needs input from economists and industry professionals.
The major themes of this programme are asset price modelling and inference for financial models; market imperfections and derivative pricing in incomplete markets; insurance applications and the modelling and quantification of credit events; computational finance; and financial economics and agent interactions. The aim is that researchers from all related disciplines - from economics, physics and finance as well as pure and applied mathematics and statistics - should meet and interact, to share knowledge and advance understanding.
Click here to download the programme's final scientific report
Title | Year | Programme | |
---|---|---|---|
Target zone dynamics where the fundamental follows a SDE with periodic forcingAuthors: Ghassan Dibeh |
2004 | DQF | 21 October 2016 |
Esscher transforms and martingale measures in incomplete diffusion modelsAuthors: Michael Monoyios |
2004 | DQF | 21 October 2016 |
Characterization of optimal dual measures via distortionAuthors: Michael Monoyios |
2004 | DQF | 21 October 2016 |
Model uncertainty and its impact on the pricing of derivative instrumentsAuthors: Rama Cont |
2004 | DQF | 21 October 2016 |
Retrieving Lévy processes from option prices: regularization of an ill-posed inverse problemAuthors: Peter Tankov, Rama Cont |
2004 | DQF | 21 October 2016 |
Volatility clustering in financial markets: empirical facts and agent-based modelsAuthors: Rama Cont |
2004 | DQF | 21 October 2016 |
Pricing and trading credit default swaps under deterministic intensityAuthors: Monique Jeanblanc, Marek Rutkowski, Tomasz Bielecki |
2004 | DQF | 21 October 2016 |
Hedging of credit derivatives in models with totally unexpected defaultAuthors: Monique Jeanblanc, Marek Rutkowski, Tomasz Bielecki |
2004 | DQF | 21 October 2016 |
Credit spreads, optimal capital structure, and implied volatility with endogenous default and jump riskAuthors: Steven Kou, Sichong Chen |
2004 | DQF | 21 October 2016 |
Valuation of volatility derivatives as an inverse problemAuthors: Jim Gatheral, P Friz |
2004 | DQF | 21 October 2016 |
Pricing, optimality, and equilibrium based on coherent risk measuresAuthors: Alexander Cherny |
2004 | DQF | 21 October 2016 |
Weighted V@R and its propertiesAuthors: Alexander Cherny |
2004 | DQF | 21 October 2016 |
The Kolmogorov students' competitions on probability theoryAuthors: Alexander Cherny |
2004 | DQF | 21 October 2016 |
Discretionary stopping of one-dimentional Itô diffusions with a staircase payoff functionAuthors: Lane Hughston, Martijn Pistorius, ET Al, Anne-Laure Bronstein |
2004 | DQF | 21 October 2016 |
A discretionary stopping problem with applications to the optimal timing of investment decisionsAuthors: Mihail Zervos, Paul Johnson |
2004 | DQF | 21 October 2016 |
A model for reversible investment capacity expansionAuthors: Mihail Zervos, A Merhi |
2004 | DQF | 21 October 2016 |
25 February 2005 to 26 February 2005
10 March 2005 to 10 March 2005
18 March 2005 to 18 March 2005
4 April 2005 to 8 April 2005
22 April 2005 to 22 April 2005
13 May 2005 to 14 May 2005
23 May 2005 to 24 May 2005
4 July 2005 to 8 July 2005
Tuesday 25th January 2005 | |||
---|---|---|---|
11:00 to 12:00 |
Tomas Bjork |
Room 2 |
Thursday 27th January 2005 | |||
---|---|---|---|
17:00 to 18:00 |
Andrew Cairns Heriot-Watt University |
Room 2 |
Monday 31st January 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Continuous time processes based on infinite activity innovations |
Room 1 |
Tuesday 1st February 2005 | |||
---|---|---|---|
10:00 to 12:00 |
Jeanette Woerner |
Room 2 | |
14:00 to 17:00 |
Friedrich Hubalek |
Room 2 | |
17:00 to 18:00 |
Yuri Kabanov Université de Franche-Comté |
Room 2 |
Wednesday 2nd February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Albert Shiryaev |
Room 2 | |
11:00 to 11:30 |
Jan Rosinski |
Room 2 | |
11:30 to 12:00 | Room 2 |
Thursday 3rd February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Peter Brockwell Colorado State University |
Room 2 | |
11:00 to 11:30 |
Michael Sorensen Universitetsparken 5 |
Room 2 | |
11:30 to 12:00 |
Friedrich Hubalek |
Room 2 |
Friday 4th February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Ernst Eberlein |
Room 2 | |
11:00 to 12:00 |
Cecilia Mancini |
Room 2 |
Tuesday 8th February 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Johan Tysk Uppsala Universitet |
Room 1 | |
17:00 to 18:00 |
Forecasting time series subject to multiple structural breaks |
Room 1 |
Wednesday 9th February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
David Hobson University of Bath |
Room 2 |
Thursday 10th February 2005 | |||
---|---|---|---|
11:15 to 12:15 |
A problem of optimal investment with randomly terminating income |
Room 2 |
Monday 14th February 2005 | |||
---|---|---|---|
15:00 to 16:15 |
Suleyman Basak |
Room 1 |
Tuesday 15th February 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Nick Webber University of Warwick |
Room 1 | |
17:00 to 18:00 |
Michael Monoyios Brunel University |
Room 1 | |
18:00 to 19:00 | No Room Required |
Wednesday 16th February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Xuerong Mao University of Strathclyde |
Room 2 | |
11:15 to 12:15 |
Anthony Neuberger University of Warwick |
Room 2 |
Monday 21st February 2005 | |||
---|---|---|---|
11:15 to 12:15 | Room 1 | ||
14:00 to 16:00 | Room 2 |
Tuesday 22nd February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Ernst Eberlein |
Room 1 | |
11:00 to 12:00 |
Wim Schoutens |
Room 1 | |
17:00 to 18:00 |
Vicky Henderson Princeton University |
Room 1 |
Wednesday 23rd February 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Thorsten Schmidt |
Room 2 | |
11:00 to 12:00 |
Mike Walker University of Toronto |
Room 2 |
Thursday 24th February 2005 | |||
---|---|---|---|
10:00 to 11:00 | Room 2 | ||
11:00 to 12:00 |
Ludger Overbeck |
Room 2 | |
15:00 to 16:00 | Room 2 | ||
16:00 to 17:00 |
Stefan Weber |
Room 2 | |
17:00 to 18:00 |
Philippe Artzner Université Louis Pasteur |
Room 2 |
Monday 28th February 2005 | |||
---|---|---|---|
11:15 to 12:15 | Room 1 |
Tuesday 1st March 2005 | |||
---|---|---|---|
17:00 to 18:00 |
Peter Laurence |
Room 1 |
Thursday 3rd March 2005 | |||
---|---|---|---|
11:30 to 12:30 |
Rob Smith University of Cambridge |
Room 2 |
Monday 7th March 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Philippe Artzner Université Louis Pasteur |
Room 1 | |
14:30 to 15:30 |
Ales Cerny Imperial College London |
Room 1 | |
16:00 to 17:00 | Room 1 |
Tuesday 8th March 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Andrew Cairns Heriot-Watt University |
Room 1 | |
15:45 to 16:45 |
Alexander Schied Alfréd Rényi Institute of Mathematics,Hungarian Academy of Sciences |
Room 1 | |
17:00 to 18:00 |
Smoothing, non-synchronous appraisal and cross-sectional aggregation in real estate price indices |
Room 1 |
Wednesday 9th March 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Pauline Barrieu Instituto Balseiro |
Room 2 | |
15:45 to 16:45 | Room 2 |
Friday 11th March 2005 | |||
---|---|---|---|
09:00 to 15:00 | Discussion Room | ||
13:30 to 15:00 |
Stewart Hodges University of Warwick |
Room 1 |
Monday 14th March 2005 | |||
---|---|---|---|
13:00 to 13:30 |
Raman Uppal London Business School |
Room 1 | |
13:30 to 14:45 | Room 1 | ||
15:00 to 16:15 |
Suleyman Basak |
Room 1 |
Tuesday 15th March 2005 | |||
---|---|---|---|
09:30 to 10:45 |
Anna Pavlova Massachusetts Institute of Technology |
Room 1 | |
11:00 to 12:15 |
Harjoat Bhamra |
Room 1 | |
12:15 to 13:45 | No Room Required | ||
13:45 to 15:00 |
Ke Tang |
Room 1 | |
15:15 to 16:30 | Room 1 | ||
16:30 to 17:00 | No Room Required | ||
17:00 to 18:15 | Room 1 |
Wednesday 16th March 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Ronnie Sircar Princeton University |
Room 2 |
Monday 21st March 2005 | |||
---|---|---|---|
11:15 to 12:15 | Room 1 |
Tuesday 22nd March 2005 | |||
---|---|---|---|
15:45 to 16:45 |
On the characterization of the optimal growth rate of investment portfolios |
Room 1 | |
17:00 to 18:00 |
Ghassan Dibeh Lebanese American University |
Room 1 |
Wednesday 23rd March 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Thorsten Rheinlander Instituto Balseiro |
Room 1 |
Tuesday 29th March 2005 | |||
---|---|---|---|
17:00 to 18:00 |
An adaptive method for valuing derivatives on assets with stochastic volatility |
Room 2 |
Thursday 31st March 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Masaaki Kijima Kyoto University |
Room 2 |
Wednesday 6th April 2005 | |||
---|---|---|---|
17:00 to 18:00 |
David Hobson University of Bath |
Room 1 |
Tuesday 12th April 2005 | |||
---|---|---|---|
11:15 to 12:15 | Room 1 | ||
15:45 to 16:45 |
Computation of Greeks via Monte Carlo methods: improvements with and without Malliavin calculus |
Room 1 | |
17:00 to 18:00 |
Stewart Hodges University of Warwick |
Room 1 |
Thursday 14th April 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Philip Dybvig |
Room 1 |
Tuesday 19th April 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Ales Cerny Imperial College London |
Room 1 | |
17:00 to 18:00 | Room 1 |
Wednesday 20th April 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Olaf Menkens University of Essex |
Room 1 | |
11:15 to 12:15 |
Anke Wiese Heriot-Watt University |
Room 1 |
Thursday 21st April 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Damien Lamberton |
Room 2 | |
11:15 to 12:15 |
Christopher Potter University of Oxford |
Room 2 |
Monday 25th April 2005 | |||
---|---|---|---|
11:15 to 12:00 |
Walter Schachermayer Vienna University of Technology |
Room 1 | |
14:30 to 15:15 |
Marco Frittelli Università di Firenze |
Room 1 | |
16:00 to 16:45 |
Luciano Campi Vienna University of Technology |
Room 1 |
Tuesday 26th April 2005 | |||
---|---|---|---|
11:15 to 12:00 |
Nicole El Karoui Centre de Physique Théorique de l’Ecole Polytechnique (CPHT) |
Room 2 | |
14:00 to 15:30 |
Lucien Paul Foldes London School of Economics |
Room 1 | |
17:00 to 18:00 |
David Hobson University of Bath |
Room 1 |
Wednesday 27th April 2005 | |||
---|---|---|---|
11:15 to 12:00 | Room 2 | ||
14:00 to 14:45 |
Miklos Rasonyi Alfréd Rényi Institute of Mathematics,Hungarian Academy of Sciences |
Room 1 | |
16:00 to 17:15 |
Dmitry Kramkov |
Room 2 |
Thursday 28th April 2005 | |||
---|---|---|---|
14:00 to 14:45 |
Luciano Campi Vienna University of Technology |
Room 2 |
Friday 29th April 2005 | |||
---|---|---|---|
14:00 to 15:15 | Room 1 |
Tuesday 3rd May 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Mihail Zervos King's College London |
Room 1 | |
17:00 to 18:00 |
Lane Hughston King's College London |
Room 1 |
Wednesday 4th May 2005 | |||
---|---|---|---|
10:00 to 11:00 |
Mark Owen |
Room 2 | |
11:15 to 12:15 |
Alexander Cox University of York |
Room 2 |
Thursday 5th May 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Steven Kou Columbia University |
Room 1 |
Monday 9th May 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Mark Broadie Columbia University |
Room 1 |
Tuesday 10th May 2005 | |||
---|---|---|---|
17:00 to 18:00 |
Thomas Hurd McMaster University |
Room 1 |
Wednesday 11th May 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Thursday 12th May 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Friday 13th May 2005 | |||
---|---|---|---|
11:00 to 14:00 | Discussion Room |
Monday 16th May 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Vlad Bally |
Room 1 | |
15:30 to 16:30 |
Thomas Hurd McMaster University |
Room 1 | |
17:00 to 18:00 |
Stan Pliska University of Illinois at Chicago |
Room 1 |
Tuesday 17th May 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Nizar Touzi Centre de Recherche en Économie et Statistique (CREST) |
Room 1 | |
15:45 to 16:45 |
Jaksa Cvitanic Medical University of South Carolina (MUSC) |
Room 1 | |
17:00 to 18:00 |
Rene Carmona Princeton University |
Room 1 |
Wednesday 18th May 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Thursday 19th May 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Friday 20th May 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Wednesday 25th May 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Matheus Grasselli McMaster University |
Room 1 |
Thursday 26th May 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Jim Gatheral |
Room 1 |
Friday 27th May 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Tuesday 31st May 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Damien Challet OCIAM |
Room 1 | |
17:00 to 18:00 |
Saul Jacka University of Warwick |
Room 1 |
Wednesday 1st June 2005 | |||
---|---|---|---|
11:15 to 12:15 | Room 2 |
Thursday 2nd June 2005 | |||
---|---|---|---|
11:15 to 12:15 | Room 2 | ||
15:45 to 16:45 |
Jan Vecer Columbia University |
Room 1 |
Tuesday 7th June 2005 | |||
---|---|---|---|
17:00 to 18:00 | Room 1 |
Wednesday 8th June 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Marco Frittelli Università di Firenze |
Room 1 | |
17:00 to 18:00 |
On relations between risk sensitive control, indifference pricing and the growth rate of portfolios |
Room 1 |
Monday 13th June 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 | ||
11:00 to 12:00 |
Lars Hansen University of Chicago |
Room 1 |
Tuesday 14th June 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 | ||
17:00 to 18:00 | Room 1 |
Wednesday 15th June 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Thursday 16th June 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Friday 17th June 2005 | |||
---|---|---|---|
09:00 to 17:00 | Room 1 |
Tuesday 21st June 2005 | |||
---|---|---|---|
17:00 to 18:00 |
Eckhard Platen University of Technology Sydney |
Room 1 |
Wednesday 22nd June 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Steven Shreve |
Room 2 | |
15:30 to 16:00 |
David Hobson University of Bath |
Room 1 | |
Thursday 23rd June 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Frank Oertel Heriot-Watt University |
Room 1 |
Tuesday 28th June 2005 | |||
---|---|---|---|
14:30 to 15:00 |
Peter Bank Columbia University |
Room 1 | |
15:30 to 16:00 |
David Hobson University of Bath |
Room 1 |
Wednesday 29th June 2005 | |||
---|---|---|---|
14:00 to 14:50 |
Xin Guo Cornell University |
Room 1 | |
14:50 to 15:35 |
Hedging basket credit derivative claims: a local risk-minimisation approach |
Room 1 | |
16:15 to 17:05 |
Lane Hughston King's College London |
Room 1 | |
17:05 to 18:00 | Room 1 |
Thursday 30th June 2005 | |||
---|---|---|---|
14:30 to 15:30 |
Stan Pliska University of Illinois at Chicago |
Room 1 |
Tuesday 12th July 2005 | |||
---|---|---|---|
17:00 to 18:00 |
Alexander Cherny Institute of Mechanics of Moscow State University |
Room 2 |
Thursday 14th July 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Dynamic correlation intensity modelling for portfolio credit risk |
Room 2 |
Friday 15th July 2005 | |||
---|---|---|---|
11:15 to 12:15 |
Tian University of Waterloo |
Room 2 | |
14:30 to 15:30 |
Lan Zhang |
Room 2 |
Tuesday 19th July 2005 | |||
---|---|---|---|
15:45 to 16:45 |
Andrew Lim University of California |
Room 2 | |
17:00 to 18:00 |
Per Mykland University of Chicago |
Room 2 |
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