King's College London
Financial Mathematics
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Financial Mathematics and Applied Probability Seminars

All seminars take place at Lecture Theatre 2C, King's College London, The Strand, London WC2R 2LS.

Tuesday 16 October, 5:30 pm Dr Chenghu Ma
Department of Accounting, Finance & Management, University of Essex
Preferences, Levy Jumps and Option Pricing (abstract)
Tuesday 30 October, 5:30 pm Dr Stephen Jewson
Risk Management Solutions Limited
Weather Derivative Pricing (abstract)
Tuesday 13 November, 5:30 pm Professor Ragnar Norberg
Department of Statistics, London School of Economics
Dynamic Greeks (abstract)
Tuesday 20 November, 5:30 pm Dr Marek Musiela
BNP Paribas
A Perspective on the Pricing and Risk Management in Incomplete Markets (abstract)
Friday 30 November, 5:45 pm Professor Dilip Madan
Robert H. Smith School of Business, University of Maryland at College Park
Pricing and Hedging in Incomplete Markets (abstract)
Tuesday 11 December, 5:30 pm Professor Terry Lyons
The Mathematical Institute, University of Oxford
Integration on High Dimensional Path Spaces (abstract)
Tuesday 29 January, 5:30 pm Dr David Hobson
Department of Mathematical Sciences, University of Bath
Coupling and Option Price Comparisons in a Jump Diffusion Model (abstract)
Tuesday 26 February, 5:30 pm Dr Chris Brooks
ISMA Centre for Education for Financial Markets, University of Reading
Autoregressive Conditional Kurtosis (abstract)
Tuesday 5 March, 5:30 pm Professor Phelim Boyle
University of Waterloo, Canada
Asset Allocation using Quasi Monte Carlo (abstract)
Tuesday 12 March, 5:30 pm Dr Sam Howison
The Mathematical Institute, University of Oxford
Asymptotic Techniques in Derivatives Pricing (abstract)
Tuesday 19 March, 5:30 pm Dr Klaus Toft
Goldman Sachs
How Firms should Hedge (abstract)
Tuesday 26 March, 5:30 pm Dr Thomas Knudsen
Abbey National
Calibration and Vega of Exotic Derivative Pricing Models (abstract)
Tuesday 14 May, 5:30 pm Dr Harry Zheng
Department of Mathematics, Imperial College
Risk Minimizing Hedging of Liabilities (abstract)
Tuesday 21 May, 5:30 pm Professor Stewart Hodges
FORC, University of Warwick
The Relation between Implied and Realised Probability Density Functions (abstract)
Tuesday 28 May, 5:30 pm Professor Thaleia Zariphopoulou
University of Texas at Austin
Indifference Prices and Valuation in Incomplete Markets (abstract)
Tuesday 9 July, 5:30 pm Professor Stathis Tompaidis
University of Texas at Austin
Market Imperfections, Investment Optionality and Default Spreads (abstract)
Monday 15 July, 5:30 pm Dr Matheus Grasselli
Department of Mathematics, McMaster University, Ontario
Optimal Investment in Incomplete Markets (When the Wealth may Become Negative)