Unless indicated, all seminars take place at Lecture
Theatre 2C, King's College London, The Strand, London WC2R 2LS.
Tuesday 1 October,
5:30 pm |
Dr Jordan Stoyanov
Department of Statistics, Newcastle University
Moment problems for distributions in stochastic finance modelling
(abstract) |
Tuesday 15 October,
5:30 pm |
Professor Nick Bingham
Brunel University
Semi-parametric modelling in finance
|
Tuesday 22 October,
5:30 pm |
Professor Chris Rogers
University of Cambridge
The squared-Ornstein-Uhlenbeck market
(abstract) |
Tuesday 29 October,
5:30 pm |
Dr Alison Etheridge
University of Oxford
Evolution in fluctuating populations
(abstract) |
Tuesday 5 November,
5:30 pm |
Dr Jerome Busca
Universite Paris Dauphine
Large deviation methods in financial mathematics
(abstract) |
Tuesday 12 November,
5:15 pm |
Dr Rama Cont
Ecole Polytechnique
Non-parametric calibration of jump-diffusion option pricing models
(abstract) |
Tuesday 26 November,
5:30 pm |
Dr Riccardo Rebonato
Royal Bank of Scotland
Assigning future smile surfaces: conditions for
uniqueness and absence of arbitrage
(abstract) |
Tuesday 10 December,
5:30 pm |
Dr Philippe Balland
Merrill Lynch, London
Risk avalanches, trading rules and limit distributions
(abstract) |
Tuesday 21 January,
5:30 pm |
Professor Wilfrid Kendall
Department of Statistics, University of Warwick
Ising models and multiresolution quadtrees
(abstract) |
Tuesday 28 January,
5:30 pm
Room 16D |
Dr Michael Monoyios
Brunel University
Duality and distortion methods for optimal hedging
in incomplete markets
(abstract) |
Tuesday 11 February,
5:15 pm |
Dr Jean-Philippe Bouchaud
Service de Physique de l'Etat Condense,
CEA Saclay and Science & Finance, Paris
Option smiles, optimally hedged Monte-Carlo and historical
option pricing
(abstract) |
Tuesday 18 February,
5:30 pm |
Dr Mark Owen
Department of Actuarial Mathematics and Statistics,
Heriot-Watt University, Edinburgh
Utility based hedging in incomplete markets
(abstract) |
Tuesday 25 February,
5:30 pm |
Dr Dorje Brody
Blackett Laboratory, Imperial College
A coherent approach to interest rate modelling
(abstract) |
Tuesday 11 March,
5:15 pm
Room 16D |
Professor Antoon Pelsser
Econometric Institute, Erasmus University, Rotterdam
Pricing and hedging guaranteed annuity options via static
option replication
(abstract) |
Tuesday 18 March,
5:30 pm |
Dr Michel Dacorogna
Converium Ltd, Zurich, Switzerland
Extreme moves in daily foreign exchange rates and risk limit
setting
(abstract) |
Tuesday 25 March,
5:30 pm |
Dr Stefano Galluccio
BNP Paribas
The co-initial swap market model with application
to forward smiles generation and multiasset options
(abstract) |
Tuesday 13 May,
5:30 pm |
Professor Doyne Farmer
Santa Fe Institute, New Mexico
Low intelligence: An alternative approach to economics
(abstract) |
Tuesday 20 May,
5:30 pm |
Dr Adam Ostaszewski,
Mathematics Department, London School of Economics
An Alternative to the Feltham-Ohlson Valuation Framework:
Using q-Theoretic Income to Predict Firm Value
(abstract) |
Tuesday 3 June,
5:30 pm
Room 10C |
Professor Neil Johnson
Clarendon Laboratory, Physics Department, Oxford University
Pros and Cons of Networks in Multi-Agent Economies
(abstract) |
Tuesday 17 June,
5:30 pm
Room 10C |
Dr Gordon Woo
Risk Management Solutions Ltd., London
Terrorism and the financial markets
(abstract) |
| Tuesday 1 July, |
Professor Matheus Grasselli
Department of Mathematics,
McMaster University, Ontario
The Wiener Chaos Expansion for the CIR model
(abstract) |
