King's College London
Financial Mathematics
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Financial Mathematics and Applied Probability Seminars 2002-2003

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)

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