King's College London
Financial Mathematics
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Financial Mathematics and Applied Probability Seminars 2003-2004

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

Tuesday 30 September,
5:30 pm
Professor Angus MacDonald
Director, Genetics and Insurance Research Centre, Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Genetics and Insurance: Data and Models (abstract)
Tuesday 7 October,
5:30 pm
Dr William Shadwick
The Finance Development Centre Limited, London
Omega Functions and Analysis of Financial Data (abstract)
Tuesday 21 October,
5:30 pm
Professor Claudio Albanese
Department of Mathematics, University of Toronto, Canada
Discretization Schemes for Option Pricing Models with Jumps and State-dependent Volatility (abstract)
Tuesday 28 October,
5:30 pm
Dr Arne Lokka
Department of Mathematics, University of Oslo
Equilibrium and incomplete financial markets (abstract)
Tuesday 11 November,
5:30 pm
Professor Mark Davis
Department of Mathematics, Imperial College London
An optimal investment problem with randomly terminating income (abstract)
Tuesday 25 November,
5:30 pm
Dr Mark Joshi
Quantitative Research Centre, Royal Bank of Scotland
Rapid and Accurate Computation of Prices and Greeks for Basket Credit Default Swaps in the Li Model (abstract)
Tuesday 20 January,
5:30 pm
Dr Dirk Becherer
Department of Mathematics, Imperial College London
On futures prices in supermartingale term structure models (abstract)
Tuesday 27 January,
5:30 pm
Professor Alex Kacelnik
Department of Zoology, Oxford University
Behavioural Risk Sensitivity in animals and humans: from the beginnings to Scalar Utility Theory (abstract)
Tuesday 3 February,
5:30 pm
Professor Ragnar Norberg
Department of Statistics, London School of Economics
Vasicek beyond the normal (abstract)
Tuesday 10 February,
5:30 pm
Dr Gael Martin
Department of Econometrics and Business Statistics, Monash University, Australia
Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter (abstract)
Tuesday 24 February,
5:30 pm
No seminar planned due to AUT strike
Tuesday 16 March,
5:30 pm
Professor Vicky Henderson
Bendheim Center for Finance, Princeton University
Valuing Real Options without a Perfect Spanning Asset (abstract)
Tuesday 23 March,
5:30 pm
Dr Tony He
School of Finance and Economics, University of Technology, Sydney
Asset Pricing, Volatility and Market Behavior ---A Market Fraction Approach (abstract)
Tuesday 30 March,
5:30 pm
Room 17B
Professor Onesimo Hernandez-Lerma
Departamento de Mathematicas, CINVESTAV-IPN, Mexico
Topics in optimal control and game theory (abstract)
Tuesday 20 April,
5:30 pm
Professor Raymond Brummelhuis
Department of Mathematics and Statistics, Birkbeck College, London
Multi-period risk assesment in GARCH models (abstract)
Tuesday 11 May,
5:30 pm
Dr Pauline Barrieu
Department of Statistics, London School of Economics
Optimal derivatives design under dynamic risk measures (abstract)
Tuesday 18 May,
5:30 pm
Dr Robert Tompkins
Business school of Finance and Management (HfB), Germany,
Unconditional Return Disturbances: a Non Parametric Simulation Approach (abstract)
Tuesday 15 June,
5:30 pm
Dr Damien Challet
Nomura Centre for Quantitative Finance, Mathematical Institute, Oxford
The quest for large and small fluctuations in minority games: financial and technological applications (abstract)

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