King's College London
Financial Mathematics
King's Logo

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)

Financial Mathematics
Vacancies
Research Group
Current PhD students
Research Activities
Recent Publications
PhD in Financial Mathematics
MSc in Financial Mathematics
Seminars and Conferences
Past Seminars and Conferences
About King's College

KCL Mathematics


[Financial Mathematics] [KCl Mathematics] [King's College]