Wednesday July 12th:
New Directions in Mathematical Finance

Chairman: L.P. Hughston
Lectures: Lecture Theatre 2C, Main Building (Strand Campus)
Refreshments: Lecture Theatre 2C


9.30-10.00

Registration and coffee, Lecture Theatre 2C

10.00-10.30 Dr. Mihail Zervos (KCL)
Martingale Approach to the Pricing of Real Options
10.30-11.00 Dr. Gordon Woo (Eqecat, London)
The Mathematics of Natural Catastrophes

11.00-11.30 Coffee

11.30-12.00 Dr. Nick Webber (Warwick)
Models of Interest Rates on Non-Linear State Spaces
12.00-12.30 Dr. William Shaw (Nomura International)
Implied Volatility Instability and Smiles

12.30-2.00 Lunch

2.00-2.30 Dr. Steven Leppard (Enron)
Diagrammatic Approach to Real Options
2.30-3.00 Dr. Giulia Iori (Essex)
Scaling and Multi-Scaling in Financial Markets

3.00-3.30 Coffee

3.30-4.00 Professor Tom Hurd (Ontario)
Measures of Dependence for Multivariate Levy Distributions
4.00-4.30 Dr. Dorje Brody (ICL and Cambridge)
Interest Rates and Information Geometry

4.30-5.00 Coffee

5.00-5.30 Professor Nick Bingham (Brunel)
Hyperbolic and Related Distributions in Finance
5.30-6.00 Dr. Philippe Balland (Merrill Lynch)
Levy Processes in Finance

6.00-8.00 Wine and cheese, Senior Common Room