King's College London Financial Mathematics

New Directions in Mathematical Finance

Wednesday, 12 July 2000, Lecture Theatre 2C, King's College London

There will be a one-day meeting (9:30am - 6:00pm) on New Directions in Mathematical Finance as part of the International Conference on Disordered and Complex Systems at King's College London, 10-14 July 2000, an official satellite meeting of the XIII International Congress of Mathematical Physics, 17-22 July 2000, Imperial College, London.

Chairman:
Professor Lane Hughston
Department of Mathematics, King's College London
lane.hughston@kcl.ac.uk or lane_hughston@yahoo.com

Preliminary programme:

9.30-10.00	Registration and coffee, Lecture Theatre 2C
10.00-10.30	Dr. Mihail Zervos Department of Mathematics, King's College London mihail.zervos@kcl.ac.uk Martingale Approach to the Pricing of Real Options (abstract)
10.30-11.00	Dr. Gordon Woo Eqecat, London gwoo@eqe.co.uk The Mathematics of Natural Catastrophes (abstract)
11.00-11.30	Coffee
11.30-12.00	Dr. Nick Webber Department of Economics, Warwick University nick.webber@warwick.ac.uk Models of Interest Rates on Non-Linear State Spaces (abstract)
12.00-12.30	Dr. William Shaw Quantitative Analysis Group, Nomura International, London william.shaw@nomura.co.uk Implied Volatility Instability and Smiles (abstract)
12.30-2.00	Lunch
2.00-2.30	Dr. Steven Leppard Enron, London Steven.Leppard@enron.com Diagrammatic Approach to Real Options (abstract)
2.30-3.00	Dr. Giulia Iori Department of Accounting, Finance, and Management, University of Essex iorig@essex.ac.uk Scaling and Multi-Scaling in Financial Markets (abstract)
3.00-3.30	Coffee
3.30-4.00	Professor Tom Hurd Department of Mathematics, McMaster University, Ontario hurdt@mcmail.cis.mcmaster.ca Measures of Dependence for Multivariate Levy Distributions (abstract)
4.00-4.30	Dr. Dorje Brody Blackett Laboratory, Imperial College, and DAMTP, Cambridge University D.C.Brody@damtp.cam.ac.uk Interest Rates and Information Geometry (abstract)
4.30-5.00	Coffee
5.00-5.30	Professor Nick Bingham Department of Mathematics, Brunel University nick.bingham@brunel.ac.uk Hyperbolic and Related Distributions in Finance (abstract)
5.30-6.00	Dr. Philippe Balland Merrill Lynch, London ballaphi@mle.co.uk Levy Processes in Finance (abstract)
6.00-8.00	Wine and cheese, Senior Common Room

Registration

The registration fee is £50. For full-time students there is a reduced fee of £25. Registered participants in the Financial Mathematics meeting may attend other sessions of the International Conference on Disordered and Complex Systems at King's College London, 10-14 July 2000. To register electronically for the conference, see

Full name, with title:

Institution and full mailing address:

Email:

Telephone:

Please enclose a UK cheque for £50 (£25 for full-time students) made payable to "King's College London" and labelled "Mathematics Conference". Registration form and cheque should be sent to:

How to get here

How to get to King's College: The entrance to King's College London is on the Strand, on the south side of the Aldwich. The nearest tube stops are Temple, Charing Cross, and Covent Garden. (See also map.)

How to get to Lecture Theatre 2C: Enter the glass doors of the Strand Building, pass the reception area, then proceed directly down the long corridor, and follow the signs upstairs to Room 2C.

How to get to the Senior Common Room: Enter the glass doors of the Strand Building, pass the reception area, then proceed all the way down the long corridor, and the Senior Common Room is at the end.