King's College London
Financial Mathematics
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Financial Mathematics and Applied Probability Seminars 2004-2005

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

Tuesday 12 October,
5:30 pm
Martin Johansson
Imperial College and Citigroup, London
Malliavin Monte Carlo Greeks for Jump Diffusions (abstract)
Tuesday 19 October,
5:30 pm
Room 3B20
Dr Ales Cerny
Imperial College, London
The Risk of Optimal, Continuously Rebalanced Hedging Strategies and Its Efficient Evaluation via Fourier Transform (abstract)
Tuesday 26 October,
5:30 pm
Dr Umut Cetin
London School of Economics
Optimal Portfolios in Markets with Limited Depth (abstract)
Wednesday 3 November,
5:30 pm
Room 17B
Dr Massimo Bernaschi
Istituto Applicazioni del Calcolo ---- IAC-CNR , Rome, Italy
Optimal Strategies for the Issuances of Public Debt Securities (abstract)
Tuesday 9 November,
5:30 pm
Dr Thorsten Rheinlander
Department of Statistics, London School of Economics
Arbitrage opportunities in diverse markets via a non-equivalent measure change (abstract)
Tuesday 16 November,
5:30 pm
Dr Peter Tankov
Centre de Mathematiques Appliquees, Ecole Polytechnique, France
Retrieving exponential Levy models from option prices using relative entropy (abstract)
Tuesday 23 November,
5:30 pm
Tim Johnson
Department of Mathematics, King's College London
A discretionary stopping problem with applications to the optimal timing of investment decisions. (abstract)
Tuesday 30 November,
5:30 pm
Dr Matthias Winkel
Department of Statistics, Oxford
Limit theorems for multipower variation in the presence of jumps in financial econometrics (abstract)
Tuesday 7 December,
5:30 pm
Dr Ian Buckley
Tanaka Business School, Imperial College, London
Bias-free option calibration using Shannon and Renyi entropies (abstract)
Tuesday 25 January,
5:30 pm
Dr Alvaro Cartea
School of Economics, Mathematics and Statistics, Birkbeck College, London
Generalised Fractional-Black-Scholes Equation: pricing and hedging (abstract)
Tuesday 1 February,
5:30 pm
Dr Aytac Ilhan
Mathematical Institute, Oxford
Optimal Static-Dynamic Hedges for Exotic Options (abstract)
Thursday 3 February,
3:30 pm
Room 521
Professor Fred Espen Benth
Department of Mathematics, University of Oslo
Stochastic volatility models, minimal entropy martingale measure and option pricing (abstract)
Tuesday 8 February,
5:30 pm
Dr Sergei Fedotov
School of Mathematics, The University of Manchester
Adaptive method for valuing an option on assets with stochastic volatility (abstract)
Tuesday 15 February,
5:30 pm
Professor Giulia Iori
City University, London
The impact of heterogeneous trading rules on the limit order book and order flows (abstract)
Monday 21 February,
2:30 - 4:00 pm
Room 28A
Professor Stathis Tompaidis
University of Texas at Austin
Energy Finance: An introduction (abstract)
Tuesday 22 February,
5:30 pm
Dr Henrik Rasmussen
Mathematical Institute, Oxford
A family of markovian HJM models (abstract)
Tuesday 1 March,
5:30 pm
Dr Michael Monoyios
Department of Economics and Finance, Brunel University
Esscher transforms, martingale measures and optimal hedging in incomplete diffusion models (abstract)
Tuesday 31 May,
5:30 pm
Professor Steven E. Shreve
Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh
Satisfying Convex Risk Limits by Trading (abstract)
Friday 3 June,
12:00 am
Dr Jan Vecer
Department of Statistics, Columbia University, New York
Crash Options, Rally Options (abstract)
Tuesday 7 June,
5:30 pm
Professor Eckhard Platen
School of Finance and Economics, University of Technology, Sydney, Australia.
A Benchmark Approach to Risk Management
Tuesday 21 June,
5:30 pm
Dr Xin Guo
School of Operations Research and Industrial Engineering, Cornell University, New York.
Information Reduction in Credit Risk (abstract)
Tuesday 28 June,
5:30 pm
Professor Florin Avram
Department of Mathematics, Pau University, France.
On clustering, mixtures estimation and the method of moments (abstract)

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