|
|
Wednesday 4 June |
Thursday 5 June |
Friday 6 June |
|
08.50 -09.00 |
Opening of conference |
|
|
|
Session |
Risk Management
CHAIR: David Edelman |
Asset Management
CHAIR: John Schoenmakers |
Replication & Other
CHAIR: Min Dai |
|
09.00 -10.00 |
Keynote Lecture
Peter Tankov, Paris
Measuring and pricing gap risk: from CPPI funds to gap options |
Keynote Lecture
Min Dai, Singapore
Portfolio selection with proportional transaction costs: theory and computation |
Keynote Lecture
Ranjan Bhaduri, Chicago
Liquidity and Model Risk |
|
10.00 - 10.20 |
Bjorn Eriksson, Martijn Pistorius
A method of moments approach to pricing double barrier options driven by Lévy processes |
Dermot Ryan, Francesco Sandrini, David Edelman
Estimating the true embedded risk management cost of Total Return strategies |
Christoph Reisinger
Calibration of Instantaneous Forward Rate Volatility in a Bayesian Framework |
|
10.20 - 10.40 |
|
Alois Geyer, Michael Hanke, Alex Weissensteiner
A Stochastic Programming Approach for Multi-Period Portfolio Optimization |
C Kaebe, J H Maruhn, E W Sachs
Adjoints in the Calibration of Financial Market Models |
|
10.40 - 11.00 |
Coffee/Tea Break |
Coffee/Tea Break |
Coffee/Tea Break |
|
11.00 - 11.20 |
Natalie Packham, Wolfgang M Schmidt
Latin hypercube sampling with dependence |
Emmanuel Hanert, Aanand Venkatramanan
Meshfree Approximation for Pricing Multi-Asset Options |
Marc Jeanin, Martijn Pistorius
On the pricing and hedging of barrier options driven by additive processes |
|
11.20 - 11.40 |
Bernard Hanzon, Wolfgang Scherrer
Filtering and estimation in stochastic volatility models with rationally distributed disturbances |
Thomas Gerstner, Markus Holtz, Christina Kuerten
Sparse binomial trees for the pricing of multi-asset options |
Vladimir Dobius, David Edelman
Simultaneous Recovery of Asset's Distributions for Several Maturities |
|
11.40 - 12.00 |
S Corsaro, P L De Angelis, Z Marino, F Perla, P Zanetti
Parallel evaluation of internal models:
the case of profit-sharing life insurance policies |
David Edelman, Jing Dang
Using Kalman-Filtered Radial Basis Networks for Financial Forecasting |
F Fang, C W Oosterlee
Pricing Options by Fourier-Cosine Series Expansions |
|
12.00 - 12.20 |
Kai Tappe
Launching a canon into multivariate Levy processes |
Charles H Lee, Lee Tran, Kristy Tran
Adaptive Algorithms in Maximizing the Overall Stock Return |
Vincent Lee
Numerical simulation of sustainable wealth creation in stock markets |
|
12.20 - 12.40 |
Conall O'Sullivan, Stephen O'Sullivan
Acceleration of explicit finite difference methods for option pricing with stochastic volatility |
Sebastian Jaimungal, Vladimir Surkov
FFT-Based Option Pricing under Mean-Reverting Jump Diffusion |
Bernard Murphy, John Frain, Mark Cummins
Evaluating the Trading Style of Hedge Fund Arbitrageurs. |
|
12.45 - 14.00 |
Lunch |
Lunch |
12.40-12.45
Closing of conference |
|
Session |
Derivatives
CHAIR: Peter Tankov |
American Options & Credit Models
CHAIR: Wil Schilders |
|
|
14.00 - 15.00 |
Keynote Lecture
John Schoenmakers, Berlin
Monte Carlo methods for pricing of complex structured callable derivatives |
Keynote Lecture
Song-Ping Zhu, Sydney
On various quantitative approaches for pricing American options |
|
|
15.00 - 15.20 |
J M B Kroot
A recursive method for valuing prepayments with time lag |
American Options |
|
|
Jin Liang
Optimal Convergence Rate of the Binomial Tree Scheme for American Options with Jump Diffusion and Their Free Boundaries |
|
15.20 - 15.40 |
Jari Toivanen
Numerical Valuation of American Options as Free Boundary Problems |
Kevin Parrott, Eleftheria Chatzipanagou
Finite Differences with Coordinate Transformations for American Options under Jump Diffusion Processes |
|
|
15.40 - 16.00 |
Coffee/Tea Break |
Coffee/Tea Break |
|
|
16.00 - 16.40 |
Chenglong Xu
A conditional sampled Monte Carlo method for pricing a class of financal derivative |
Credit Models |
|
|
Lukasz Szpruch, X Mao,D Higham,J Pan
Strongly Nonlinear Ait-Sahalia-Type Interest Rate Model and its Numerical Approximation |
|
16.40 - 17.00 |
Q X Wang, J Alcock
Option price valuation by the meshless method with MLS approximant |
David Bolder, Tiago Rubin
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis |
|
|
17.00 - 17.20 |
L J Crane, J J H Miller
Controlling the numerical errors caused by discontinuities in the initial conditions for the Black Scholes equation |
Lishang Jiang, Harry Zheng, Jiangwei Lin
Analytic Pricing of Basket CDSs in the Contagion Model |
|
|
19.00 |
|
Conference Dinner – Optional Extra |
|
