Wednesday 8 June 08.00 Registration 08.45-09.00 Welcome & Opening Address   Credit Derivatives, Credit Risk Modelling & Liquidity Modelling Session Chair: Pascal Heider 09.00-10.00 Keynote Lecture – Wim Schoutens Katholieke Universiteit Leuven 10.00-10.30 Quantifying Risk for CDS Term Structures Michelle Carey, University of Limerick 10.30-11.00 Coffee Break 11.00-11.30 Credit-Risk Tools: An Overview Francesco Paolo Esposito, AIB 11.30-12.00 A Comparison of Normal Mixture GARCH VaR and Regime Switching GARCH VaR: An Application to ISEQ Index Returns. Orla McCullagh, University of Limerick 12.00-12.30 Testing for Nonlinear Dependence in the Credit Default Swap Market Kitty Moloney, NUI Galway 12.30-14.00 Lunch   Energy & Commodities Trading & Risk Management Session Chair: Bernard Murphy 14.00-15.00 Keynote Lecture – Alexander Boogert EnergyQuants Optimization of Flexible Energy Assets 15.00-15.30 Coffee Break & Poster Presentations [1] Modelling Electricity Prices and Numerical Valuation of Swing Options Anamaria Bodea, University of Heidelberg [2] Numerical, Laplace Transform Solutions of the Black-Scholes Equation Andrew Fitzharris, University of Hertfordshire 15.30-16.00 The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching Boda Kang, University of Technology, Sydney 16.00-16.30 Risk-Adequate Pricing of Retail Power Contracts Jan Müller, University of Siegen 16.30-17.00 An Approximate Dynamic Programming, Simulations and Regressions Approach to Value and Control a Hydropower System Michel Denault, HEC Montreal   Free Evening   Thursday 9 June   General Numerical Methods for Finance Session Chair: Lars Stentoft 09.00-10.00 Keynote Lecture – Pascal Heider Cologne University Arbitrage-free Approximation of Call Price Surfaces 10.00-10.30 On the Fourier Cosine Series Expansion (COS) Method for Stochastic Control Problems in Finance and Economics Marjon Ruijter, Centrum Wiskunde & Informatica, Amsterdam; CPB Netherlands Bureau for Economic Policy Analysis, Den Haag 10.30-11.00 Coffee Break 11.00-11.30 European Compound Options under Stochastic Volatility Dynamics: A Comparison of Numerical Pricing Techniques Susanne Griebsch, University of Technology, Sydney 11.30-12.00 Fast Fourier Transform Option Pricing: Efficient Approximation Methods under Multi-Factor Stochastic Volatility and Jumps Jean Charpin, University of Limerick 12.00-12.30 Fast Fourier Transform Pricing of Two-Colour Rainbow Options Mark Cummins, University of Limerick 12.30-14.00 Lunch   General Numerical Methods for Finance Session Chair: Alexander Boogert 14.00-15.00 Keynote Lecture – Kumar Muthuraman The University of Texas at Austin Moving boundary approaches for solving free-boundary problems 15.00-15.30 Coffee Break 15.30-16.00 Conditional Sampling for Option Pricing under the LT Method Nico Achtsis, Katholieke Universiteit Leuven 16.00-16.30 PDF Arbitrage Richard McGee, University College Dublin 16.30-17.00 Adaptive, High-Order Methods to Price Options Lina von Sydow, Uppsala University   Conference Dinner - Optional   Friday 10 June   General Numerical Methods for Finance Session Chair: Kumar Muthuraman 09.00-10.00 Keynote Lecture – Lars Stentoft HEC Montreal American Option Pricing under Simulation and Regression 10.00-10.30 Accelerated Trinomial Trees for Option Pricing Conall O’Sullivan, University College Dublin 10.30-11.00 Coffee Break 11.00-11.30 Pricing Discretely Monitored Options in a Wiener-Hopf Framework Daniele Marazzina, Politecnico de Milano 11.30-12.00 Optimality of the Kelly Criterion for Non-Identically Distributed Bernoulli Games David Edelman, University College Dublin 12.00-12.30 Semi-Parametric Estimation of American Option Prices Diego Ronchetti, University of Lugano 12.30-13.00 Volatility and Interconnection on the London Stock Exchange: Evidence from a Decade of High Frequency Data John Garvey, Kemmy Business School, University of Limerick 13.00 Conference Close