Welcome
About the Conference
Venue and Travel
Publication of Proceedings
Committees
Keynote Speakers
Conference Programme
Abstract Submission
Sponsors
Registration
Accommodation
Conference Dinner
Exhibition
General Information
Conference Secretariat
Previous Publications
2008 Conference
2006 Conference
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Conference Programme

   
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


 

 

|Welcome| |About the Conference| |Venue and Travel| |Publication of Proceedings| |Committees| |Keynote Speakers| |Conference Programme| |Abstract Submission| |Sponsors| |Registration| |Accommodation| |Conference Dinner| |Exhibition| |General Information| |Conference Secretariat| |Previous Publications| |2008 Conference| |2006 Conference|