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Conference Timetable

Friday July 11th:

  • 9.00am - 10.00am, Registration
  • 10.00am - 11.00am, Jesper Andreasen, Danskebank

 "Soft Markets: Feedback Effects from Dynamic Hedging"

 presentation.pdf

  • 11.00am - 11.30am, Coffee-Break
  • 11.30am - 12.30pm, Pat Hagan, JPMorgan Chase
"Practical Calibration Techniques for Exotic Options"
  • 12.30pm - 2.00pm, Lunch
  • 2.00pm - 3.00pm , Nasir Afaf, Commerzbank

"Non-linearities in Finance"

 presentation.ppt

  • 3.00pm - 4.00pm, Claudio Albanese, Level3Finance

"Long-Dated Derivatives"

 presentation.pdf

  • 4.00pm - 4.30pm, Coffee Break
  • 4.30pm - 5.00pm, Chris Kenyon, Depfa Bank

"Pricing Strongly Path-Dependent Options in Libor Market Models without Simulation"

 presentation.pdf

  • 5.00pm - 5.30pm, Paul Schneider, Vienna University of Economics and Business Administration

"Flexing the Default Barrier"

 presentation.pdf

  • 5.30pm - 6.00pm, Anthony Neuberger,University of Warwick

"Robust Hedging of American Options"

 presentation.ppt

 

Saturday July 12th:

  • 10.00am - 11.00am, Nick Webber, University of Warwick

"Implementing numerical methods for complex options"

 presentation.pdf

  • 11.00am - 11.30am, Coffee-Break
  • 11.30am - 12.30pm, Uwe Wystup, Mathfinance

"Pricing of First Generation Exotics with the Vanna-Volga Method: Pros and Cons"

 presentation.pdf

 presentation webpage

  • 12.30pm - 2.00pm, Lunch
  • 2.00pm - 2.30pm, Antoine Jacquier, Imperial College London

"Spectral Theory for Diffusion Process: Application to Pricing and Calibration of Stochastic Volatility Models"

 presentation.pdf

  • 2.30pm - 3.00pm, Andrea Pascucci, University of Bologna

"Analytic Valuation by Parametric Approximations"

 presentation.pdf

  • 3.00pm - 3.30pm, Linus Kaisajunntti, Stockholm School of Economics

"An n-Dimensional Markov-Functional Interest Rate Model"

 presentation.pdf

  • 3.30pm - 4.00pm, Coffee Break
  • 4.00pm - 4.30pm, Matthew Dixon, Stanford University

"Calibrating Spread Options using a Seasonal Commodity Forward Model"

 presentation.pdf

  • 4.30pm - 5.00pm, Tim Siu-Tang Leung, Princeton University

 "Employee Stock Options: Accounting for Optimal Hedging, Early Exercises and Contractual Restrictions"

 presentation.pdf

  • 5.00pm - 5.30pm, Naoufel El Bachir, University of Reading

"Conditional Sampling for Jump Processes with Levy Copulas"

 presentation.pdf