Date:
30 April -1 May 2010, one day and a half conference
Location:
Cass Business School, City University London
Plenary Speakers
Helyette Geman, Professor of Finance at Birkbeck, University of London & ESCP Europe
Elyes Jouini, Distinguished Professor, Universite de Paris-Dauphine
Dilip Madan, Professor of Finance at the Robert H. Smith School of Business, University of Maryland
William Perraudin, Chair in Finance, Imperial College Business School
Organisers
Ales Cerny, Stewart Hodges and Radu Tunaru
Thematic areas covered by conference
1. Theoretical Financial Economics
2. Mathematical Finance and Numerical Methods
3. Applications to Unhedgeable Risks
Main aims: Recognising the importance of developing suitable models for measuring and managing risk in incomplete financial markets this conference will bring together the latest theories and numerical methods in a range of applications. The aim is to create a strong path from theory to practical valuation and hedging. The last decade has experienced considerable theoretical development that has not been transferred to practice. This conference is the appropriate forum to bridge the gap and also to highlight some of the current challenges faced by the industry where the latest models could make a difference.
Areas of interest: The conference will cover a rich spectrum of applications related to hedging performance for markets such as interest rates, credit, commodities, energy, exotic options and structured finance. Advances in numerical methods applicable to problems appearing in incomplete market context and comparative studies identifying the best performing models are especially welcome.
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